Securitizations and Variable Interest Entities (Tables)

3 Months Ended

Mar. 31, 2012

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

March 31, 2012

Cash			$	-		378		38	416
Trading assets				3,302		130		27	3,459
Securities available for sale (1)				21,953		3,060		12,305	37,318
Mortgages held for sale				-		549		-	549
Loans				11,220		11,969		7,364	30,553
Mortgage servicing rights				12,789		-		-	12,789
Other assets				4,364		533		146	5,043
	Total assets			53,628		16,619		19,880	90,127
Short-term borrowings				-		3,043	(2)	11,029	14,072
Accrued expenses and other liabilities				3,606		826	(2)	147	4,579
Long-term debt				-		4,113	(2)	6,856	10,969
	Total liabilities			3,606		7,982		18,032	29,620
Noncontrolling interests				-		62		-	62
		Net assets	$	50,022		8,575		1,848	60,445

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	(2)	10,682	14,132
Accrued expenses and other liabilities				3,350		1,138	(2)	121	4,609
Long-term debt				-		4,932	(2)	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

Excludes certain debt securities related to loans serviced for the Federal National Mortgage Association (FNMA), Federal Home Loan Mortgage Corporation (FHLMC) and GNMA.
Includes the following VIE liabilities at March 31, 2012 and December 31, 2011, respectively, with recourse to the general credit of Wells Fargo: Short-term borrowings, $3.0 billion and $3.4 billion; Accrued expenses and other liabilities, $706 million and $963 million; and Long-term debt, $30 million and $30 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
March 31, 2012
						Carrying value - asset (liability)
Residential mortgage loan
	securitizations:
		Conforming	$	1,207,348		4,418	11,922	-	(1,087)	15,253
		Other/nonconforming		58,016		2,433	367	1	(49)	2,752
Commercial mortgage securitizations				175,045		7,033	469	337	-	7,839
Collateralized debt obligations:
		Debt securities		10,493		1,011	-	45	-	1,056
		Loans (2)		9,676		9,429	-	-	-	9,429
Asset-based finance structures				12,036		7,562	-	(142)	-	7,420
Tax credit structures				19,717		4,113	-	-	(1,399)	2,714
Collateralized loan obligations				11,831		2,002	-	8	-	2,010
Investment funds				6,155		-	-	-	-	-
Other (3)				17,432		1,614	32	(17)	(80)	1,549
		Total	$	1,527,749		39,615	12,790	232	(2,615)	50,022

						Maximum exposure to loss
Residential mortgage loan
	securitizations:
		Conforming			$	4,418	11,922	-	3,632	19,972
		Other/nonconforming				2,433	367	1	327	3,128
Commercial mortgage securitizations						7,033	469	519	-	8,021
Collateralized debt obligations:
		Debt securities				1,011	-	838	-	1,849
		Loans (2)				9,429	-	-	-	9,429
Asset-based finance structures						7,562	-	142	1,944	9,648
Tax credit structures						4,113	-	-	-	4,113
Collateralized loan obligations						2,002	-	9	523	2,534
Investment funds						-	-	-	37	37
Other (3)						1,614	32	423	150	2,219
		Total			$	39,615	12,790	1,932	6,613	60,950

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								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 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 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

Includes total equity interests of $416 million and $460 million at March 31, 2012, and December 31, 2011, 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 86% were rated as investment grade by the primary rating agencies at March 31, 2012. These senior loans are accounted for at amortized cost 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


		2012		2011
			Other		Other
	Mortgage		financial	Mortgage	financial
(in millions)		loans	assets	loans	assets
Quarter ended March 31,
Sales proceeds from securitizations (1)	$	143,105	-	100,241	-
Servicing fees		1,111	3	1,088	3
Other interests held		426	49	503	87
Purchases of delinquent assets		-	-	3	-
Net servicing advances		14	-	(9)	-

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

Key Assumptions To Measure Mortgage Servicing Assets At Date Of Securitization


		Residential mortgage
		servicing rights
		2012		2011
Quarter ended March 31,
Prepayment speed (1)		13.1	%	11.4
Discount rate		7.1		7.9
Cost to service ($ per loan) (2)	$	119		134

The prepayment speed assumption for residential mortgage servicing rights includes a blend of prepayment speeds and default rates. Prepayment speed assumptions are influenced by mortgage interest rate inputs as well as our estimation of drivers of borrower behavior.
Includes costs to service and unreimbursed foreclosure costs.

