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 SPEs, which are corporations, trusts, limited liability companies 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 2015 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.

Table 7.1 provides the classifications of assets and liabilities in our balance sheet for our transactions with VIEs.

Table 7.1: Balance Sheet Transactions with VIEs



(in millions)	VIEs that we do not consolidate		VIEs that we consolidate	Transfers that we account for as secured borrowings		Total
September 30, 2016
Cash	$	—	145		—	145
Federal funds sold, securities purchased under resale agreements and other short-term investments	—		90		—	90
Trading assets	2,335		130		203	2,668
Investment securities (1)	9,331		244		1,048	10,623
Loans	7,865		12,417		4,144	24,426
Mortgage servicing rights	10,830		—		—	10,830
Other assets	9,804		414		14	10,232
Total assets	40,165		13,440		5,409	59,014
Short-term borrowings	—		—		1,066	1,066
Accrued expenses and other liabilities	413		79	(2)	2	494
Long-term debt	3,360		3,850	(2)	4,115	11,325
Total liabilities	3,773		3,929		5,183	12,885
Noncontrolling interests	—		147		—	147
Net assets	$	36,392	9,364		226	45,982
December 31, 2015
Cash	$	—	157		—	157
Federal funds sold, securities purchased under resale agreements and other short-term investments	—		—		—	—
Trading assets	1,340		1		203	1,544
Investment securities (1)	12,388		425		2,171	14,984
Loans	9,661		4,811		4,887	19,359
Mortgage servicing rights	12,518		—		—	12,518
Other assets	8,938		242		26	9,206
Total assets	44,845		5,636		7,287	57,768
Short-term borrowings	—		—		1,799	1,799
Accrued expenses and other liabilities	629		57	(2)	1	687
Long-term debt	3,021		1,301	(2)	4,844	9,166
Total liabilities	3,650		1,358		6,644	11,652
Noncontrolling interests	—		93		—	93
Net assets	$	41,195	4,185		643	46,023


(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 unconsolidated VIEs include securitizations of residential mortgage loans, CRE loans, student loans, automobile loans and leases, certain dealer floorplan loans; investment and financing activities involving collateralized debt obligations (CDOs) backed by asset-backed and CRE securities, tax credit structures, 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 in trading assets, investment securities, loans, MSRs, other assets, other liabilities, and long-term debt, as appropriate.

Table 7.2 provides 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).

Table 7.2: Unconsolidated VIEs



			Carrying value – asset (liability)
(in millions)	Total VIE assets		Debt and equity interests (1)		Servicing assets	Derivatives		Other commitments and guarantees		Net assets
September 30, 2016
Residential mortgage loan securitizations:
Conforming (2)	$	1,169,571	2,997		9,908	—		(245	)	12,660
Other/nonconforming	20,764		1,075		108	—		(2	)	1,181
Commercial mortgage securitizations	169,236		4,820		814	309		(32	)	5,911
Collateralized debt obligations:
Debt securities	2,353		—		—	17		(31	)	(14	)
Loans (3)	1,564		1,527		—	—		—		1,527
Asset-based finance structures	11,699		7,967		—	—		—		7,967
Tax credit structures	27,896		10,111		—	—		(3,387	)	6,724
Collateralized loan obligations	102		10		—	—		—		10
Investment funds	209		49		—	—		—		49
Other (4)	13,687		454		—	(77	)	—		377
Total	$	1,417,081	29,010		10,830	249		(3,697	)	36,392
			Maximum exposure to loss
			Debt and equity interests (1)		Servicing assets	Derivatives		Other commitments and guarantees		Total exposure
Residential mortgage loan securitizations:
Conforming			$	2,997	9,908	—		967		13,872
Other/nonconforming			1,075		108	—		2		1,185
Commercial mortgage securitizations			4,820		814	309		9,130		15,073
Collateralized debt obligations:
Debt securities			—		—	17		31		48
Loans (3)			1,527		—	—		—		1,527
Asset-based finance structures			7,967		—	—		444		8,411
Tax credit structures			10,111		—	—		970		11,081
Collateralized loan obligations			10		—	—		—		10
Investment funds			49		—	—		—		49
Other (4)			454		—	114		—		568
Total			$	29,010	10,830	440		11,544		51,824

