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Wells Fargo & Company Basel III Pillar 3 Regulatory Capital Disclosures

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Wells Fargo & Company Basel III Pillar 3 Regulatory Capital Disclosures Wells Fargo & Company Basel III Pillar 3 Regulatory Capital Disclosures For the quarter ended March 31, 2021 Table of Contents 3 Disclosure Map 6 Introduction 6 Company Overview 6 Executive Summary 7 Basel III Overview 12 Capital Requirements and Management 14 Capital Summary 17 Credit Risk 17 Overview 19 Wholesale Credit Risk 21 Retail Credit Risk 23 Historical Credit Results 25 Counterparty Credit Risk 29 Securitization Credit Risk 33 Equity Credit Risk 36 Operational Risk 38 Market Risk 44 Supplementary Leverage Ratio 46 Glossary of Acronyms 47 Forward-Looking Statements 2 Any reference to “Wells Fargo,” “the Company,” “we,” “our,” or “us” in this Report, means Wells Fargo & Company and Subsidiaries (consolidated). When we refer to the “Parent,” we mean Wells Fargo & Company. See the Glossary of Acronyms for definitions of terms used throughout this Report. This Report contains forward-looking statements, which may include our current expectations and assumptions regarding our business, the economy, and other future conditions. Please see the “Forward-Looking Statements” section for more information, including factors that could cause our actual results to differ materially from our forward-looking statements. Disclosure Map The table below shows where disclosures related to topics addressed in this Pillar 3 disclosure report can be found in our Quarterly Report on Form 10-Q for the quarter ended March 31, 2021 (first quarter 2021 Form 10-Q) and our Annual Report on Form 10-K for the year ended December 31, 2020 (2020 Form 10-K). Pillar 3 Pillar 3 Pillar 3 First Quarter 2021 2020 Requirement Report Requirement Description Form 10- Q Form 10- K Page Reference Reference Scope of Application/ 6-11 Overview Capital Management, Total Loss Absorbing Risk Management, Capital Management, Total Capital Structure Capacity, Note 1, and Note 23 Loss Absorbing Capacity, Note 1, and Note 28 & Capital Adequacy 12-13 Capital Management and Structure Capital Management, Capital Planning and Risk Management, Capital Management, Stress Testing, Regulatory Matters, Note 1, Capital Planning and Stress Testing, and Note 16 Regulatory Matters, Note 1, Note 18, Note 19, and Note 28 14-16 Measurement of Capital/RWA Capital Management and Table 37 Capital Management and Table 43 Credit Risk: 17-25 Credit Risk Management Overview Credit Risk Management, Asset/Liability Credit Risk Management, Model Risk General Disclosures Management, and Note 1 Management, Asset/Liability Management, and Note 1 18 Exposure Types/Impaired Loans and Note 3, Note 4, Note 14, Table 19, Table 20, Note 3, Note 4, Note 16, Table 24, Table 25, Adjusted Allowance for Credit Table 21, Table 22, Table 23, Table 24, Table Table 26, Table 27, Table 28, Table 29, Table Losses 25, and Table 26 30, Table 31, Table 32, and Table 33 18 Industry and Geographic Note 3, Note 14, Table 1, Table 11, Table 12, Note 3, Note 16, Table 3, Table 11, Table 16, Distribution Table 13, Table 14, Table 15, Table 16, Table Table 17, Table 18, Table 19, Table 20, Table 17, Table 20, and Table 24 21, Table 22, Table 26, and Table 31 Credit Risk: 17-25 Credit Risk Management Credit Risk Management, Asset/Liability Credit Risk Management, Model Risk Internal Ratings- Management, and Note 1 Management, Asset/Liability Management, Based and Note 1 17-25 Credit Quality Overview Table 25 Table 32 Counterparty Credit 25-26 Overview Note 14 Note 16 Risk 26-28 Counterparty Credit Risk Note 14 Note 16 Management/Collateral Credit Risk Mitigation 20, 28 Guarantees and Credit Derivatives Note 11 and Note 12 Off-Balance Sheet Arrangements, Note 13, and Note 14 Securitization 29-31 Objectives and Roles Note 1 and Note 8 Note 1 and Note 8 29-33 Risk Management and Methodology 31-33 Accounting, Valuation, and Current Note 8 Note 8 Period Activity 32-33 Assets Securitized and Note 8 Note 8 Resecuritized Equity 33-34 Summary of Significant Accounting Market Risk - Equity Securities, Note 1, and Market Risk - Equity Securities, Note 1, and Policies Note 6 Note 6 35 Nonmarketable and Marketable Equity Securities 35 Realized and Unrealized Gains/ Market Risk - Equity Securities and Note 6 Market Risk - Equity Securities and Note 6 (Losses) Operational Risk 36-37 Operational Risk Operational Risk Management and Model Risk Management Market Risk 38-43 Market Risk Market Risk, Market Risk - Trading Activities, Risk Management, Risk Governance, Risk and Market Risk - Equity Securities Operating Model - Roles and Responsibilities, Model Risk Management, Market Risk, Market Risk - Trading Activities, and Market Risk - Equity Securities Interest Rate Risk - Overview Interest Rate Risk Interest Rate Risk for Non-Trading Activities - Earnings Sensitivity Asset/Liability Management and Table 28 Asset/Liability Management and Table 35 Supplementary 44-45 Supplementary Leverage Ratio Capital Management and Table 43 Capital Management