Company: WTFCN
Filing Date: 2025-11-06
Form Type: 10-Q
Source: 0001015328-25-000207
Chunk: 68

Company: WINTRUST FINANCIAL CORP
Filing Date: 2025-11-06
Form: 10-Q
Item: Item 1
Chunk 68
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 input to value the specific loans was 1.88% with credit loss discounts ranging from 0%-26% at September 30, 2025.

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Table of Contents

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 associated with each servicing right, given current market conditions. At September 30, 2025, the Company classified $190.9 million of MSRs as Level 3. The weighted average discount rate used as an input to value the pool of MSRs at September 30, 2025 was 10.43% with discount rates applied ranging from 5%-20%. 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 0%-86% or a weighted average prepayment speed of 9.44%. Further, for current and delinquent loans, the Company assumed a weighted average cost of servicing of $76 and $386, 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 swaps, collars and purchased options such as caps and floors, 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. Swaps, collars and purchased options such as caps and floors and commodity future contracts are valued by a third party, using models that primarily use market observable inputs, such as yield curves and commodity prices prevailing at the measurement date, and are classified as Level 2 in the fair value hierarchy. The credit risk associated with derivative financial instruments that are subject to master netting agreements is measured on a net basis by counterparty portfolio. The fair value for mortgage-related derivatives is based on changes in mortgage rates from the date of the commitments. The fair value of foreign currency derivatives is computed based on change in foreign currency rates stated in the contract compared