Note 7: Securitizations and Variable Interest Entities

Involvement with SPEs

In the normal course of business, we enter into various types of on- and off-balance sheet transactions with special purpose entities (SPEs), which are corporations, trusts or partnerships that are established for a limited purpose. Generally, SPEs are formed in connection with securitization transactions and are considered variable interest entities (VIEs). For further description of our involvement with SPEs, see Note 8 (Securitizations and Variable Interest Entities) to Financial Statements in our 2014 Form 10-K.

We have segregated our involvement with VIEs between those VIEs which we consolidate, those which we do not consolidate and those for which we account for the transfers of financial assets as secured borrowings. Secured borrowings are transactions involving transfers of our financial assets to third parties that are accounted for as financings with the assets pledged as collateral. Accordingly, the transferred assets remain recognized on our balance sheet. Subsequent tables within this Note further segregate these transactions by structure type.

The following table provides the classifications of assets and liabilities in our balance sheet for our transactions with VIEs.



(in millions)	VIEs that we do not consolidate		VIEs that we consolidate	Transfers that we account for as secured borrowings		Total
June 30, 2015
Cash	$	—	122		2	124
Trading assets	1,767		1		202	1,970
Investment securities (1)	14,899		690		2,687	18,276
Loans	10,811		5,103		4,708	20,622
Mortgage servicing rights	12,648		—		—	12,648
Other assets	8,561		302		56	8,919
Total assets	48,686		6,218		7,655	62,559
Short-term borrowings	—		—		2,019	2,019
Accrued expenses and other liabilities	829		60	(2)	1	890
Long-term debt	2,883		1,474	(2)	4,612	8,969
Total liabilities	3,712		1,534		6,632	11,878
Noncontrolling interests	—		105		—	105
Net assets	$	44,974	4,579		1,023	50,576
December 31, 2014
Cash	$	—	117		4	121
Trading assets	2,165		—		204	2,369
Investment securities (1)	18,271		875		4,592	23,738
Loans	13,195		4,509		5,280	22,984
Mortgage servicing rights	12,562		—		—	12,562
Other assets	7,456		316		52	7,824
Total assets	53,649		5,817		10,132	69,598
Short-term borrowings	—		—		3,141	3,141
Accrued expenses and other liabilities	848		49	(2)	1	898
Long-term debt	2,585		1,628	(2)	4,990	9,203
Total liabilities	3,433		1,677		8,132	13,242
Noncontrolling interests	—		103		—	103
Net assets	$	50,216	4,037		2,000	56,253


(1)	Excludes certain debt securities related to loans serviced for the Federal National Mortgage Association (FNMA), Federal Home Loan Mortgage Corporation (FHLMC) and GNMA.


(2)	There were no VIE liabilities with recourse to the general credit of Wells Fargo for the periods presented.

Transactions with Unconsolidated VIEs

Our transactions with VIEs include securitizations of residential mortgage loans, CRE loans, student loans, auto loans and leases and dealer floorplan loans; investment and financing activities involving collateralized debt obligations (CDOs) backed by asset-backed and CRE securities, collateralized loan obligations (CLOs) backed by corporate loans, and other types of structured financing. We have various forms of involvement with VIEs, including servicing, holding senior or subordinated interests, entering into liquidity arrangements, credit default swaps and other derivative contracts. Involvements with these unconsolidated VIEs are recorded on our balance sheet primarily in trading assets, investment securities, loans, MSRs, other assets and other liabilities, as appropriate.

The following tables provide a summary of unconsolidated VIEs with which we have significant continuing involvement, but we are not the primary beneficiary. We do not consider our continuing involvement in an unconsolidated VIE to be significant when it relates to third-party sponsored VIEs for which we were not the transferor (unless we are servicer and have other significant forms of involvement) or if we were the sponsor only or sponsor and servicer but do not have any other forms of significant involvement.