and Table 49 Leverage Ratio 3 The tables below provide page references to our first quarter 2021 Form 10-Q and our 2020 Form 10-K for certain topics and financial information listed in the table on the previous page. First Quarter 2021 Form 10- Q Page Reference Management’s Discussion and Analysis Risk Management 26-47 Credit Risk Management 26-41 Asset/Liability Management 41-47 Interest Rate Risk 41-42 Market Risk 42 Market Risk - Trading Activities 42-43 Market Risk - Equity Securities 43 Capital Management 47-53 Total Loss Absorbing Capacity 52 Capital Planning and Stress Testing 52-53 Regulatory Matters 53 Forward-Looking Statements 55-56 Table 1 Average Balances, Yields and Rates Paid (Taxable-Equivalent Basis) 7 Table 11 Commercial and Industrial Loans and Lease Financing by Industry 28 Table 12 CRE Loans by State and Property Type 29 Table 13 Select Country Exposures 30 Table 14 Residential Mortgage Loans by State 31 Table 15 Residential Mortgage - First Lien Portfolio Performance 32 Table 16 Residential Mortgage - Junior Lien Portfolio Performance 32 Table 17 Residential Mortgage - Junior Lien Line and Loan and Residential Mortgage - First Lien Line Portfolios Payment 33 Schedule Table 19 Nonperforming Assets (Nonaccrual Loans and Foreclosed Assets) 34 Table 20 Analysis of Changes in Nonaccrual Loans 35 Table 21 Foreclosed Assets 36 Table 22 TDR Balances 36 Table 23 Analysis of Changes in TDRs 37 Table 24 Loans 90 Days or More Past Due and Still Accruing 38 Table 25 Net Loan Charge-offs 39 Table 26 Allocation of the ACL for Loans 40 Table 28 Net Interest Income Sensitivity 42 Table 37 Capital Components and Ratios (Fully Phased-In) 48 Table 43 Leverage Ratios for the Company 52 Notes to Consolidated Financial Statements Note 1 Summary of Significant Accounting Policies 64-65 Note 3 Available-for-Sale and Held-to-Maturity Debt Securities 67-72 Note 4 Loans and Related Allowance for Credit Losses 73-87 Note 4 Table 4.5 (Allowance for Credit Losses for Loans) 75 Note 6 Equity Securities 89-90 Note 8 Securitizations and Variable Interest Entities 92-96 Note 11 Guarantees and Other Commitments 100-101 Note 12 Pledged Assets and Collateral 102-104 Note 14 Derivatives 109-114 Note 16 Preferred Stock 122-124 Note 23 Regulatory Capital Requirements and Other Restrictions 133-134 4 2020 Form 10- K Page Reference Management’s Discussion and Analysis Off-Balance Sheet Arrangements 59 Risk Management 60-87 Risk Governance 60-61 Risk Operating Model - Roles and Responsibilities 61 Operational Risk Management 62 Model Risk Management 62 Credit Risk Management 63-81 Asset/Liability Management 81-87 Interest Rate Risk 81-82 Market Risk 83 Market Risk - Trading Activities 83-84 Market Risk - Equity Securities 84-85 Capital Management 88-94 Total Loss Absorbing Capacity 93 Capital Planning and Stress Testing 93-94 Regulatory Matters 94-97 Forward-Looking Statements 102-103 Risk Factors 104-118 Table 3 Average Balances and Interest Rates (Taxable-Equivalent Basis) 39 Table 11 Maturities for Selected Commercial Loan Categories 58 Table 16 Commercial and Industrial Loans and Lease Financing by Industry 66 Table 17 CRE Loans by State and Property Type 67 Table 18 Select Country Exposures 68 Table 19 Residential Mortgage Loans by State 69 Table 20 Residential Mortgage - First Lien Portfolio Performance 70 Table 21 Residential Mortgage - Junior Lien Portfolio Performance 70 Table 22 Residential Mortgage - Junior Lien Line and Loan and Residential Mortgage - First Lien Line Portfolios Payment 71 Schedule Table 24 Nonperforming Assets (Nonaccrual Loans and Foreclosed Assets) 72 Table 25 Nonperforming Assets by Quarter During 2020 73 Table 26 Analysis of Changes in Nonaccrual Loans 73 Table 27 Foreclosed Assets 74 Table 28 TDR Balances 75 Table 29 TDRs Balance by Quarter During 2020 75 Table 30 Analysis of Changes in TDRs 76 Table 31 Loans 90 Days or More Past Due and Still Accruing 77 Table 32 Net Loan Charge-offs 78 Table 33 Allocation of the ACL for Loans 79 Table 35 Net Interest Income Sensitivity 82 Table 43 Capital Components and Ratios (Fully Phased-In) 89 Table 49 Leverage Ratios for the Company 93 Notes to Consolidated Financial Statements Note 1 Summary of Significant Accounting Policies 127-140 Note 3 Available-for-Sale and Held-to-Maturity Debt Securities 142-147 Note 4 Loans and Related Allowance for Credit Losses 148-164 Note 4 Table 4.5 (Allowance for Credit Losses for Loans) 151 Note 6 Equity Securities 166-167 Note 8 Securitizations and Variable Interest Entities 169-173 Note 13 Guarantees and Other Commitments 180-182 Note 14 Pledged Assets and Collateral 183-185 Note 16 Derivatives 190-200 Note 18 Preferred Stock 211-213 Note 19 Common Stock and Stock Plans 214-216 Note 28 Regulatory Capital Requirements and Other Restrictions 235-236 5 Introduction Company Overview Wells Fargo & Company is a leading financial services company that has approximately $1.9 trillion in assets and proudly serves one in three United States (U.S.) households and more than 10% of all middle market companies and small businesses in the U.S.
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