Company: WFC-PC
Filing Date: 2025-04-29
Form Type: 10-Q
Source: 0000072971-25-000129
Chunk: 52

Company: WELLS FARGO & COMPANY/MN
Filing Date: 2025-04-29
Form: 10-Q
Item: Item 1
Chunk 52
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94Wells Fargo & Company

DERIVATIVE VALUATION ADJUSTMENTS.  We incorporate certain adjustments in determining the fair value of our derivatives, including credit valuation adjustments (CVA) to reflect counterparty credit risk related to derivative assets, debit valuation adjustments (DVA) to reflect Wells Fargo’s own credit risk related to derivative liabilities, and funding valuation adjustments (FVA) to reflect the funding cost of uncollateralized or partially collateralized derivative assets and liabilities. CVA, which considers the effects of enforceable master netting agreements and collateral arrangements, reflects market-based views of the credit quality of each counterparty. We estimate CVA based on observed credits spreads in the credit default swap market and indices indicative of the credit quality of the counterparties to our derivatives.Table 11.7 presents the impact of derivative valuation adjustments (excluding the effect of any related hedges), which are included in net gains (losses) from trading and securities on the consolidated statement of income. For additional information, see Note 2 (Trading Activities).Table 11.7:  Net Gains (Losses) from Derivative Valuation AdjustmentsQuarter ended March 31,(in millions)20252024CVA$(23)52 DVA(18)(21)FVA(21)— Total$(62)31 Table 11.8 presents the impact of derivative valuation adjustments on derivative fair values. Table 11.8:  Derivative Valuation AdjustmentsContra Liability (Contra Asset)(in millions)Mar 31,2025Dec 31,2024CVA$(298)(275)DVA208 226 FVA, net(106)(85)Total derivative valuation adjustments$(196)(134)Sold Credit DerivativesCredit derivative contracts are arrangements whose value is derived from the transfer of credit risk of a reference asset or entity from one party (the purchaser of credit protection) to another party (the seller of credit protection). We generally use credit derivatives to assist customers with their risk management objectives by purchasing and selling credit protection on corporate debt obligations through the use of credit default swaps or through risk participation swaps to help manage counterparty exposure. We would be required to perform under the credit derivatives we sold in the event of default by the referenced obligors. Events of default include events such as bankruptcy, capital restructuring or lack of principal and/or interest payment.Table 11.9 provides details of sold credit derivatives.Table 11.9:  Sold Credit Derivatives Notional amount(in