Significant continuing involvement includes transactions where we were the sponsor or transferor and have other significant forms of involvement. Sponsorship includes transactions with unconsolidated VIEs where we solely or materially participated in the initial design or structuring of the entity or marketing of the transaction to investors. When we transfer assets to a VIE and account for the transfer as a sale, we are considered the transferor. We consider investments in securities (other than those held temporarily in trading), loans, guarantees, liquidity agreements, written options and servicing of collateral to be other forms of involvement that may be significant. We have excluded certain transactions with unconsolidated VIEs from the balances presented in the following table where we have determined that our continuing involvement is not significant due to the temporary nature and size of our variable interests, because we were not the transferor or because we were not involved in the design of the unconsolidated VIEs. We also exclude from the table secured borrowing transactions with unconsolidated VIEs (for information on these transactions, see the Transactions with Consolidated VIEs and Secured Borrowings section in this Note).



			Carrying value - asset (liability)
(in millions)	Total VIE assets		Debt and equity interests (1)		Servicing assets	Derivatives		Other commitments and guarantees		Net assets
June 30, 2015
Residential mortgage loan securitizations:
Conforming (2)	$	1,223,715	2,824		11,786	—		(557	)	14,053
Other/nonconforming	28,487		1,465		167	—		(5	)	1,627
Commercial mortgage securitizations	191,038		7,238		678	195		(25	)	8,086
Collateralized debt obligations:
Debt securities	4,285		4		—	135		(91	)	48
Loans (3)	4,253		4,146		—	—		—		4,146
Asset-based finance structures	16,040		10,345		—	(68	)	—		10,277
Tax credit structures	24,405		8,461		—	—		(2,883	)	5,578
Collateralized loan obligations	1,619		478		—	—		—		478
Investment funds	1,730		48		—	—		—		48
Other (4)	13,355		674		17	(44	)	(14	)	633
Total	$	1,508,927	35,683		12,648	218		(3,575	)	44,974
			Maximum exposure to loss
			Debt and equity interests (1)		Servicing assets	Derivatives		Other commitments and guarantees		Total exposure
Residential mortgage loan securitizations:
Conforming			$	2,824	11,786	—		2,083		16,693
Other/nonconforming			1,465		167	—		348		1,980
Commercial mortgage securitizations			7,238		678	195		6,537		14,648
Collateralized debt obligations:
Debt securities			4		—	135		91		230
Loans (3)			4,146		—	—		—		4,146
Asset-based finance structures			10,345		—	83		461		10,889
Tax credit structures			8,461		—	—		800		9,261
Collateralized loan obligations			478		—	—		—		478
Investment funds			48		—	—		—		48
Other (4)			674		17	142		164		997
Total			$	35,683	12,648	555		10,484		59,370

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			Carrying value - asset (liability)
(in millions)	Total VIE assets		Debt and equity interests (1)		Servicing assets	Derivatives		Other commitments and guarantees		Net assets
December 31, 2014
Residential mortgage loan securitizations:
Conforming (2)	$	1,268,200	2,846		11,684	—		(581	)	13,949
Other/nonconforming	32,213		1,644		209	—		(8	)	1,845
Commercial mortgage securitizations	196,510		8,756		650	251		(32	)	9,625
Collateralized debt obligations:
Debt securities	5,039		11		—	163		(105	)	69
Loans (3)	5,347		5,221		—	—		—		5,221
Asset-based finance structures	18,954		13,044		—	(71	)	—		12,973
Tax credit structures	22,859		7,809		—	—		(2,585	)	5,224
Collateralized loan obligations	1,251		518		—	—		—		518
Investment funds	2,764		49		—	—		—		49
Other (4)	12,912		747		19	(18	)	(5	)	743
Total	$	1,566,049	40,645		12,562	325		(3,316	)	50,216
			Maximum exposure to loss
			Debt and equity interests (1)		Servicing assets	Derivatives		Other commitments and guarantees		Total exposure
Residential mortgage loan securitizations:
Conforming			$	2,846	11,684	—		2,507		17,037
Other/nonconforming			1,644		209	—		345		2,198
Commercial mortgage securitizations			8,756		650	251		5,715		15,372
Collateralized debt obligations:
Debt securities			11		—	163		105		279
Loans (3)			5,221		—	—		—		5,221
Asset-based finance structures			13,044		—	89		656		13,789
Tax credit structures			7,809		—	—		725		8,534
Collateralized loan obligations			518		—	—		38		556
Investment funds			49		—	—		—		49
Other (4)			747		19	150		156		1,072
Total			$	40,645	12,562	653		10,247		64,107


(1)	Includes total equity interests of $8.6 billion and $8.1 billion at June 30, 2015, and December 31, 2014, 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.

