Securitizations and Variable Interest Entities (Tables)

12 Months Ended

Dec. 31, 2011

Securitizations and Variable Interest Entities (Tables) [Abstract]

Assets and Liabilities associated with Variable Interest entities


							Transfers that
			VIEs that we			VIEs	we account
			do not			that we	for as secured
(in millions)			consolidate		consolidate		borrowings		Total

December 31, 2011

Cash			$	-		321		11	332
Trading assets				3,723		293		30	4,046
Securities available for sale (1)				21,708		3,332		11,671	36,711
Mortgages held for sale				-		444		-	444
Loans				11,404		11,967		7,181	30,552
Mortgage servicing rights				12,080		-		-	12,080
Other assets				4,494		1,858		137	6,489
	Total assets			53,409		18,215		19,030	90,654
Short-term borrowings				-		3,450	(3)	10,682	14,132
Accrued expenses and other liabilities				3,350		1,138	(3)	121	4,609
Long-term debt				-		4,932	(3)	6,686	11,618
	Total liabilities			3,350		9,520		17,489	30,359
Noncontrolling interests				-		61		-	61
		Net assets	$	50,059		8,634		1,541	60,234

December 31, 2010

Cash			$	-		200		398	598
Trading assets				5,351		143		32	5,526
Securities available for sale (1)				24,001		2,159		7,834	33,994
Mortgages held for sale (2)				-		634		-	634
Loans				12,401		16,708		1,613	30,722
Mortgage servicing rights				13,261		-		-	13,261
Other assets (2)				3,783		2,071		90	5,944
	Total assets			58,797		21,915		9,967	90,679
Short-term borrowings				-		3,636	(3)	7,773	11,409
Accrued expenses and other liabilities (2)				3,514		743	(3)	14	4,271
Long-term debt				-		8,377	(3)	1,700	10,077
	Total liabilities			3,514		12,756		9,487	25,757
Noncontrolling interests (2)				-		94		-	94
		Net assets	$	55,283		9,065		480	64,828

Excludes certain debt securities related to loans serviced for the Federal National Mortgage Association (FNMA), Federal Home Loan Mortgage Corporation (FHLMC) and GNMA.
“VIEs that we consolidate” has been revised to correct previously reported amounts.
Includes the following VIE liabilities at December 31, 2011, and December 31, 2010, respectively, with recourse to the general credit of Wells Fargo: Short-term borrowings, $3.4 billion and $3.6 billion; Accrued expenses and other liabilities, $963 million and $645 million; and Long-term debt, $30 million and $53 million.

Transactions with Variable Interest Entity


									Other
				Total		Debt and			commitments
				VIE		equity	Servicing		and	Net
(in millions)				assets	interests (1)		assets	Derivatives	guarantees	assets
December 31, 2011
						Carrying value - asset (liability)
Residential mortgage loan
	securitizations:
		Conforming	$	1,135,629		4,682	11,070	-	(975)	14,777
		Other/nonconforming		61,461		2,460	353	1	(48)	2,766
Commercial mortgage loan securitizations				179,007		7,063	623	349	-	8,035
Collateralized debt obligations:
		Debt securities		11,240		1,107	-	193	-	1,300
		Loans (2)		9,757		9,511	-	-	-	9,511
Asset-based finance structures				9,606		6,942	-	(130)	-	6,812
Tax credit structures				19,257		4,119	-	-	(1,439)	2,680
Collateralized loan obligations				12,191		2,019	-	40	-	2,059
Investment funds				6,318		-	-	-	-	-
Other (3)				18,717		1,896	34	190	(1)	2,119
		Total	$	1,463,183		39,799	12,080	643	(2,463)	50,059

						Maximum exposure to loss
Residential mortgage loan
	securitizations:
		Conforming			$	4,682	11,070	-	3,657	19,409
		Other/nonconforming				2,460	353	1	295	3,109
Commercial mortgage loan securitizations						7,063	623	538	-	8,224
Collateralized debt obligations:
		Debt securities				1,107	-	874	-	1,981
		Loans (2)				9,511	-	-	-	9,511
Asset-based finance structures						6,942	-	130	1,504	8,576
Tax credit structures						4,119	-	-	-	4,119
Collateralized loan obligations						2,019	-	41	523	2,583
Investment funds						-	-	-	41	41
Other (3)						1,896	34	903	150	2,983
		Total			$	39,799	12,080	2,487	6,170	60,536

(continued on following page)

(continued from previous page)