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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, 2015
Residential mortgage loan securitizations:
Conforming (2)	$	1,199,225	2,458		11,665	—		(386	)	13,737
Other/nonconforming	24,809		1,228		141	—		(1	)	1,368
Commercial mortgage securitizations	184,959		6,323		712	203		(26	)	7,212
Collateralized debt obligations:
Debt securities	3,247		—		—	64		(57	)	7
Loans (3)	3,314		3,207		—	—		—		3,207
Asset-based finance structures	13,063		8,956		—	(66	)	—		8,890
Tax credit structures	26,099		9,094		—	—		(3,047	)	6,047
Collateralized loan obligations	898		213		—	—		—		213
Investment funds	1,131		47		—	—		—		47
Other (4)	12,690		511		—	(44	)	—		467
Total	$	1,469,435	32,037		12,518	157		(3,517	)	41,195
			Maximum exposure to loss
			Debt and equity interests (1)		Servicing assets	Derivatives		Other commitments and guarantees		Total exposure
Residential mortgage loan securitizations:
Conforming			$	2,458	11,665	—		1,452		15,575
Other/nonconforming			1,228		141	—		1		1,370
Commercial mortgage securitizations			6,323		712	203		7,152		14,390
Collateralized debt obligations:
Debt securities			—		—	64		57		121
Loans (3)			3,207		—	—		—		3,207
Asset-based finance structures			8,956		—	76		444		9,476
Tax credit structures			9,094		—	—		866		9,960
Collateralized loan obligations			213		—	—		—		213
Investment funds			47		—	—		—		47
Other (4)			511		—	117		150		778
Total			$	32,037	12,518	460		10,122		55,137


(1)	Includes total equity interests of $9.8 billion and $8.9 billion at September 30, 2016, and December 31, 2015, 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 $1.3 billion at September 30, 2016, and December 31, 2015, respectively, for certain delinquent loans that are eligible for repurchase 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 predominantly in senior tranches from a diversified pool of U.S. asset securitizations, of which all are current and 100% and 70% were rated as investment grade by the primary rating agencies at September 30, 2016, and December 31, 2015, 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 Table 7.2, “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 2015 Form 10-K.

INVESTMENT FUNDS In first quarter 2016, we adopted ASU 2015-02 (Amendments to the Consolidation Analysis) which changed the consolidation analysis for certain investment funds. We do not consolidate these investment funds because we do not hold variable interests that are considered significant to the funds.

We voluntarily waived a portion of our management fees for certain money market funds that are exempt from the consolidation analysis to ensure the funds maintained a minimum level of daily net investment income. The amount of fees waived in the third quarter and first nine months of 2016 was $28 million and $84 million, respectively, compared with $50 million and $159 million, respectively, in the same periods of 2015.

OTHER TRANSACTIONS WITH VIEs Other VIEs include certain entities that issue auction rate securities (ARS) which are debt instruments with long-term maturities, that re-price more frequently, and preferred equities with no maturity. At September 30, 2016, we held $453 million of ARS issued by VIEs compared with $502 million at December 31, 2015. 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 September 30, 2016, and December 31, 2015, we reported the debt securities issued to the VIEs as long-term junior subordinated debt with a carrying value of $2.3 billion and $2.2 billion, respectively, 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. Table 7.3 presents the cash flows for our transfers accounted for as sales.

Table 7.3: Cash Flows From Sales and Securitization Activity



	2016				2015
(in millions)	Mortgage loans			Other financial assets	Mortgage loans		Other financial assets
Quarter ended September 30,
Proceeds from securitizations and whole loan sales	$	66,830		53	52,733		192
Fees from servicing rights retained	891			—	902		1
Cash flows from other interests held (1)	930			—	328		10
Repurchases of assets/loss reimbursements (2):
Non-agency securitizations and whole loan transactions	4			—	3		—
Agency securitizations (3)	22			—	72		—
Servicing advances, net of repayments	(52		)	—	(88	)	—
Nine months ended September 30,
Proceeds from securitizations and whole loan sales	$	178,301		186	153,626		373
Fees from servicing rights retained	2,636			—	2,760		5
Cash flows from other interests held (1)	1,964			1	942		33
Repurchases of assets/loss reimbursements (2):
Non-agency securitizations and whole loan transactions	22			—	10		—
Agency securitizations (3)	104			—	210		—
Servicing advances, net of repayments	(159		)	—	(342	)	—


(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.

(3)

Represent loans repurchased from GNMA, FNMA, and FHLMC under representation and warranty provisions included in our loan sales contracts. Third quarter and first nine months of 2016 exclude $2.4 billion and $7.3 billion respectively, in delinquent insured/guaranteed loans that we service and have exercised our option to purchase out of GNMA pools, compared with $2.2 billion and $8.2 billion, respectively, in the same periods of 2015. These loans are predominantly insured by the FHA or guaranteed by the VA.

