Fair Value Measures and Disclosures (Policies)

9 Months Ended

Sep. 30, 2022

Fair Value Disclosures [Abstract]

Fair Value Election

FAIR VALUE OPTION

The Company may elect to report financial instruments and certain other items at fair value on an instrument-by-instrument basis with changes in fair value reported in earnings. The election is made upon the initial recognition of an eligible financial asset, financial liability, or firm commitment or when certain specified reconsideration events occur. The fair value election may not otherwise be revoked once an election is made. The changes in fair value are recorded in "Noninterest income" on the condensed consolidated statements of earnings. However, the portion of the total change in the fair value of a liability resulting from a change in the instrument-specific credit risk is reported as a component of "Accumulated other comprehensive (loss) income" on the condensed consolidated balance sheets.

Fair Value Option for Certain Debt Liabilities

The Company has elected the fair value option for the credit-linked notes issued in September 2022. The Company elected the fair value option because these notes are financial instruments that contain embedded derivatives. The notes are linked to the credit risk of an approximately $2.66 billion reference pool of previously purchased single-family residential mortgage loans. The carrying value of the credit-linked notes at September 30, 2022 was $132.8 million, which represented the fair value.