								Other
			Total		Debt and			commitments
			VIE		equity	Servicing		and	Net
(in millions)			assets		interests (1)	assets	Derivatives	guarantees	assets
December 31, 2010
					Carrying value - asset (liability)
Residential mortgage loan securitizations:
	Conforming	$	1,068,737		5,527	12,115	-	(928)	16,714
	Other/nonconforming		76,304		2,997	495	6	(107)	3,391
Commercial mortgage loan securitizations			190,377		5,506	608	261	-	6,375
Collateralized debt obligations:
	Debt securities		20,046		1,436	-	844	-	2,280
	Loans (2)		9,970		9,689	-	-	-	9,689
Asset-based finance structures			12,055		6,556	-	(118)	-	6,438
Tax credit structures			20,981		3,614	-	-	(1,129)	2,485
Collateralized loan obligations			13,196		2,804	-	56	-	2,860
Investment funds			10,522		1,416	-	-	-	1,416
Other (3)			20,031		3,221	43	377	(6)	3,635
	Total	$	1,442,219		42,766	13,261	1,426	(2,170)	55,283

					Maximum exposure to loss
Residential mortgage loan securitizations:
	Conforming			$	5,527	12,115	-	4,248	21,890
	Other/nonconforming				2,997	495	6	233	3,731
Commercial mortgage loan securitizations					5,506	608	488	-	6,602
Collateralized debt obligations:
	Debt securities				1,436	-	2,850	7	4,293
	Loans (2)				9,689	-	-	-	9,689
Asset-based finance structures					6,556	-	118	2,175	8,849
Tax credit structures					3,614	-	-	1	3,615
Collateralized loan obligations					2,804	-	56	519	3,379
Investment funds					1,416	-	-	87	1,503
Other (3)					3,221	43	916	162	4,342
	Total			$	42,766	13,261	4,434	7,432	67,893

Includes total equity interests of $460 million and $316 million at December 31, 2011, and December 31, 2010, respectively. Also includes debt interests in the form of both loans and securities. Excludes certain debt securities held related to loans serviced for FNMA, FHLMC and GNMA.
Represents senior loans to trusts that are collateralized by asset-backed securities. The trusts invest primarily in senior tranches from a diversified pool of primarily U.S. asset securitizations, of which all are current, and over 88% were rated as investment grade by the primary rating agencies at December 31, 2011. These senior loans were acquired in the Wachovia business combination and are accounted for at amortized cost as initially determined under purchase accounting and are subject to the Company's allowance and credit charge-off policies.
Includes structured financing, student loan securitizations, auto loan and lease securitizations and credit-linked note structures. Also contains investments in auction rate securities (ARS) issued by VIEs that we do not sponsor and, accordingly, are unable to obtain the total assets of the entity.

Cash flows with securitization trusts


		Year ended December 31,
		2011		2010		2009
			Other		Other		Other
	Mortgage		financial	Mortgage	financial	Mortgage	financial
(in millions)		loans	assets	loans	assets	loans	assets
Sales proceeds from securitizations (1)	$	337,357	-	374,488	-	394,632	-
Servicing fees		4,401	11	4,316	34	4,283	42
Other interests held		1,779	263	1,786	442	3,757	310
Purchases of delinquent assets		9	-	25	-	45	-
Net servicing advances		29	-	49	-	257	-

Represents cash flow data for all loans securitized in the period presented.

Key Assumptions To Measure Mortgage Servicing Assets At Date Of Securitization


	Mortgage servicing rights
	2011		2010
Prepayment speed (annual CPR (1))	12.8	%	13.5
Life (in years)	5.9		5.4
Discount rate	7.7	%	8.0

Constant prepayment rate.

Key Assumptions To Measure Mortgage Servicing Rights And Other Interests Held At Balance Sheet Date


						Other interests held
			Mortgage		Interest-
			servicing			only	Subordinated				Senior
(in millions)				rights		strips			bonds		bonds
Fair value of interests held at December 31, 2011			$	14,359		230			45		321
Expected weighted-average life (in years)				5.0		4.6			6.1		5.6

Prepayment speed assumption (annual CPR)				13.7	%	10.7			6.9		13.9
	Decrease in fair value from:
		10% adverse change	$	913		6			-		2
		25% adverse change		2,151		15			1		4

Discount rate assumption				6.9	%	15.6			11.9		7.1
	Decrease in fair value from:
		100 basis point increase	$	613		6			2		12
		200 basis point increase		1,171		12			4		24

Credit loss assumption									0.5	%	4.5
	Decrease in fair value from:
		10% higher losses						$	-		1
		25% higher losses							-		2

Fair value of interests held at December 31, 2010			$	16,279		226			47		441
Expected weighted-average life (in years)				5.2		5.2			8.3		4.5

Prepayment speed assumption (annual CPR)				12.6	%	11.4			4.8		18.1
	Decrease in fair value from:
		10% adverse change	$	844		7			-		2
		25% adverse change		1,992		16			-		6

