Securitizations and Variable Interest Entities (Tables)

6 Months Ended

Jun. 30, 2015

Securitizations and Variable Interest Entities [Abstract]

Assets and Liabilities associated with Variable Interest entities

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 Variable Interest Entity

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.

Cash flows with securitization trusts

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.

Key Assumptions To Measure Mortgage Servicing Assets At Date Of Securitization

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.

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

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)					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.

Principal Balances - Off-Balance Sheet Securitized 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 Variable Interest Entities

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