Securitizations and Variable Interest Entities (Tables)

3 Months Ended

Mar. 31, 2013

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, 2013

Cash			$	-		156		8	164
Trading assets				2,034		135		215	2,384
Securities available for sale (1)				20,586		2,600		14,711	37,897
Mortgages held for sale				-		257		-	257
Loans				9,686		9,660		6,900	26,246
Mortgage servicing rights				11,688		-		-	11,688
Other assets				5,058		434		172	5,664
	Total assets			49,052		13,242		22,006	84,300
Short-term borrowings				-		2,067	(2)	12,305	14,372
Accrued expenses and other liabilities				3,938		834	(2)	7	4,779
Long-term debt				-		2,973	(2)	6,379	9,352
	Total liabilities			3,938		5,874		18,691	28,503
Noncontrolling interests				-		25		-	25
		Net assets	$	45,114		7,343		3,315	55,772

December 31, 2012

Cash			$	-		260		30	290
Trading assets				1,902		114		218	2,234
Securities available for sale (1)				19,900		2,772		14,848	37,520
Mortgages held for sale				-		469		-	469
Loans				9,841		10,553		7,088	27,482
Mortgage servicing rights				11,114		-		-	11,114
Other assets				4,993		457		161	5,611
	Total assets			47,750		14,625		22,345	84,720
Short-term borrowings				-		2,059	(2)	13,228	15,287
Accrued expenses and other liabilities				3,441		901	(2)	20	4,362
Long-term debt				-		3,483	(2)	6,520	10,003
	Total liabilities			3,441		6,443		19,768	29,652
Noncontrolling interests				-		48		-	48
		Net assets	$	44,309		8,134		2,577	55,020

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, 2013 and December 31, 2012, respectively, with recourse to the general credit of Wells Fargo: Short-term borrowings, $2.1 billion and $2.1 billion; Accrued expenses and other liabilities, $729 million and $767 million; and Long-term debt, $29 million and $29 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, 2013
						Carrying value - asset (liability)
Residential mortgage loan
	securitizations:
		Conforming	$	1,274,961		3,712	10,970	-	(1,931)	12,751
		Other/nonconforming		46,968		2,119	258	-	(33)	2,344
Commercial mortgage securitizations				174,917		7,809	433	373	-	8,615
Collateralized debt obligations:
		Debt securities		6,737		12	-	422	(138)	296
		Loans (2)		8,102		7,920	-	-	-	7,920
Asset-based finance structures				11,623		7,437	-	(94)	-	7,343
Tax credit structures				21,047		5,256	-	-	(1,624)	3,632
Collateralized loan obligations				5,618		1,233	-	0	-	1,233
Investment funds				4,409		53	-	-	-	53
Other (3)				9,994		980	27	(41)	(39)	927
		Total	$	1,564,376		36,531	11,688	660	(3,765)	45,114

						Maximum exposure to loss
Residential mortgage loan
	securitizations:
		Conforming			$	3,712	10,970	-	5,458	20,140
		Other/nonconforming				2,119	258	-	353	2,730
Commercial mortgage securitizations						7,809	433	426	-	8,668
Collateralized debt obligations:
		Debt securities				12	-	422	138	572
		Loans (2)				7,920	-	-	-	7,920
Asset-based finance structures						7,437	-	94	1,974	9,505
Tax credit structures						5,256	-	-	387	5,643
Collateralized loan obligations						1,233	-	0	261	1,494
Investment funds						53	-	-	24	77
Other (3)						980	27	214	119	1,340
		Total			$	36,531	11,688	1,156	8,714	58,089

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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, 2012
					Carrying value - asset (liability)
Residential mortgage loan securitizations:
	Conforming	$	1,268,494		3,620	10,336	-	(1,690)	12,266
	Other/nonconforming		49,794		2,188	284	0	(53)	2,419
Commercial mortgage securitizations			168,126		7,081	466	404	-	7,951
Collateralized debt obligations:
	Debt securities		6,940		13	-	471	144	628
	Loans (2)		8,155		7,962	-	-	-	7,962
Asset-based finance structures			10,404		7,155	-	(104)	-	7,051
Tax credit structures			20,098		5,180	-	-	(1,657)	3,523
Collateralized loan obligations			6,641		1,439	-	1	-	1,440
Investment funds			4,771		49	-	-	-	49
Other (3)			10,401		977	28	14	1	1,020
	Total	$	1,553,824		35,664	11,114	786	(3,255)	44,309

					Maximum exposure to loss
Residential mortgage loan securitizations:
	Conforming			$	3,620	10,336	-	5,061	19,017
	Other/nonconforming				2,188	284	-	353	2,825
Commercial mortgage securitizations					7,081	466	446	-	7,993
Collateralized debt obligations:									-
	Debt securities				13	-	471	144	628
	Loans (2)				7,962	-	-	-	7,962
Asset-based finance structures					7,155	-	104	1,967	9,226
Tax credit structures					5,180	-	-	247	5,427
Collateralized loan obligations					1,439	-	1	261	1,701
Investment funds					49	-	-	27	76
Other (3)					977	28	318	119	1,442
	Total			$	35,664	11,114	1,340	8,179	56,297

Includes total equity interests of $5.9 billion and $5.8 billion at March 31, 2013 and December 31, 2012, 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 77% and 83% were rated as investment grade by the primary rating agencies at March 31, 2013 and December 31, 2012, respectively. 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


		2013		2012
			Other		Other
	Mortgage		financial	Mortgage	financial
(in millions)		loans	assets	loans	assets
Quarter ended March 31,
Sales proceeds from securitizations (1)	$	106,306	-	143,105	-
Servicing fees		1,076	2	1,111	3
Other interests held		406	27	426	49
Purchases of delinquent assets		9	-	-	-
Net servicing advances		802	-	14	-

