Company: WFC-PC
Filing Date: 2025-04-29
Form Type: 10-Q
Source: 0000072971-25-000129
Chunk: 60

Company: WELLS FARGO & COMPANY/MN
Filing Date: 2025-04-29
Form: 10-Q
Item: Item 1
Chunk 60
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 Discount rate9.0 -15.2 %9.8 Prepayment rate (2)6.9 -20.6 8.2 Net derivative assets and (liabilities):Interest rate contracts(2,320)Discounted cash flowDiscount rate3.7 -3.8 3.7 (10)Discounted cash flowDefault rate0.4 -2.2 0.8 Loss severity50.0 -50.0 50.0 Equity contracts(755)Discounted cash flowConversion factor(1.3)-0.0 %(0.7)Weighted average life0.8-3.8yrs1.8(369)Option modelCorrelation factor(70.0)-98.9 %60.9 Volatility factor3.5 -120.0 40.0 December 31, 2024Mortgage servicing rights (residential)$6,844 Discounted cash flowCost to service per loan (1)$60 -451 103 Discount rate9.2 -15.5 %10.1 Prepayment rate (2)6.8 -19.4 8.1 Net derivative assets and (liabilities):Interest rate contracts(3,588)Discounted cash flowDiscount rate4.1 -4.2 4.1 (15)Discounted cash flowDefault rate0.4 -1.1 0.5 Loss severity50.0 -50.0 50.0 Equity contracts(758)Discounted cash flowConversion factor(1.4)-0.0 %(0.7)Weighted average life1.0-4.0 yrs 2.0(409)Option modelCorrelation factor(70.0)-98.9 %65.3 Volatility factor6.5 -138.0 41.1 (1)The high end of the range of inputs is for servicing modified loans. For non-modified loans, the range is $60 - $160 at March 31, 2025, and $60 - $162 at December 31, 2024.(2)Includes a blend of prepayment speeds and expected defaults. Prepayment speeds are influenced by mortgage interest rates as well as our estimation of drivers of borrower behavior.

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