In the third quarter and first nine months of 2016, we recognized net gains of $141 million and $436 million, respectively, from transfers accounted for as sales of financial assets, compared with $88 million and $404 million, respectively, in the same periods of 2015. These net gains largely 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 third quarter and first nine months of 2016 and 2015 largely 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 third quarter and first nine months of 2016, we transferred $63.3 billion and $165.6 billion, respectively, in fair value of residential mortgages to unconsolidated VIEs and third-party investors and recorded the transfers as sales, compared with $50.2 billion and $143.1 billion, respectively, in the same periods of 2015. 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 nine months of 2016, we recorded a $1.3 billion servicing asset, measured at fair value using a Level 3 measurement technique, securities of $3.0 billion, classified as Level 2, and a $26 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 nine months of 2015, we recorded a $1.2 billion servicing asset, securities of $787 million, and a $34 million liability.

Table 7.4 presents the key weighted-average assumptions we used to measure residential mortgage servicing rights at the date of securitization.

Table 7.4: Residential Mortgage Servicing Rights



	Residential mortgage servicing rights
	2016			2015
Quarter ended September 30,
Prepayment speed (1)	12.4		%	11.5
Discount rate	6.2			7.1
Cost to service ($ per loan) (2)	$	124		223
Nine months ended September 30,
Prepayment speed (1)	12.5		%	12.1
Discount rate	6.5			7.4
Cost to service ($ per loan) (2)	$	136		232


(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 third quarter and first nine months of 2016, we transferred $4.0 billion and $13.9 billion, respectively, in carrying value of commercial mortgages to unconsolidated VIEs and third-party investors and recorded the transfers as sales, compared with $3.0 billion and $12.5 billion in the same periods of 2015, respectively. These transfers resulted in gains of $134 million and $327 million in the third quarter and first nine months of 2016, respectively, because the loans were carried at lower of cost of market value (LOCOM), compared with gains of $63 million and $263 million in the third quarter and first nine months of 2015, respectively. In connection with these transfers, in the first nine months of 2016, we recorded a servicing asset of $204 million, initially measured at fair value using a Level 3 measurement technique, and securities of $236 million, classified as Level 2. In the first nine months of 2015, we recorded a servicing asset of $131 million and securities of $209 million.

Retained Interests from Unconsolidated VIEs

Table 7.5 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 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.

Table 7.5: Retained Interests from Unconsolidated VIEs



				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 September 30, 2016	$	10,415		30	1			285	656
Expected weighted-average life (in years)	5.3			3.6	9.2			1.2	5.8
Key economic assumptions:
Prepayment speed assumption (3)	13.5		%	18.9	15.3
Decrease in fair value from:
10% adverse change	$	585		1	—
25% adverse change	1,376			2	—
Discount rate assumption	6.2		%	12.1	9.9			9.1	3.2
Decrease in fair value from:
100 basis point increase	$	485		1	—			3	31
200 basis point increase	927			1	—			6	61
Cost to service assumption ($ per loan)	161
Decrease in fair value from:
10% adverse change	509
25% adverse change	1,271
Credit loss assumption					2.6		%	2.3	—
Decrease in fair value from:
10% higher losses					$	—		1	—
25% higher losses					—			1	—
Fair value of interests held at December 31, 2015	$	12,415		34	1			342	673
Expected weighted-average life (in years)	6.0			3.6	11.6			1.9	5.8
Key economic assumptions:
Prepayment speed assumption (3)	11.4		%	19.0	15.1
Decrease in fair value from:
10% adverse change	$	616		1	—
25% adverse change	1,463			3	—
Discount rate assumption	7.3		%	13.8	10.5			5.3	3.0
Decrease in fair value from:
100 basis point increase	$	605		1	—			6	33
200 basis point increase	1,154			1	—			11	63
Cost to service assumption ($ per loan)	168
Decrease in fair value from:
10% adverse change	567
25% adverse change	1,417
Credit loss assumption					1.1		%	2.8	—
Decrease in fair value from:
10% higher losses					$	—		—	—
25% higher losses					—			2	—


(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 $1.6 billion and $1.7 billion at September 30, 2016, and December 31, 2015, respectively. 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 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 September 30, 2016, and December 31, 2015, results in a decrease in fair value of $183 million and $150 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 September 30, 2016, and December 31, 2015. The carrying amount of the loan at September 30, 2016, and December 31, 2015, was $4.4 billion and $4.9 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 $93 million and $82 million at September 30, 2016, and December 31, 2015, 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

Table 7.6 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 (including 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.