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
		2013		2012
Quarter ended March 31,
Prepayment speed (1)		11.9	%	13.1
Discount rate		7.1		7.1
Cost to service ($ per loan) (2)	$	178		119

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-			Consumer				Commercial (2)
				servicing			only	Subordinated			Senior	Subordinated		Senior
($ in millions, except cost to service amounts)					rights (1)		strips		bonds		bonds		bonds	bonds
Fair value of interests held at March 31, 2013				$	12,061		176		42		-		252	988
Expected weighted-average life (in years)					5.2		4.0		6.0		-		4.6	5.7

Key economic assumptions:
	Prepayment speed assumption (3)				14.2	%	10.4		6.7		-
		Decrease in fair value from:
			10% adverse change	$	862		5		-		-
			25% adverse change		2,030		11		-		-

	Discount rate assumption				7.3	%	17.3		3.8		-		2.8	3.2
		Decrease in fair value from:
			100 basis point increase	$	619		4		2		-		10	47
			200 basis point increase		1,175		8		4		-		19	90

	Cost to service assumption ($ per loan)				216
		Decrease in fair value from:
			10% adverse change		626
			25% adverse change		1,566

	Credit loss assumption								0.4	%	-		8.4	-
		Decrease in fair value from:
			10% higher losses					$	-		-		9	-
			25% higher losses						-		-		15	-

Fair value of interests held at December 31, 2012				$	11,538		187		40		-		249	982
Expected weighted-average life (in years)					4.8		4.1		5.9		-		4.7	5.3

Key economic assumptions:
Prepayment speed assumption (3)					15.7	%	10.6		6.8		-
	Decrease in fair value from:
		10% adverse change		$	869		5		-		-
		25% adverse change			2,038		12		-		-

	Discount rate assumption				7.4	%	16.9		8.9		-		3.5	2.2
		Decrease in fair value from:
			100 basis point increase	$	562		4		2		-		12	43
			200 basis point increase		1,073		8		4		-		21	84

	Cost to service assumption ($ per loan)				219
		Decrease in fair value from:
			10% adverse change		615
			25% adverse change		1,537

	Credit loss assumption								0.4	%	-		10.0	-
		Decrease in fair value from:
			10% higher losses					$	-		-		12	-
			25% higher losses						-		-		19	-

See narrative following this table for a discussion of commercial mortgage servicing rights.
Prepayment speed assumptions do not significantly impact the value of commercial mortgage securitization bonds as the underlying commercial mortgage loans experience significantly lower prepayments due to certain contractual restrictions, impacting the borrower's ability to prepay the mortgage.
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)					2013	2012	2013	2012	2013	2012
Commercial:
	Real estate mortgage			$	118,408	128,564	9,049	12,216	72	54
		Total commercial			118,408	128,564	9,049	12,216	72	54
Consumer:
	Real estate 1-4 family first mortgage				1,283,304	1,283,504	20,574	21,574	255	286
	Real estate 1-4 family junior lien mortgage				1	1	-	-	-	-
	Other revolving credit and installment				1,980	2,034	101	110	-	-
		Total consumer			1,285,285	1,285,539	20,675	21,684	255	286
			Total off-balance sheet securitized loans (1)	$	1,403,693	1,414,103	29,724	33,900	327	340

At March 31, 2013 and December 31, 2012, the table includes total loans of $1.3 trillion and $1.3 trillion, respectively, and delinquent loans of $16.9 billion and $17.4 billion, respectively for FNMA, FHLMC and GNMA. Net charge-offs exclude loans sold to FNMA, FHLMC and GNMA as we do not service or manage the underlying real estate upon foreclosure and, as such, do not have access to net charge-off information.

Transactions With Consolidated Variable Interest Entities



							Carrying value
					Total			Third
					VIE	Consolidated		party	Noncontrolling		Net
(in millions)					assets		assets	liabilities		interests	assets
March 31, 2013

Secured borrowings:
	Municipal tender option bond securitizations			$	16,726		15,001	(12,313)		-	2,688
	Commercial real estate loans				897		897	(642)		-	255
	Residential mortgage securitizations				5,672		6,108	(5,736)		-	372
		Total secured borrowings			23,295		22,006	(18,691)		-	3,315
Consolidated VIEs:
	Nonconforming residential
		mortgage loan securitizations			8,165		7,264	(2,761)		-	4,503
	Multi-seller commercial paper conduit				2,064		2,050	(2,061)		-	(11)
	Structured asset finance				64		64	(17)		-	47
	Investment funds				1,749		1,749	(36)		-	1,713
	Other				2,220		2,115	(999)		(25)	1,091
		Total consolidated VIEs			14,262		13,242	(5,874)		(25)	7,343
			Total secured borrowings and consolidated VIEs	$	37,557		35,248	(24,565)		(25)	10,658
December 31, 2012

Secured borrowings:
	Municipal tender option bond securitizations			$	16,782		15,130	(13,248)		-	1,882
	Commercial real estate loans				975		975	(696)		-	279
	Residential mortgage securitizations				5,757		6,240	(5,824)		-	416
		Total secured borrowings			23,514		22,345	(19,768)		-	2,577
Consolidated VIEs:
	Nonconforming residential
		mortgage loan securitizations			8,633		7,707	(2,933)		-	4,774
	Multi-seller commercial paper conduit				2,059		2,036	(2,053)		-	(17)
	Structured asset finance				71		71	(17)		-	54
	Investment funds				1,837		1,837	(2)		-	1,835
	Other				3,454		2,974	(1,438)		(48)	1,488
		Total consolidated VIEs			16,054		14,625	(6,443)		(48)	8,134
			Total secured borrowings and consolidated VIEs	$	39,568		36,970	(26,211)		(48)	10,711

- 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