Company: WTFCN
Filing Date: 2025-05-05
Form Type: 10-Q
Source: 0001015328-25-000130
Chunk: 58

Company: WINTRUST FINANCIAL CORP
Filing Date: 2025-05-05
Form: 10-Q
Item: Item 1
Chunk 58
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2025. Prepayment speeds are inversely related to the fair value of these loans as an increase in prepayment speeds results in a decreased valuation. For delinquent loans in which performance is not assumed and there is a higher probability of resolution of the loan ending in foreclosure, the weighted average life of such loans was 6.5 years. Average life is inversely related to the fair value of these loans as an increase in estimated life results in a decreased valuation.  Additionally, the weighted average credit discount used as an input to value the specific loans was 1.12% with credit loss discounts ranging from 0%-10% at March 31, 2025.MSRs—Fair value for MSRs is determined utilizing a valuation model which calculates the fair value of each servicing right based on the present value of estimated future cash flows. The Company uses a discount rate commensurate with the risk 

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associated with each servicing right, given current market conditions. At March 31, 2025, the Company classified $196.3 million of MSRs as Level 3. The weighted average discount rate used as an input to value the pool of MSRs at March 31, 2025 was 10.94% with discount rates applied ranging from 7%-18%. The higher the rate utilized to discount estimated future cash flows, the lower the fair value measurement. The fair value of MSRs was also estimated based on other assumptions including prepayment speeds and the cost to service. Prepayment speeds ranged from 1%-91% or a weighted average prepayment speed of 8.92%. Further, for current and delinquent loans, the Company assumed a weighted average cost of servicing of $76 and $402, respectively, per loan. Prepayment speeds and the cost to service are both inversely related to the fair value of MSRs as an increase in prepayment speeds or the cost to service results in a decreased valuation. See Note (9) “Mortgage Servicing Rights (“MSRs”)” in Item 1 of this report for further discussion of MSRs.Derivative instruments—The Company’s derivative instruments include interest rate swaps, caps and collars, commitments to fund mortgages for sale into the secondary market (interest rate locks), forward commitments to end investors for the sale of mortgage loans, commodity future contracts and foreign currency contracts. Interest rate swaps, caps and collars and commodity future contracts are valued by a third party, using models that primarily use market observable inputs, such