Table 7.6: Off-Balance Sheet Loans Sold or Securitized



						Net charge-offs
	Total loans			Delinquent loans and foreclosed assets (1)		Nine months ended September 30,
(in millions)	Sep 30, 2016		Dec 31, 2015	Sep 30, 2016	Dec 31, 2015	2016	2015
Commercial:
Real estate mortgage	$	108,251	110,815	3,284	6,670	210	301
Total commercial	108,251		110,815	3,284	6,670	210	301
Consumer:
Real estate 1-4 family first mortgage	1,172,789		1,235,662	16,773	20,904	764	678
Total consumer	1,172,789		1,235,662	16,773	20,904	764	678
Total off-balance sheet sold or securitized loans (2)	$	1,281,040	1,346,477	20,057	27,574	974	979


(1)	Includes $1.8 billion and $5.0 billion of commercial foreclosed assets and $2.0 billion and $2.2 billion of consumer foreclosed assets at September 30, 2016, and December 31, 2015, respectively.

(2)

At September 30, 2016, and December 31, 2015, the table includes total loans of $1.2 trillion at both dates, delinquent loans of $9.8 billion and $12.1 billion, and foreclosed assets of $1.4 billion and $1.7 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 VIEs and Secured Borrowings

Table 7.7 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.

Table 7.7: Transactions with Consolidated VIEs and Secured Borrowings



			Carrying value
(in millions)	Total VIE assets		Assets	Liabilities		Noncontrolling interests		Net assets
September 30, 2016
Secured borrowings:
Municipal tender option bond securitizations	$	1,720	1,265	(1,068	)	—		197
Residential mortgage securitizations	4,033		4,144	(4,115	)	—		29
Total secured borrowings	5,753		5,409	(5,183	)	—		226
Consolidated VIEs:
Commercial and industrial loans and leases	8,439		8,439	(2,846	)	(13	)	5,580
Nonconforming residential mortgage loan securitizations	3,532		3,143	(1,066	)	—		2,077
Commercial real estate loans	1,276		1,276	—		—		1,276
Structured asset finance	25		15	(11	)	—		4
Investment funds	420		420	(5	)	(69	)	346
Other	158		147	(1	)	(65	)	81
Total consolidated VIEs	13,850		13,440	(3,929	)	(147	)	9,364
Total secured borrowings and consolidated VIEs	$	19,603	18,849	(9,112	)	(147	)	9,590
December 31, 2015
Secured borrowings:
Municipal tender option bond securitizations	$	2,818	2,400	(1,800	)	—		600
Residential mortgage securitizations	4,738		4,887	(4,844	)	—		43
Total secured borrowings	7,556		7,287	(6,644	)	—		643
Consolidated VIEs:
Nonconforming residential mortgage loan securitizations	4,134		3,654	(1,239	)	—		2,415
Commercial real estate loans	1,185		1,185	—		—		1,185
Structured asset finance	54		20	(18	)	—		2
Investment funds	482		482	—		—		482
Other	305		295	(101	)	(93	)	101
Total consolidated VIEs	6,160		5,636	(1,358	)	(93	)	4,185
Total secured borrowings and consolidated VIEs	$	13,716	12,923	(8,002	)	(93	)	4,828

COMMERCIAL AND INDUSTRIAL LOANS AND LEASES In conjunction with the GE Capital business acquisitions, on March 1, 2016, we acquired certain consolidated SPE entities. The most significant of these SPEs is a revolving master trust entity that purchases dealer floorplan loans and issues senior and subordinated notes. The senior notes are held by third parties and the subordinated notes and residual equity interests are held by us. At September 30, 2016, total assets held by the master trust were $6.9 billion and the outstanding senior notes were $2.7 billion. The other SPEs acquired include securitization term trust entities, which purchase vendor finance lease and loan assets and issue notes to investors, and a SPE that engages in leasing activities to specific vendors. At September 30, 2016, total assets held by these SPEs were $1.5 billion, with outstanding debt of $102 million. We are the primary beneficiary of these acquired SPEs due to our ability to direct the significant activities of the SPEs, such as our role as servicer, and because we hold variable interests that are considered significant.

INVESTMENT FUNDS Our adoption of ASU 2015-02 (Amendments to the Consolidation Analysis) changed the consolidation analysis for certain investment funds. We consolidate certain investment funds because we have both the power to manage fund assets and hold variable interests that are considered significant.

OTHER CONSOLIDATED VIE STRUCTURES In addition to the structure types included in the previous table, at both September 30, 2016, and December 31, 2015, 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 September 30, 2016, we pledged approximately $457 million in loans (principal and interest eligible to be capitalized) and $5.8 billion in available-for-sale securities to collateralize the VIE’s borrowings, compared with $529 million and $5.9 billion, respectively, at December 31, 2015. 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 2015 Form 10-K.