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


							Other interests held
				Residential
					mortgage		Interest-
					servicing		only	Subordinated				Senior
($ in millions, except cost to service amounts)					rights (1)		strips			bonds		bonds
Fair value of interests held at March 31, 2012				$	13,578		219			45		317
Expected weighted-average life (in years)					5.2		4.5			6.1		5.9

Key economic assumptions:
	Prepayment speed assumption (2)				14.5	%	10.1			6.9		12.7
		Decrease in fair value from:
			10% adverse change	$	858		6			-		1
			25% adverse change		2,018		13			-		3

	Discount rate assumption				7.5	%	16.0			9.0		6.4
		Decrease in fair value from:
			100 basis point increase	$	666		5			2		13
			200 basis point increase		1,273		11			4		25

	Cost to service assumption ($ per loan)				210
		Decrease in fair value from:
			10% adverse change		575
			25% adverse change		1,438

	Credit loss assumption									0.4	%	3.7
		Decrease in fair value from:
			10% higher losses						$	-		1
			25% higher losses							-		1

Fair value of interests held at December 31, 2011				$	12,918		230			45		321
Expected weighted-average life (in years)					5.1		4.6			6.1		5.6

Key economic assumptions:
	Prepayment speed assumption (2)				14.8	%	10.7			6.9		13.9
		Decrease in fair value from:
			10% adverse change	$	895		6			-		2
			25% adverse change		2,105		15			1		4

	Discount rate assumption				7.1	%	15.6			11.9		7.1
		Decrease in fair value from:
			100 basis point increase	$	566		6			2		12
			200 basis point increase		1,081		12			4		24

	Cost to service assumption ($ per loan)				218
		Decrease in fair value from:
			10% adverse change		582
			25% adverse change		1,457

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

Prior period has been revised to conform to current period presentation.
The prepayment speed assumption for residential mortgage servicing rights includes a blend of prepayment speeds and default rates. Prepayment speed assumptions are influenced by mortgage interest rate inputs as well as our estimation of drivers of borrower behavior.

Principal Balances - Off-Balance Sheet Securitized Loans


									Net charge-offs
					Total loans		Delinquent loans		Three months ended
					Mar. 31,	Dec. 31,	Mar. 31,	Dec. 31,	Mar. 31,
(in millions)					2012	2011	2012	2011	2012	2011
Commercial:
	Real estate mortgage			$	134,339	137,121	11,358	11,142	54	73
		Total commercial			134,339	137,121	11,358	11,142	54	73
Consumer:
	Real estate 1-4 family first mortgage				1,237,871	1,171,666	24,002	24,235	286	406
	Real estate 1-4 family junior lien mortgage				2	2	-	-	-	-
	Other revolving credit and installment				2,218	2,271	119	131	-	-
		Total consumer			1,240,091	1,173,939	24,121	24,366	286	406
			Total off-balance sheet securitized loans	$	1,374,430	1,311,060	35,479	35,508	340	479

Transactions With Consolidated Variable Interest Entities


							Carrying value
					Total			Third
					VIE	Consolidated		party	Noncontrolling		Net
(in millions)					assets		assets	liabilities		interests	assets
March 31, 2012

Secured borrowings:
	Municipal tender option bond securitizations			$	14,519		12,385	(11,060)		-	1,325
	Commercial real estate loans				1,166		1,166	(1,038)		-	128
	Residential mortgage securitizations				5,871		6,329	(5,934)		-	395
		Total secured borrowings			21,556		19,880	(18,032)		-	1,848
Consolidated VIEs:
	Nonconforming residential
		mortgage loan securitizations			10,231		9,211	(3,732)		-	5,479
	Multi-seller commercial paper conduit				2,547		2,547	(2,614)		-	(67)
	Auto loan securitizations				126		126	(107)		-	19
	Structured asset finance				110		110	(16)		-	94
	Investment funds				2,024		2,024	(1)		-	2,023
	Other				2,685		2,601	(1,512)		(62)	1,027
		Total consolidated VIEs			17,723		16,619	(7,982)		(62)	8,575
			Total secured borrowings and consolidated VIEs	$	39,279		36,499	(26,014)		(62)	10,423
December 31, 2011

Secured borrowings:
	Municipal tender option bond securitizations			$	14,168		11,748	(10,689)		-	1,059
	Commercial real estate loans				1,168		1,168	(1,041)		-	127
	Residential mortgage securitizations				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

- 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