Company: BANC-PF
Filing Date: 2025-08-08
Form Type: 10-Q
Source: 0001169770-25-000029
Chunk: 123

Company: BANC OF CALIFORNIA, INC.
Filing Date: 2025-08-08
Form: 10-Q
Item: Item 8
Chunk 123
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1):Derivative assetsCash flow hedges1,442 — 1,442 — Interest rate and foreign exchange contracts7,031 — 7,031 — Equity warrants 3,763 — — 3,763 Derivative liabilitiesInterest rate and foreign exchange contracts7,562 — 7,562 — Credit-linked notes118,838 — — 118,838 ____________________(1)    For information regarding derivative instruments, see Note 9. Derivatives.During the six months ended June 30, 2025, there was no transfer from Level 3 equity warrants to Level 1 equity investments with readily determinable fair values measured on a recurring basis. There was also no transfer of corporate debt securities from Level 3 to Level 2 during the six months ended June 30, 2025 and no transfer of corporate debt securities from Level 2 to Level 3 during the same period. The following table presents information about quantitative inputs and assumptions used to determine the fair values provided by our third-party pricing service for our Level 3 corporate debt securities available-for-sale measured at fair value on a recurring basis as of the date indicated: June 30, 2025Corporate Debt SecuritiesInput orWeightedRangeAverageUnobservable Inputsof InputsInput (1)Spread to 10 Year Treasury6.6% - 8.9%7.7%Discount rates10.9% - 13.1%12.0%____________________(1)    Unobservable inputs for corporate debt securities were weighted by the relative fair values of the instruments.

58

BANC OF CALIFORNIA, INC. AND SUBSIDIARIESNotes to Condensed Consolidated Financial Statements (Unaudited)

The following table presents information about quantitative inputs and assumptions used in the modified Black-Scholes option pricing model to determine the fair value for our Level 3 equity warrants measured at fair value on a recurring basis as of the date indicated:June 30, 2025Equity WarrantsWeighted RangeAverage Unobservable Inputsof InputsInput (1)Volatility18.6% - 125.6%25.2%Risk-free interest rate3.7% - 4.4%3.8%Remaining life assumption (in years)0.08 - 4.983.25____________________(1)    Unobservable inputs for equity warrants were weighted by the relative fair values