(2)

Excludes assets and related liabilities with a recorded carrying value on our balance sheet of $1.2 billion and $1.7 billion at June 30, 2015, and December 31, 2014, respectively, for certain delinquent loans that are eligible for repurchase primarily from GNMA loan securitizations. The recorded carrying value represents the amount that would be payable if the Company was to exercise the repurchase option. The carrying amounts are excluded from the table because the loans eligible for repurchase do not represent interests in the VIEs.

(3)

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 75% and 70% were rated as investment grade by the primary rating agencies at June 30, 2015, and December 31, 2014, respectively. These senior loans are accounted for at amortized cost and are subject to the Company’s allowance and credit charge-off policies.


(4)	Includes structured financing 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.

In the two preceding tables, “Total VIE assets” represents the remaining principal balance of assets held by unconsolidated VIEs using the most current information available. For VIEs that obtain exposure to assets synthetically through derivative instruments, the remaining notional amount of the derivative is included in the asset balance. “Carrying value” is the amount in our consolidated balance sheet related to our involvement with the unconsolidated VIEs. “Maximum exposure to loss” from our involvement with off-balance sheet entities, which is a required disclosure under GAAP, is determined as the carrying value of our involvement with off-balance sheet (unconsolidated) VIEs plus the remaining undrawn liquidity and lending commitments, the notional amount of net written derivative contracts, and generally the notional amount of, or stressed loss estimate for, other commitments and guarantees. It represents estimated loss that would be incurred under severe, hypothetical circumstances, for which we believe the possibility is extremely remote, such as where the value of our interests and any associated collateral declines to zero, without any consideration of recovery or offset from any economic hedges. Accordingly, this required disclosure is not an indication of expected loss.

For complete descriptions of our types of transactions with unconsolidated VIEs with which we have a significant continuing involvement, but we are not the primary beneficiary, see Note 8 (Securitizations and Variable Interest Entities) to Financial Statements in our 2014 Form 10-K.

OTHER TRANSACTIONS WITH VIEs Auction rate securities (ARS) are debt instruments with long-term maturities, which re-price more frequently, and preferred equities with no maturity. At June 30, 2015, we held $532 million of ARS issued by VIEs compared with $567 million at December 31, 2014. We acquired the ARS pursuant to agreements entered into in 2008 and 2009.

We do not consolidate the VIEs that issued the ARS because we do not have power over the activities of the VIEs.

TRUST PREFERRED SECURITIES VIEs that we wholly own issue debt securities or preferred equity to third party investors. All of the proceeds of the issuance are invested in debt securities or preferred equity that we issue to the VIEs. The VIEs’ operations and cash flows relate only to the issuance, administration and repayment of the securities held by third parties. We do not consolidate these VIEs because the sole assets of the VIEs are receivables from us, even though we own all of the voting equity shares of the VIEs, have fully guaranteed the obligations of the VIEs and may have the right to redeem the third party securities under certain circumstances. In our consolidated balance sheet at June 30, 2015, and December 31, 2014, we reported the debt securities issued to the VIEs as long-term junior subordinated debt with a carrying value of $2.1 billion at both dates, and the preferred equity securities issued to the VIEs as preferred stock with a carrying value of $2.5 billion at both dates. These amounts are in addition to the involvements in these VIEs included in the preceding table.

