Securitizations and Variable Interest Entities (Tables)

9 Months Ended

Sep. 30, 2024

Securitizations and Variable Interest Entities [Abstract]

Table 13.1 presents information about transfers of assets during the periods presented for which we recorded the transfers as sales and have continuing involvement with the transferred assets. In connection with these transfers, we received proceeds and recorded servicing assets and securities. Each of these interests are initially measured at fair value. Servicing rights are classified as Level 3 measurements, and generally securities are classified as Level 2. Transfers of residential mortgage loans are transactions with the GSEs or GNMA and generally result in no gain or loss because the loans are typically measured at fair value on a recurring basis. Transfers of commercial mortgage loans

include both transactions with the GSEs or GNMA and nonconforming transactions. These commercial mortgage loans are carried at the lower of cost or market, and we recognize gains

on such transfers when the market value is greater than the carrying value of the loan when it is sold.

Table 13.1: Transfers with Continuing Involvement



	2024			2023
(in millions)	Residential mortgages		Commercial mortgages	Residential mortgages	Commercial mortgages
Quarter ended September 30,
Assets sold	$	2,220	5,670	2,810	3,189
Proceeds from transfer (1)	2,220		5,702	2,810	3,243
Net gains (losses) on sale	—		32	—	54

Continuing involvement (2):
Servicing rights recognized	$	21	27	36	27
Securities recognized (3)	—		21	—	39

Nine months ended September 30,
Assets sold	$	5,920	10,955	11,188	6,488
Proceeds from transfer (1)	5,920		11,061	11,188	6,606
Net gains (losses) on sale	—		106	—	118

Continuing involvement (2):
Servicing rights recognized	$	56	53	129	61
Securities recognized (3)	—		69	—	87

(1)Represents cash proceeds and the fair value of non-cash beneficial interests recognized at securitization settlement.

(2)Represents assets or liabilities recognized at securitization settlement date related to our continuing involvement in the transferred assets.

(3)Represents debt securities obtained at securitization settlement held for investment purposes that are classified as available-for-sale or held-to-maturity. Excludes trading debt securities held temporarily for market-marking purposes, which are sold to third parties at or shortly after securitization settlement, of $1.1 billion and $2.8 billion during the third quarter and first nine months of 2024, respectively, and $1.3 billion and $5.0 billion during the third quarter and first nine months of 2023, respectively.

Residential MSRs – Assumptions at Securitization Date

Table 13.2 presents the key weighted-average assumptions we used to initially measure residential MSRs recognized during the periods presented.

Table 13.2: Residential MSRs – Assumptions at Securitization Date



	2024			2023
Quarter ended September 30,
Prepayment rate (1)	19.9		%	16.0
Discount rate	9.9			9.9
Cost to service ($ per loan)	$	69		131
Nine months ended September 30,
Prepayment rate (1)	18.1		%	17.2
Discount rate	10.1			9.7
Cost to service ($ per loan)	$	180		171

(1)Includes a blend of prepayment speeds and expected defaults. Prepayment speeds are influenced by mortgage interest rates as well as our estimation of drivers of borrower behavior.

Sold or Securitized Loans Serviced for Others

Table 13.3 presents information about loans that we have originated and sold or securitized in which we have ongoing involvement as servicer. For loans sold or securitized where servicing is our only form of continuing involvement, we generally experience a loss only 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. Table 13.3 excludes mortgage loans sold to

and held or securitized by GSEs or GNMA of $538.1 billion and $592.5 billion at September 30, 2024, and December 31, 2023, respectively. Delinquent loans include loans 90 days or more past due and loans in bankruptcy, regardless of delinquency status. Delinquent loans and foreclosed assets related to loans sold to and held or securitized by GSEs and GNMA were $2.7 billion and $3.4 billion at September 30, 2024, and December 31, 2023, respectively.

Table 13.3: Sold or Securitized Loans Serviced for Others


						Net charge-offs
	Total loans			Delinquent loans and foreclosed assets (1)		Nine months ended September 30,
(in millions)	Sep 30, 2024		Dec 31, 2023	Sep 30, 2024	Dec 31, 2023	2024	2023
Commercial	$	70,999	67,232	1,304	1,000	53	89
Residential	7,747		8,311	337	393	7	12
Total off-balance sheet sold or securitized loans	$	78,746	75,543	1,641	1,393	60	101

(1)Includes $182 million and $163 million of commercial foreclosed assets and $18 million and $22 million of residential foreclosed assets at September 30, 2024, and December 31, 2023, respectively.

Unconsolidated VIEs

Table 13.4 provides a summary of our exposure to the unconsolidated VIEs described above, which includes investments in securities, loans, guarantees, liquidity agreements, commitments and certain derivatives. We exclude certain transactions with unconsolidated VIEs when our continuing involvement is temporary or administrative in nature or insignificant in size.

In Table 13.4, “Total VIE assets” represents the remaining principal balance of assets held by unconsolidated VIEs using the most current information available. “Carrying value” is the amount in our consolidated balance sheet related to our involvement with the unconsolidated VIEs. “Maximum exposure to loss” is determined as the carrying value of our investment in the VIEs excluding the unconditional repurchase options that have not been exercised, 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.

