Wells Fargo 2015 Annual Report Download - page 191

Table 8.5: Retained Interests from Unconsolidated VIEs
Other interests held
Residential Consumer Commercial (2)
mortgage
servicing Interest-only Subordinated Subordinated Senior
($ in millions, except cost to service amounts) rights (1) strips bonds bonds bonds
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 —
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.
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