Company: WAL-PA
Filing Date: 2025-08-01
Form Type: 10-Q
Source: 0001212545-25-000214
Chunk: 257

Company: WESTERN ALLIANCE BANCORPORATION
Filing Date: 2025-08-01
Form: 10-Q
Item: Part I, Item 8
Chunk 257
---
.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% plus three-month SOFR (4.29%). As of December 31, 2024, the Company estimated the discount rate at 7.43%, which was a 3.12% credit spread plus three-month SOFR (4.31%).The change in Level 3 assets and liabilities measured at fair value on a recurring basis included in income was as follows:Three Months Ended June 30, 2025Six Months Ended June 30, 2025Loans HFSMSRsIRLCs (1)Loans HFSMSRsIRLCs (1)(in millions)Balance, beginning of period$63 $1,241 $13 $3 $1,127 $(2)Purchases and additions90 284 5,490 154 545 11,232