Loan Sales and Securitization Activity

We periodically transfer consumer and CRE loans and other types of financial assets in securitization and whole loan sale transactions. We typically retain the servicing rights from these sales and may continue to hold other beneficial interests in the transferred financial assets. We may also provide liquidity to investors in the beneficial interests and credit enhancements in the form of standby letters of credit. Through these transfers we may be exposed to liability under limited amounts of recourse as well as standard representations and warranties we make to purchasers and issuers. The following table presents the cash flows for our transfers accounted for as sales.



	2015				2014
(in millions)	Mortgage loans			Other financial assets	Mortgage loans		Other financial assets
Quarter ended June 30,
Proceeds from securitizations and whole loan sales	$	58,984		160	39,830		—
Fees from servicing rights retained	923			2	979		2
Cash flows from other interests held (1)	348			11	369		18
Repurchases of assets/loss reimbursements (2):
Non-agency securitizations and whole loan transactions	1			—	—		—
Agency securitizations (3)	76			—	93		—
Servicing advances, net of repayments	$	(154	)	—	138		—
Six months ended June 30,
Proceeds from securitizations and whole loan sales	$	100,893		181	77,444		—
Fees from servicing rights retained	1,858			4	2,007		4
Cash flows from other interests held (1)	614			23	662		39
Repurchases of assets/loss reimbursements (2):
Non-agency securitizations and whole loan transactions	7			—	3		—
Agency securitizations (3)	138			—	169		—
Servicing advances, net of repayments	$	(254	)	—	(135	)	—


(1)	Cash flows from other interests held include principal and interest payments received on retained bonds and excess cash flows received on interest-only strips.

(2)

Consists of cash paid to repurchase loans from investors and cash paid to investors to reimburse them for losses on individual loans that are already liquidated. In addition, during the second quarter and first half of 2014, we paid $0 million and $78 million, respectively, to third-party investors to settle repurchase liabilities on pools of loans. There were no loan pool settlements in the second quarter and first half of 2015.

(3)

Represent loans repurchased from GNMA, FNMA, and FHLMC under representation and warranty provisions included in our loan sales contracts. Second quarter and first half of 2015 exclude $2.7 billion and $6.0 billion, respectively, in delinquent insured/guaranteed loans that we service and have exercised our option to purchase out of GNMA pools, compared with $2.8 billion and $6.9 billion, respectively, in the same periods of 2014. These loans are predominantly insured by the FHA or guaranteed by the VA.

In the second quarter and first half of 2015, we recognized net gains of $205 million and $316 million, respectively, from transfers accounted for as sales of financial assets, compared with $68 million and $97 million, respectively, in the same periods of 2014. These net gains primarily relate to commercial mortgage securitizations and residential mortgage securitizations where the loans were not already carried at fair value.

Sales with continuing involvement during the second quarter and first half of 2015 and 2014 predominantly related to securitizations of residential mortgages that are sold to the government-sponsored entities (GSEs), including FNMA, FHLMC and GNMA (conforming residential mortgage securitizations). During the second quarter and first half of 2015, we transferred $53.4 billion and $92.9 billion, respectively, in fair value of residential mortgages to unconsolidated VIEs and third-party investors and recorded the transfers as sales, compared with $36.9 billion and $70.5 billion, respectively, in the same periods of 2014. Substantially all of these transfers did not result in a gain or loss because the loans were already carried at fair value. In connection with all of these transfers, in the first half of 2015 we recorded a $736 million servicing asset, measured at fair value using a Level 3 measurement technique, securities of $800 million, classified as Level 2, and a $23 million liability for repurchase losses which reflects management’s estimate of probable losses related to various representations and warranties for the loans transferred, initially measured at fair value. In the first half of 2014, we recorded a $560 million servicing asset and a $22 million liability.

The following table presents the key weighted-average assumptions we used to measure residential mortgage servicing rights at the date of securitization.



	Residential mortgage servicing rights
	2015			2014
Quarter ended June 30,
Prepayment speed (1)	11.9		%	12.9
Discount rate	7.6			7.3
Cost to service ($ per loan) (2)	$	237		301
Six months ended June 30,
Prepayment speed (1)	12.4		%	12.5
Discount rate	7.6			7.6
Cost to service ($ per loan) (2)	$	237		268


(1)	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.


