Securitizations and Variable Interest Entities (Tables)

6 Months Ended

Jun. 30, 2011

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, 2011
Cash	$	-		172			218		390
Trading assets		4,723		95			30		4,848
Securities available for sale (1)		20,338		2,315			9,671		32,324
Mortgages held for sale		-		408			-		408
Loans held for sale		-		135			-		135
Loans		12,113		13,640			1,587		27,340
Mortgage servicing rights		13,821		-			-		13,821
Other assets		4,011		1,563			100		5,674
Total assets		55,006		18,328			11,606		84,940
Short-term borrowings		-		3,339	(3)		9,232		12,571
Accrued expenses and other liabilities		3,497		724	(3)		16		4,237
Long-term debt		-		6,277	(3)		1,664		7,941
Total liabilities		3,497		10,340			10,912		24,749
Noncontrolling interests		-		132			-		132
Net assets	$	51,509		7,856			694		60,059
December 31, 2010
Cash	$	-		200			398		598
Trading assets		5,351		143			32		5,526
Securities available for sale (1)		24,001		2,159			7,834		33,994
Mortgages held for sale (2)		-		634			-		634
Loans		12,401		16,708			1,613		30,722
Mortgage servicing rights		13,261		-			-		13,261
Other assets (2)		3,783		2,071			90		5,944
Total assets		58,797		21,915			9,967		90,679
Short-term borrowings		-		3,636	(3)		7,773		11,409
Accrued expenses and other liabilities (2)		3,514		743	(3)		14		4,271
Long-term debt		-		8,377	(3)		1,700		10,077
Total liabilities		3,514		12,756			9,487		25,757
Noncontrolling interests (2)		-		94			-		94
Net assets	$	55,283		9,065			480		64,828

(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)	“VIEs that we consolidate” has been revised to correct previously reported amounts.
(3)	Includes the following VIE liabilities at June 30, 2011, and December 31, 2010, respectively, with recourse to the general credit of Wells Fargo: Short-term borrowings, $3.3 billion and $3.6 billion; Accrued expenses and other liabilities, $603 million and $645 million; and Long-term debt, $57 million and $53 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
June 30, 2011
					Carrying value - asset (liability)
Residential mortgage loan securitizations:
Conforming	$	1,107,281		5,389			12,711		-			(975	)		17,125
Other/nonconforming		67,786		2,766			456		2			(2	)		3,222
Commercial mortgage loan securitizations		184,762		5,568			617		266			-			6,451
Collateralized debt obligations:
Debt securities		17,956		1,233			-		766			-			1,999
Loans (2)		9,973		9,722			-		-			-			9,722
Asset-based finance structures		6,273		4,102			-		(98	)		-			4,004
Tax credit structures		18,281		3,759			-		-			(1,285	)		2,474
Collateralized loan obligations		12,879		2,619			-		58			-			2,677
Investment funds		8,238		1,457			-		-			-			1,457
Other (3)		18,951		2,088			37		256			(3	)		2,378
Total	$	1,452,380		38,703			13,821		1,250			(2,265	)		51,509
					Maximum exposure to loss
Residential mortgage loan securitizations:
Conforming			$	5,389			12,711		-			3,487			21,587
Other/nonconforming				2,766			456		2			265			3,489
Commercial mortgage loan securitizations				5,568			617		491			-			6,676
Collateralized debt obligations:
Debt securities				1,233			-		2,689			1			3,923
Loans (2)				9,722			-		-			-			9,722
Asset-based finance structures				4,102			-		98			2,216			6,416
Tax credit structures				3,759			-		-			-			3,759
Collateralized loan obligations				2,619			-		58			521			3,198
Investment funds				1,457			-		-			52			1,509
Other (3)				2,088			37		762			150			3,037
Total			$	38,703			13,821		4,100			6,692			63,316

											Other
	Total		Debt and								commitments
	VIE		equity			Servicing					and			Net
(in millions)	assets		interests (1)			assets		Derivatives			guarantees			assets
December 31, 2010
					Carrying value - asset (liability)
Residential mortgage loan securitizations:
Conforming	$	1,068,737		5,527			12,115		-			(928	)		16,714
Other/nonconforming		76,304		2,997			495		6			(107	)		3,391
Commercial mortgage loan securitizations		190,377		5,506			608		261			-			6,375
Collateralized debt obligations:
Debt securities		20,046		1,436			-		844			-			2,280
Loans (2)		9,970		9,689			-		-			-			9,689
Asset-based finance structures		12,055		6,556			-		(118	)		-			6,438
Tax credit structures		20,981		3,614			-		-			(1,129	)		2,485
Collateralized loan obligations		13,196		2,804			-		56			-			2,860
Investment funds		10,522		1,416			-		-			-			1,416
Other (3)		20,031		3,221			43		377			(6	)		3,635
Total	$	1,442,219		42,766			13,261		1,426			(2,170	)		55,283
				Maximum exposure to loss
Residential mortgage loan securitizations:
Conforming			$	5,527			12,115		-			4,248			21,890
Other/nonconforming				2,997			495		6			233			3,731
Commercial mortgage loan securitizations				5,506			608		488			-			6,602
Collateralized debt obligations:
Debt securities				1,436			-		2,850			7			4,293
Loans (2)				9,689			-		-			-			9,689
Asset-based finance structures				6,556			-		118			2,175			8,849
Tax credit structures				3,614			-		-			1			3,615
Collateralized loan obligations				2,804			-		56			519			3,379
Investment funds				1,416			-		-			87			1,503
Other (3)				3,221			43		916			162			4,342
Total			$	42,766			13,261		4,434			7,432			67,893

