Company: WTFCN
Filing Date: 2025-08-06
Form Type: 10-Q
Source: 0001015328-25-000188
Chunk: 65

Company: WINTRUST FINANCIAL CORP
Filing Date: 2025-08-06
Form: 10-Q
Item: Item 1
Chunk 65
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 characteristics. Loans measured with this valuation technique are classified as Level 2 in the fair value hierarchy. The fair value for certain loans in which the Company previously elected the fair value option is estimated by discounting future scheduled cash flows for the specific loan through maturity, adjusted for estimated credit losses and prepayment or life assumptions. These loans primarily consist of early buyout loans guaranteed by U.S. government agencies that are delinquent and, as a result, investor interest may be limited. The Company uses a discount rate based on the actual coupon rate of the underlying loan. At June 30, 2025, the Company classified $53.0 million of loans held-for-investment carried at fair value as Level 3. The assumed weighted average discount rate used as an input to value these loans at June 30, 2025 was 5.49%. The higher the rate utilized to discount estimated future cash flows, the lower the fair value measurement. As noted above, the fair value estimate also includes assumptions of prepayment speeds and average life as well as credit losses. The weighted average prepayments speed used as an input to value current loans was 9.34% at June 30, 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 5.7 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 1.26% with credit loss discounts ranging from 0%-18% at June 30, 2025.

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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 June 30, 2025, the Company classified $193.1 million of MSRs as Level 3. The weighted average discount rate used as an input to value the pool of MSRs at June 30, 2025 was 10.43% with discount rates applied ranging from 5%-27%. The higher the rate utilized to