(2)	Includes costs to service and unreimbursed foreclosure costs, which can vary period to period depending on the mix of modified government-guaranteed loans sold to GNMA.

During the second quarter and first half of 2015, we transferred $6.3 billion and $9.5 billion, respectively, in fair value of commercial mortgages to unconsolidated VIEs and third-party investors and recorded the transfers as sales, compared with $1.0 billion and $2.3 billion in the same periods of 2014, respectively. These transfers resulted in gains of $123 million and $200 million in the second quarter and first half of 2015, respectively, because the loans were carried at lower of cost or market value (LOCOM), compared with gains of $17 million and $41 million in the second quarter and first half of 2014. In connection with these transfers, in the first half of 2015 we recorded a servicing asset of $97 million, initially measured at fair value using a Level 3 measurement technique, and securities of $179 million, classified as Level 2. In the first half of 2014, we recorded a servicing asset of $5 million, using a Level 3 measurement technique, and securities of $100 million, classified as Level 2.

Retained Interests from Unconsolidated VIEs

The following table provides key economic assumptions and the sensitivity of the current fair value of residential mortgage servicing rights and other interests held to immediate adverse changes in those assumptions. “Other interests held” relate predominantly to residential and commercial mortgage loan securitizations. Residential mortgage-backed securities retained in securitizations issued through GSEs, such as FNMA, FHLMC and GNMA, are excluded from the table because these securities have a remote risk of credit loss due to the GSE guarantee. These securities also have economic characteristics similar to GSE mortgage-backed securities that we purchase, which are not included in the table. Subordinated interests include only those bonds whose credit rating was below AAA by a major rating agency at issuance. Senior interests include only those bonds whose credit rating was AAA by a major rating agency at issuance. The information presented excludes trading positions held in inventory.



				Other interests held
	Residential mortgage servicing rights (1)			Interest-only strips	Consumer			Commercial (2)
($ in millions, except cost to service amounts)	Residential mortgage servicing rights (1)			Interest-only strips	Subordinated bonds			Subordinated bonds	Senior bonds
Fair value of interests held at June 30, 2015	$	12,661		102	34			363	590
Expected weighted-average life (in years)	5.9			1.4	5.2			2.2	5.4
Key economic assumptions:
Prepayment speed assumption (3)	11.6		%	10.5	8.1
Decrease in fair value from:
10% adverse change	$	701		1	—
25% adverse change	1,668			3	—
Discount rate assumption	7.4		%	10.6	4.2			4.3	2.6
Decrease in fair value from:
100 basis point increase	$	629		1	1			7	27
200 basis point increase	1,200			2	3			14	53
Cost to service assumption ($ per loan)	169
Decrease in fair value from:
10% adverse change	586
25% adverse change	1,465
Credit loss assumption					0.3		%	3.0	—
Decrease in fair value from:
10% higher losses					$	—		1	—
25% higher losses					—			7	—
Fair value of interests held at December 31, 2014	$	12,738		117	36			294	546
Expected weighted-average life (in years)	5.7			3.9	5.5			2.9	6.2
Key economic assumptions:
Prepayment speed assumption (3)	12.5		%	11.4	7.1
Decrease in fair value from:
10% adverse change	$	738		2	—
25% adverse change	1,754			6	—
Discount rate assumption	7.6		%	18.7	3.9			4.7	2.8
Decrease in fair value from:
100 basis point increase	$	617		2	2			8	29
200 basis point increase	1,178			4	3			15	55
Cost to service assumption ($ per loan)	179
Decrease in fair value from:
10% adverse change	579
25% adverse change	1,433
Credit loss assumption					0.4		%	4.1	—
Decrease in fair value from:
10% higher losses					$	—		3	—
25% higher losses					—			10	—


(1)	See narrative following this table for a discussion of commercial mortgage servicing rights.


(2)	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.


(3)	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.