(1)	Includes total equity interests of $422 million and $316 million at June 30, 2011, and December 31, 2010, 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)	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 91% were rated as investment grade by the primary rating agencies at June 30, 2011. These senior loans were acquired in the Wachovia business combination and are accounted for at amortized cost as initially determined under purchase accounting and are subject to the Company’s allowance and credit charge-off policies.
(3)	Includes structured financing, student loan securitizations, auto loan 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

	2011					2010
				Other				Other
	Mortgage			financial		Mortgage		financial
(in millions)	loans			assets		loans		assets
Quarter ended June 30,
Sales proceeds from securitizations (1)	$	70,973			-		81,435		-
Servicing fees		1,105			3		1,057		9
Other interests held		513			53		445		132
Purchases of delinquent assets		2			-		10		-
Net servicing advances		(11	)		-		10		-
Six months ended June 30,
Sales proceeds from securitizations (1)	$	171,214			-		163,757		-
Servicing fees		2,193			6		2,097		18
Other interests held		1,016			140		852		244
Purchases of delinquent assets		5			-		10		-
Net servicing advances		(20	)		-		29		-

(1) Represents cash flow data for all loans securitized in the period presented.

Key Assumptions To Measure Mortgage Servicing Assets At Date Of Securitization

	2011			2010
Quarter ended June 30,
Prepayment speed (annual CPR (1))		13.1	%		13.6
Life (in years)		5.9			5.4
Discount rate		7.9	%		8.0
Six months ended June 30,
Prepayment speed (annual CPR (1))		12.0	%		13.0
Life (in years)		6.2			5.6
Discount rate		7.9	%		8.2

(1) Constant prepayment rate.

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

				Other interests held
	Mortgage			Interest-
	servicing			only		Subordinated			Senior
(in millions)	rights			strips		bonds			bonds
Fair value of interests held at June 30, 2011	$	16,583			248		48			393
Expected weighted-average life (in years)		5.7			4.8		5.7			6.1
Prepayment speed assumption (annual CPR)		11.7	%		10.1		7.9			11.9
Decrease in fair value from:
10% adverse change	$	942			6		-			1
25% adverse change		2,228			16		1			3
Discount rate assumption		7.7	%		15.6		11.0			6.5
Decrease in fair value from:
100 basis point increase	$	838			7		2			16
200 basis point increase		1,602			12		5			31
Credit loss assumption							1.2	%		4.5
Decrease in fair value from:
10% higher losses						$	-			1
25% higher losses							-			2

Principal Balances - Off-Balance Sheet Securitized Loans

										Net charge-offs
	Total loans				Delinquent loans					Six months
	June 30,		Dec. 31,		June 30,		Dec. 31,			ended June 30,
(in millions)	2011		2010		2011		2010			2011		2010
Commercial:
Commercial and industrial	$	1		1		-		-			-		-
Real estate mortgage		141,686		207,015		8,704		11,515			229		143
Total commercial		141,687		207,016		8,704		11,515			229		143
Consumer:
Real estate 1-4 family first mortgage		1,151,474		1,090,755		23,789		25,067	(1)		848		696
Real estate 1-4 family junior lien mortgage		686		1		22		-			11		-
Other revolving credit and installment		2,362		2,454		111		102			-		-
Total consumer		1,154,522		1,093,210		23,922		25,169			859		696
Total off-balance sheet securitized loans	$	1,296,209		1,300,226		32,626		36,684			1,088		839

(1) Balances have been revised to conform with current period presentation.

Transactions With Consolidated Variable Interest Entities

			Carrying value
	Total				Third
	VIE		Consolidated		party			Noncontrolling			Net
(in millions)	assets		assets		liabilities			interests			assets
June 30, 2011
Secured borrowings:
Municipal tender option bond securitizations	$	12,540		9,695		(9,238	)		-			457
Commercial real estate loans		1,348		1,348		(1,274	)		-			74
Residential mortgage securitizations		634		563		(400	)		-			163
Total secured borrowings		14,522		11,606		(10,912	)		-			694
Consolidated VIEs:
Nonconforming residential mortgage loan securitizations		11,514		10,756		(4,871	)		-			5,885
Multi-seller commercial paper conduit		2,936		2,936		(3,045	)		-			(109	)
Auto loan securitizations		489		489		(431	)		-			58
Structured asset finance		217		217		(19	)		-			198
Investment funds		1,123		1,123		(58	)		(14	)		1,051
Other		2,925		2,807		(1,916	)		(118	)		773
Total consolidated VIEs		19,204		18,328		(10,340	)		(132	)		7,856
Total secured borrowings and consolidated VIEs	$	33,726		29,934		(21,252	)		(132	)		8,550
December 31, 2010
Secured borrowings:
Municipal tender option bond securitizations	$	10,687		7,874		(7,779	)		-			95
Auto loan securitizations		154		154		-			-			154
Commercial real estate loans		1,321		1,321		(1,272	)		-			49
Residential mortgage securitizations		700		618		(436	)		-			182
Total secured borrowings		12,862		9,967		(9,487	)		-			480
Consolidated VIEs:
Nonconforming residential mortgage loan securitizations		14,518		13,529		(6,723	)		-			6,806
Multi-seller commercial paper conduit		3,197		3,197		(3,279	)		-			(82	)
Auto loan securitizations		1,010		1,010		(955	)		-			55
Structured asset finance		146		146		(21	)		(11	)		114
Investment funds		1,197		1,197		(54	)		(14	)		1,129
Other (1)		2,938		2,836		(1,724	)		(69	)		1,043
Total consolidated VIEs		23,006		21,915		(12,756	)		(94	)		9,065
Total secured borrowings and consolidated VIEs	$	35,868		31,882		(22,243	)		(94	)		9,545

(1) Revised to correct previously reported amounts.