Company: WAL-PA
Filing Date: 2025-05-01
Form Type: 10-Q
Source: 0001212545-25-000141
Chunk: 101

Company: WESTERN ALLIANCE BANCORPORATION
Filing Date: 2025-05-01
Form: 10-Q
Item: Part I, Item 1
Chunk 101
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)— 69 7 76 (1)See "Note 12. Derivatives and Hedging Activities." In addition, the carrying value of loans is decreased by $96 million as of December 31, 2024 for the effective portion of the hedge, which relates to the fair value of the hedges put in place to mitigate against fluctuations in interest rates. Derivative assets and liabilities exclude margin of $72 million and $3 million, respectively.(2)Includes only the portion of loans HFS that is recorded at fair value at each reporting period pursuant to the election of FVO treatment.(3)Includes only the portion of junior subordinated debt that is recorded at fair value at each reporting period pursuant to the election of FVO treatment.The change in Level 3 liabilities measured at fair value on a recurring basis included in OCI was as follows:Junior Subordinated DebtThree Months Ended March 31,20252024(in millions)Beginning balance$(64.7)$(62.8)Change in fair value (1)1.5 (0.7)Ending balance$(63.2)$(63.5)(1)Unrealized gains (losses) attributable to changes in the fair value of junior subordinated debt are recorded in OCI, net of tax, and totaled $1.1 million and $(0.5) million for three months ended March 31, 2025 and 2024, respectively.The significant unobservable inputs used in the fair value measurements of these Level 3 liabilities were as follows:March 31, 2025Valuation TechniqueSignificant Unobservable InputsInput Value(in millions)Junior subordinated debt$63 Discounted cash flowImplied credit rating of the Company7.69 % December 31, 2024Valuation TechniqueSignificant Unobservable InputsInput Value(in millions)Junior subordinated debt$65 Discounted cash flowImplied credit rating of the Company7.43 %The significant unobservable inputs used in the fair value measurement of the Company’s junior subordinated debt as of March 31, 2025 and December 31, 2024 was the implied credit risk for the Company. The implied credit risk spread as of March 31, 2025 and December 31, 2024 was calculated as the difference between the average of the 10 and 15-year 'BB' rated financial indexes over the corresponding swap indexes.

49

As of March 31, 2025, the Company estimates