In addition to residential mortgage servicing rights (MSRs) included in the previous table, we have a small portfolio of commercial MSRs with a fair value of $1.7 billion at June 30, 2015, and $1.6 billion at December 31, 2014. The nature of our commercial MSRs, which are carried at LOCOM, is different from our residential MSRs. Prepayment activity on serviced loans does not significantly impact the value of commercial MSRs because, unlike residential mortgages, commercial mortgages experience significantly lower prepayments due to certain contractual restrictions, impacting the borrower’s ability to prepay the mortgage. Additionally, for our commercial MSR portfolio, we are typically master/primary servicer, but not the special servicer, who is separately responsible for the servicing and workout of delinquent and foreclosed loans. It is the special servicer, similar to our role as servicer of residential mortgage loans, who is affected by higher servicing and foreclosure costs due to an increase in delinquent and foreclosed loans. Accordingly, prepayment speeds and costs to service are not key assumptions for commercial MSRs as they do not significantly impact the valuation. The primary economic driver impacting the fair value of our commercial MSRs is forward interest rates, which are derived from market observable yield curves used to price capital markets instruments. Market interest rates most significantly affect interest earned on custodial deposit balances. The sensitivity of the current fair value to an immediate adverse 25% change in the assumption about interest earned on deposit balances at June 30, 2015, and December 31, 2014, results in a decrease in fair value of $134 million and $185 million, respectively. See Note 8 (Mortgage Banking Activities) for further information on our commercial MSRs.

We also have a loan to an unconsolidated third party VIE that we extended in fourth quarter 2014 in conjunction with our sale of government guaranteed student loans. The loan is carried at amortized cost and approximates fair value at June 30, 2015, and December 31, 2014. The carrying amount of the loan at June 30, 2015, and December 31, 2014, was $5.3 billion and $6.5 billion, respectively. The estimated fair value of the loan is considered a Level 3 measurement that is determined using discounted cash flows that are based on changes in the discount rate due to changes in the risk premium component (credit spreads). The primary economic assumption impacting the fair value of our loan is the discount rate. Changes in the credit loss assumption are not expected to affect the estimated fair value of the loan due to the government guarantee of the underlying collateral. The sensitivity of the current fair value to an immediate adverse increase of 200 basis points in the risk premium component of the discount rate assumption is a decrease in fair value of $55 million and $130 million at June 30, 2015, and December 31, 2014, respectively.

The sensitivities in the preceding paragraphs and table are hypothetical and caution should be exercised when relying on this data. Changes in value based on variations in assumptions generally cannot be extrapolated because the relationship of the change in the assumption to the change in value may not be linear. Also, the effect of a variation in a particular assumption on the value of the other interests held is calculated independently without changing any other assumptions. In reality, changes in one factor may result in changes in others (for example, changes in prepayment speed estimates could result in changes in the credit losses), which might magnify or counteract the sensitivities.

Off-Balance Sheet Loans

The following table presents information about the principal balances of off-balance sheet loans that were sold or securitized, including residential mortgage loans sold to FNMA, FHLMC, GNMA and other investors, for which we have some form of continuing involvement (primarily servicer). Delinquent loans include loans 90 days or more past due and loans in bankruptcy, regardless of delinquency status. For loans sold or securitized where servicing is our only form of continuing involvement, we would only experience a loss if we were required to repurchase a delinquent loan or foreclosed asset due to a breach in representations and warranties associated with our loan sale or servicing contracts.



						Net charge-offs
	Total loans			Delinquent loans and foreclosed assets (1)		Six months ended June 30,
(in millions)	Jun 30, 2015		Dec 31, 2014	Jun 30, 2015	Dec 31, 2014	2015	2014
Commercial:
Real estate mortgage	$	109,856	114,081	7,204	7,949	196	706
Total commercial	109,856		114,081	7,204	7,949	196	706
Consumer:
Real estate 1-4 family first mortgage (3)	1,270,556		1,322,136	24,912	28,639	428	717
Real estate 1-4 family junior lien mortgage	1		1	—	—	—	—
Other revolving credit and installment	1,505		1,599	68	75	—	—
Total consumer	1,272,062		1,323,736	24,980	28,714	428	717
Total off-balance sheet sold or securitized loans (2)	$	1,381,918	1,437,817	32,184	36,663	624	1,423


(1)	Includes $5.2 billion and $3.3 billion of commercial foreclosed assets and $2.4 billion and $2.7 billion of consumer foreclosed assets at June 30, 2015, and December 31, 2014, respectively.


