Company: WAL-PA
Filing Date: 2025-05-01
Form Type: 10-Q
Source: 0001212545-25-000141
Chunk: 224

Company: WESTERN ALLIANCE BANCORPORATION
Filing Date: 2025-05-01
Form: 10-Q
Item: Part I, Item 8
Chunk 224
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observable 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 the discount rate at 7.69%, which represents an implied credit spread of 3.40% 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 March 31, 2025MSRsIRLCs (1)(in millions)Balance, beginning of period$1,127 $(2)Purchases and additions260 5,742 Sales and payments(83)— Settlement of IRLCs upon acquisition or origination of loans HFS— (5,733)Change in fair value(20)6 Realization of cash flows(43)— Balance, end of period$1,241 $13 Changes in unrealized gains for the period (2)$(19)$13 Three Months Ended March 31, 2024MSRsIRLCs (1)(in millions)Balance, beginning of period$1,124 $18 Purchases and additions189 4,060 Sales and payments(156)— Settlement of IRLCs upon acquisition or origination of loans HFS— (4,067)Change in fair value60 (