Debt, guarantees and other commitments include amounts related to lending arrangements, liquidity agreements, and certain loss sharing obligations associated with loans originated, sold, and serviced under certain GSE programs.

“Maximum exposure to loss” 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 disclosure is not an indication of expected loss.

Table 13.4: Unconsolidated VIEs


			Carrying value – asset (liability)
(in millions)	Total VIE assets		Loans		Debt securities (1)	Equity securities	All other assets (2)	Debt and other liabilities	Net assets
September 30, 2024


Nonconforming mortgage loan securitizations	$	160,716	—		2,215	—	544	(4)	2,755
Commercial real estate loans	5,557		5,542		—	—	15	—	5,557
Other	1,186		77		—	—	16	—	93
Total	$	167,459	5,619		2,215	—	575	(4)	8,405
			Maximum exposure to loss
			Loans		Debt securities (1)	Equity securities	All other assets (2)	Debt, guarantees, and other commitments	Total exposure


Nonconforming mortgage loan securitizations			$	—	2,215	—	544	5	2,764
Commercial real estate loans			5,542		—	—	15	695	6,252
Other			77		—	—	16	157	250
Total			$	5,619	2,215	—	575	857	9,266
			Carrying value – asset (liability)
(in millions)	Total VIE assets		Loans		Debt securities (1)	Equity securities	All other assets (2)	Debt and other liabilities	Net assets
December 31, 2023


Nonconforming mortgage loan securitizations	$	154,730	—		2,471	—	591	(8)	3,054
Commercial real estate loans	5,588		5,571		—	—	17	—	5,588
Other	1,898		213		—	47	17	—	277
Total	$	162,216	5,784		2,471	47	625	(8)	8,919
			Maximum exposure to loss
			Loans		Debt securities (1)	Equity securities	All other assets (2)	Debt, guarantees, and other commitments	Total exposure


Nonconforming mortgage loan securitizations			$	—	2,471	—	591	8	3,070
Commercial real estate loans			5,571		—	—	17	700	6,288
Other			213		—	47	17	158	435
Total			$	5,784	2,471	47	625	866	9,793

(1)Includes $290 million and $301 million of securities classified as trading at September 30, 2024, and December 31, 2023, respectively.

(2)All other assets includes mortgage servicing rights, derivative assets, and other assets (predominantly servicing advances).

Income Statement Impacts for Affordable Housing and Renewable Energy Tax Credit Investments

Table 13.5 summarizes the impacts to our consolidated statement of income related to our affordable housing and renewable energy equity investments.

Table 13.5: Income Statement Impacts for Affordable Housing and Renewable Energy Tax Credit Investments (1)


		Quarter ended September 30,			Nine months ended September 30,
(in millions)		2024		2023	2024		2023
Income (loss) before income tax expense (2)	(A)	$	9	(98)	$	(43)	(468)
Income tax expense (benefit):
Proportional amortization of investments		539		417	2,403		1,312
Income tax credits and other income tax benefits		(879)		(827)	(3,224)		(2,571)
Net expense (benefit) recognized within income tax expense	(B)	(340)		(410)	(821)		(1,259)
Net income related to affordable housing and renewable energy tax credit investments	(A)-(B)	$	349	312	$	778	791

(1)Amounts presented include the impacts for affordable housing and renewable energy tax credit investments, which are accounted for using either the proportional amortization method or the equity method. Prior period balances in this table do not reflect accounting changes related to our adoption of ASU 2023-02, effective January 1, 2024. For additional information, see Note 1 (Summary of Significant Accounting Policies).

(2)The balance predominantly relates to equity method losses from renewable energy tax credit investments, which are recorded in other noninterest income on our consolidated statement of income.

Transactions with Consolidated VIEs

Table 13.6 presents a summary of financial assets and liabilities of our consolidated VIEs. The carrying value represents assets and liabilities recognized on our consolidated balance sheet. “Total VIE assets” includes affiliate balances that are eliminated upon consolidation, and therefore in some instances will differ from the carrying value of assets.

On our consolidated balance sheet, we separately disclose (1) the consolidated assets of certain VIEs that can only be used to settle the liabilities of those VIEs, and (2) the consolidated liabilities of certain VIEs for which the VIE creditors do not have recourse to Wells Fargo.

Table 13.6: Transactions with Consolidated VIEs


			Carrying value – asset (liability)
(in millions)	Total VIE assets		Loans	All other assets (1)	Long-term debt	Accrued expenses and other liabilities
September 30, 2024
Commercial and industrial loans and leases	$	1,681	1,504	177	—	(125)
Credit card securitizations	9,387		9,241	16	(1,272)	(3)
Other	350		—	349	—	—
Total consolidated VIEs	$	11,418	10,745	542	(1,272)	(128)
December 31, 2023
Commercial and industrial loans and leases	$	7,579	4,880	203	—	(115)
Credit card securitizations	—		—	—	—	—
Other	232		—	232	—	—
Total consolidated VIEs	$	7,811	4,880	435	—	(115)

(1)All other assets includes loans held for sale and other assets.