Company: WFC-PC
Filing Date: 2025-10-31
Form Type: 10-Q
Source: 0000072971-25-000253
Chunk: 187

Company: WELLS FARGO & COMPANY/MN
Filing Date: 2025-10-31
Form: 10-Q
Item: Item 12
Chunk 187
---
Included in mortgage banking income, net gains from trading and securities, and other noninterest income on our consolidated statement of income.(10)Included in other noninterest income on our consolidated statement of income.

100Wells Fargo & Company

Table 12.3 provides quantitative information about the valuation techniques and significant unobservable inputs used in the valuation of our Level 3 assets and liabilities measured at fair value on a recurring basis.Weighted averages of inputs are calculated using outstanding unpaid principal balances of loans serviced for residential MSRs and notional amounts for derivative instruments.Table 12.3:  Valuation Techniques – Recurring Basis ($ in millions, except cost to service amounts)Fair Value Level 3Valuation TechniqueSignificantUnobservable InputRange of Inputs Weighted AverageSeptember 30, 2025Mortgage servicing rights (residential)$6,167 Discounted cash flowCost to service per loan (1)$61 -451 102 Discount rate8.8 -14.8 %9.5 Prepayment rate (2)6.7 -22.5 8.0 Net derivative assets and (liabilities):Interest rate contracts(57)Discounted cash flowDiscount rate2.3 -3.6 3.5 (4)Discounted cash flowDefault rate0.4 -12.0 2.3 Loss severity50.0 -50.0 50.0 Equity contracts(547)Discounted cash flowConversion factor(1.1)-0.0 (0.4)Weighted average life0.3-3.3yrs1.3(475)Option modelCorrelation factor(70.0)-98.0 %62.6 Volatility factor10.2 -125.0 37.7 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