Securitizations and Variable Interest Entities (Tables)

6 Months Ended

Jun. 30, 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

June 30, 2013

Cash			$	-		169		8	177
Trading assets				2,183		152		204	2,539
Securities available for sale (1)				18,899		1,409		13,618	33,926
Mortgages held for sale				-		143		-	143
Loans				9,450		8,490		6,525	24,465
Mortgage servicing rights				13,714		-		-	13,714
Other assets				4,957		369		163	5,489
	Total assets			49,203		10,732		20,518	80,453
Short-term borrowings				-		14	(2)	10,873	10,887
Accrued expenses and other liabilities				3,917		989	(2)	7	4,913
Long-term debt				-		2,755	(2)	6,125	8,880
	Total liabilities			3,917		3,758		17,005	24,680
Noncontrolling interests				-		10		-	10
		Net assets	$	45,286		6,964		3,513	55,763

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 June 30, 2013 and December 31, 2012, respectively, with recourse to the general credit of Wells Fargo: Short-term borrowings, $0 and $2.1 billion; Accrued expenses and other liabilities, $876 million and $767 million; and Long-term debt, $29 million and $29 million.

Transactions with Variable Interest Entity


						Carrying value - asset (liability)
									Other
				Total		Debt and			commitments
				VIE		equity	Servicing		and	Net
(in millions)				assets	interests (1)		assets	Derivatives	guarantees	assets
June 30, 2013
Residential mortgage loan
	securitizations:
		Conforming	$	1,292,918		3,791	13,022	(8)	(1,918)	14,887
		Other/nonconforming		43,369		1,709	272	-	(41)	1,940
Commercial mortgage securitizations				170,679		7,526	395	287	-	8,208
Collateralized debt obligations:
		Debt securities		7,084		36	-	397	(130)	303
		Loans (2)		8,089		7,733	-	-	-	7,733
Asset-based finance structures				10,640		6,606	-	(91)	-	6,515
Tax credit structures				20,524		5,200	-	-	(1,485)	3,715
Collateralized loan obligations				5,719		1,089	-	-	-	1,089
Investment funds				3,801		50	-	-	-	50
Other (3)				9,343		1,006	25	4	(189)	846
		Total	$	1,572,166		34,746	13,714	589	(3,763)	45,286

						Maximum exposure to loss
									Other
						Debt and			commitments
						equity	Servicing		and	Total
					interests		assets	Derivatives	guarantees	exposure
Residential mortgage loan
	securitizations:
		Conforming			$	3,791	13,022	8	5,683	22,504
		Other/nonconforming				1,709	272	-	363	2,344
Commercial mortgage securitizations						7,526	395	340	-	8,261
Collateralized debt obligations:
		Debt securities				36	-	397	130	563
		Loans (2)				7,733	-	-	-	7,733
Asset-based finance structures						6,606	-	91	2,005	8,702
Tax credit structures						5,200	-	-	432	5,632
Collateralized loan obligations						1,089	-	-	158	1,247
Investment funds						50	-	-	43	93
Other (3)						1,006	25	192	191	1,414
		Total			$	34,746	13,714	1,028	9,005	58,493

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					Carrying value - asset (liability)
								Other
			Total		Debt and			commitments
			VIE		equity	Servicing		and	Net
(in millions)			assets		interests (1)	assets	Derivatives	guarantees	assets
December 31, 2012
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
								Other
					Debt and			commitments
					equity	Servicing		and	Total
					interests	assets	Derivatives	guarantees	exposure
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 $5.8 billion at both June 30, 2013 and December 31, 2012. 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 75% and 83% were rated as investment grade by the primary rating agencies at June 30, 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 June 30,
Sales proceeds from securitizations (1)	$	115,287	-	133,764	-
Fees from servicing rights retained		1,051	3	1,113	2
Other interests held		441	21	441	45
Purchases of delinquent assets		7	-	52	-
Net servicing advances		12	-	112	-


Six months ended June 30,
Sales proceeds from securitizations (1)	$	221,593	-	276,869	-
Fees from servicing rights retained		2,127	5	2,224	5
Other interests held		847	48	867	94
Purchases of delinquent assets		16	-	52	-
Net servicing advances		814	-	126	-

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 June 30,
Prepayment speed (1)		11.7	%	13.2
Discount rate		7.1		7.5
Cost to service ($ per loan) (2)	$	199		146

Six months ended June 30,
Prepayment speed (1)		11.8	%	13.2
Discount rate		7.1		7.3
Cost to service ($ per loan) (2)	$	189		131

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 June 30, 2013				$	14,185		152		41		-		268	929
Expected weighted-average life (in years)					6.2		4.2		6.0		-		4.3	5.5

Key economic assumptions:
	Prepayment speed assumption (3)				11.4	%	9.9		6.7		-
		Decrease in fair value from:
			10% adverse change	$	876		3		-		-
			25% adverse change		2,080		8		-		-

	Discount rate assumption				7.6	%	18.1		4.4		-		1.4	3.5
		Decrease in fair value from:
			100 basis point increase	$	760		3		2		-		9	43
			200 basis point increase		1,456		6		4		-		18	82

	Cost to service assumption ($ per loan)				200
		Decrease in fair value from:
			10% adverse change		600
			25% adverse change		1,499

	Credit loss assumption								0.4	%	-		6.8	-
		Decrease in fair value from:
			10% higher losses					$	-		-		6	-
			25% higher losses						-		-		14	-

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		Six months ended
					June 30,	Dec. 31,	June 30,	Dec. 31,	June 30,
(in millions)					2013	2012	2013	2012	2013	2012
Commercial:
	Real estate mortgage			$	116,226	128,564	9,691	12,216	387	207
		Total commercial			116,226	128,564	9,691	12,216	387	207
Consumer:
	Real estate 1-4 family first mortgage				1,296,318	1,283,504	19,866	21,574	471	571
	Real estate 1-4 family junior lien mortgage				1	1	-	-	-	-
	Other revolving credit and installment				1,879	2,034	89	110	-	-
		Total consumer			1,298,198	1,285,539	19,955	21,684	471	571
			Total off-balance sheet securitized loans (1)	$	1,414,424	1,414,103	29,646	33,900	858	778

At June 30, 2013 and December 31, 2012, the table includes total loans of $1.3 trillion at both dates and delinquent loans of $16.4 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
June 30, 2013

Secured borrowings:
	Municipal tender option bond securitizations			$	16,564		13,892	(10,880)		-	3,012
	Commercial real estate loans				730		730	(504)		-	226
	Residential mortgage securitizations				5,563		5,896	(5,621)		-	275
		Total secured borrowings			22,857		20,518	(17,005)		-	3,513
Consolidated VIEs:
	Nonconforming residential
		mortgage loan securitizations			7,654		6,808	(2,559)		-	4,249
	Multi-seller commercial paper conduit				-		-	-		-	-
	Structured asset finance				62		62	(17)		-	45
	Investment funds				1,657		1,657	(63)		-	1,594
	Other				2,286		2,205	(1,119)		(10)	1,076
		Total consolidated VIEs			11,659		10,732	(3,758)		(10)	6,964
			Total secured borrowings and consolidated VIEs	$	34,516		31,250	(20,763)		(10)	10,477
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.

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- 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