Discount rate assumption				8.1	%	17.8			10.2		6.8
	Decrease in fair value from:
		100 basis point increase	$	777		6			3		14
		200 basis point increase		1,487		13			6		27

Credit loss assumption									0.7	%	3.7
	Decrease in fair value from:
		10% higher losses						$	-		1
		25% higher losses							-		3

Principal Balances - Off-Balance Sheet Securitized Loans


											Net charge-offs
					Total loans			Delinquent loans			Year ended
					December 31,			December 31,			December 31,
(in millions)					2011	2010		2011	2010		2011	2010
Commercial:
	Commercial and industrial			$	-	1		-	-		-	-
	Real estate mortgage				137,121	144,655	(1)	11,142	9,174	(1)	569	738	(1)
		Total commercial			137,121	144,656		11,142	9,174		569	738
Consumer:
	Real estate 1-4 family first mortgage				1,171,666	1,090,755		24,235	25,067	(2)	1,506	1,408
	Real estate 1-4 family junior lien mortgage				2	1		-	-		16	-
	Other revolving credit and installment				2,271	2,454		131	102		-	-
		Total consumer			1,173,939	1,093,210		24,366	25,169		1,522	1,408
			Total off-balance sheet securitized loans	$	1,311,060	1,237,866		35,508	34,343		2,091	2,146

Balances have been revised to correct previously reported amounts.
Balances have been revised to conform with current period presentation of including loans sold to FNMA, GNMA, and FHLMC.

Transactions With Consolidated Variable Interest Entities


							Carrying value
					Total			Third
					VIE	Consolidated		party	Noncontrolling		Net
(in millions)					assets		assets	liabilities		interests	assets
December 31, 2011

Secured borrowings:
	Municipal tender option bond securitizations			$	14,168		11,748	(10,689)		-	1,059
	Auto loan securitizations				-		-	-		-	-
	Commercial real estate loans				1,168		1,168	(1,041)		-	127
	Residential mortgage securitizations (1)				5,705		6,114	(5,759)		-	355
		Total secured borrowings			21,041		19,030	(17,489)		-	1,541
Consolidated VIEs:
	Nonconforming residential
		mortgage loan securitizations			11,375		10,244	(4,514)		-	5,730
	Multi-seller commercial paper conduit				2,860		2,860	(2,935)		-	(75)
	Auto loan securitizations				163		163	(143)		-	20
	Structured asset finance				124		124	(16)		-	108
	Investment funds				2,012		2,012	(22)		-	1,990
	Other				3,432		2,812	(1,890)		(61)	861
		Total consolidated VIEs			19,966		18,215	(9,520)		(61)	8,634
			Total secured borrowings and consolidated VIEs	$	41,007		37,245	(27,009)		(61)	10,175
December 31, 2010

Secured borrowings:
	Municipal tender option bond securitizations			$	10,687		7,874	(7,779)		-	95
	Auto loan securitizations				154		154	-		-	154
	Commercial real estate loans				1,321		1,321	(1,272)		-	49
	Residential mortgage securitizations				700		618	(436)		-	182
		Total secured borrowings			12,862		9,967	(9,487)		-	480
Consolidated VIEs:
	Nonconforming residential
		mortgage loan securitizations			14,518		13,529	(6,723)		-	6,806
	Multi-seller commercial paper conduit				3,197		3,197	(3,279)		-	(82)
	Auto loan securitizations				1,010		1,010	(955)		-	55
	Structured asset finance				146		146	(21)		(11)	114
	Investment funds				1,197		1,197	(54)		(14)	1,129
	Other (2)				2,938		2,836	(1,724)		(69)	1,043
		Total consolidated VIEs			23,006		21,915	(12,756)		(94)	9,065
			Total secured borrowings and consolidated VIEs	$	35,868		31,882	(22,243)		(94)	9,545

Includes $5.6 billion of reverse mortgage loans that were previously accounted for as a sale to a GNMA securitization program.
Revised to correct previously reported amounts.

- Definition

Tabular disclosure of all information related to the key inputs and assumptions (including, at a minimum, but not limited to, and if applicable, quantitative information about discount rates, expected prepayments including the expected weighted-average life of prepayable financial assets, and anticipated credit losses) used in measuring the fair value of assets or liabilities that relate to the transferor's continuing involvement with transferred financial assets, as of the balance sheet date.

+ References+ Details

- Definition

Tabular disclosure of all information related to the key inputs and assumptions used in measuring the fair value of assets obtained or liabilities incurred, as the result of a sale of financial assets, relating to the transferor's continuing involvement, if any, at the time of securitization, asset-backed financing arrangement, or similar transfer (including at a minimum, but not limited to, and if applicable, quantitative information about discount rates, expected prepayments including the expected weighted-average life of prepayable financial assets, and anticipated credit losses, including expected static pool losses).

+ References+ Details