(2)	At June 30, 2015, and December 31, 2014, the table includes total loans of $1.3 trillion at both dates and delinquent loans of $14.2 billion and $16.5 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.


(3)	Net charge-offs in the prior period have been revised to include net charge-offs on whole loan sales and transferred assets in foreclosure status for which we have risk of loss.

Transactions with Consolidated VIEs and Secured Borrowings

The following table presents a summary of financial assets and liabilities for asset transfers accounted for as secured borrowings and involvements with consolidated VIEs. “Assets” are presented using GAAP measurement methods, which may include fair value, credit impairment or other adjustments, and therefore in some instances will differ from “Total VIE assets.” For VIEs that obtain exposure synthetically through derivative instruments, the remaining notional amount of the derivative is included in “Total VIE assets.” On the consolidated balance sheet, we separately disclose the consolidated assets of certain VIEs that can only be used to settle the liabilities of those VIEs.



			Carrying value
(in millions)	Total VIE assets		Assets	Liabilities		Noncontrolling interests		Net assets
June 30, 2015
Secured borrowings:
Municipal tender option bond securitizations	$	3,428	2,945	(2,020	)	—		925
Commercial real estate loans	2		2	—		—		2
Residential mortgage securitizations	4,510		4,708	(4,612	)	—		96
Total secured borrowings	7,940		7,655	(6,632	)	—		1,023
Consolidated VIEs:
Nonconforming residential mortgage loan securitizations	4,585		4,065	(1,370	)	—		2,695
Commercial real estate loans	1,050		1,050	—		—		1,050
Structured asset finance	90		46	(42	)	—		4
Investment funds	715		715	(1	)	—		714
Other	391		342	(121	)	(105	)	116
Total consolidated VIEs	6,831		6,218	(1,534	)	(105	)	4,579
Total secured borrowings and consolidated VIEs	$	14,771	13,873	(8,166	)	(105	)	5,602
December 31, 2014
Secured borrowings:
Municipal tender option bond securitizations	$	5,422	4,837	(3,143	)	—		1,694
Commercial real estate loans	250		250	(63	)	—		187
Residential mortgage securitizations	4,804		5,045	(4,926	)	—		119
Total secured borrowings	10,476		10,132	(8,132	)	—		2,000
Consolidated VIEs:
Nonconforming residential mortgage loan securitizations	5,041		4,491	(1,509	)	—		2,982
Structured asset finance	47		47	(23	)	—		24
Investment funds	904		904	(2	)	—		902
Other	431		375	(143	)	(103	)	129
Total consolidated VIEs	6,423		5,817	(1,677	)	(103	)	4,037
Total secured borrowings and consolidated VIEs	$	16,899	15,949	(9,809	)	(103	)	6,037

In addition to the structure types included in the previous table, at both June 30, 2015, and December 31, 2014, we had approximately $6.0 billion of private placement debt financing issued through a consolidated VIE. The issuance is classified as long-term debt in our consolidated financial statements. At June 30, 2015, we pledged approximately $580 million in loans (principal and interest eligible to be capitalized) and $5.9 billion in available-for-sale securities to collateralize the VIE’s borrowings, compared with $637 million and $5.7 billion, respectively, at December 31, 2014. These assets were not transferred to the VIE, and accordingly we have excluded the VIE from the previous table.

For complete descriptions of our accounting for transfers accounted for as secured borrowings and involvements with consolidated VIEs, see Note 8 (Securitizations and Variable Interest Entities) to Financial Statements in our 2014 Form 10-K.