Company: WAL-PA
Filing Date: 2025-08-01
Form Type: 10-Q
Source: 0001212545-25-000214
Chunk: 118

Company: WESTERN ALLIANCE BANCORPORATION
Filing Date: 2025-08-01
Form: 10-Q
Item: Part I, Item 1
Chunk 118
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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 June 30,Six Months Ended June 30,2025202420252024(in millions)Beginning balance$(63.2)$(63.5)$(64.7)$(62.8)Change in fair value (1)(5.4)(0.7)(3.9)(1.4)Ending balance$(68.6)$(64.2)$(68.6)$(64.2)(1)Unrealized gains (losses) attributable to changes in the fair value of junior subordinated debt are recorded in OCI, net of tax, and totaled $(4.1) million and $(0.5) million for three months ended June 30, 2025 and 2024, respectively, and $(3.0) million and $(1.0) million for the six months ended June 30, 2025 and 2024, respectively.The significant unobservable inputs used in the fair value measurements of these Level 3 liabilities were as follows:June 30, 2025Valuation TechniqueSignificant Unobservable InputsInput Value(in millions)Junior subordinated debt$69 Discounted cash flowImplied credit rating of the Company6.30 % 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 June 30, 2025 and December 31, 2024 was the implied credit risk for the Company. The implied credit risk spread as of June 30, 

50

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.As of June 30, 2025, the Company estimates the discount rate at 6.30%, which represents an implied credit spread of 2.01