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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 June 30, 2018 1 Table of Contents Disclosure Map ……………………………………………………………………………………………………………….. 3 Introduction …………………………………………………………………………………………………………………... 6 Executive Summary ………………………………………………………………………………………………………... 6 Company Overview ………………………………………………………………………………………………………… 7 Basel III Overview …………………………………………………………………………………………………………. 7 Capital Requirements and Management …………………………………………………………………………………… 12 Capital Summary …………………………………………………………………………………………………………….. 14 Credit Risk ……………………………………………………………………………………………………………………. 16 Overview …………………………………………………………………………………………………………………..... 16 Wholesale Credit Risk ……………………………………………………………………………………………………… 18 Retail Credit Risk …………………………………………………………………………………………………………... 20 Counterparty Credit Risk …………………………………………………………………………………………………... 22 Securitization Credit Risk ………………………………………………………………………………………………….. 26 Equity Credit Risk ………………………………………………………………………………………………………….. 30 Operational Risk ……………………………………………………………………………………………………………… 34 Market Risk …………………………………………………………………………………………………………………... 36 Supplementary Leverage Ratio ……………………………………………………………………………………………… 42 Glossary of Acronyms ………………………………………………………………………………………………………... 44 Forward-Looking Statements ……………………………………………………………………………………………….. 45 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 and Other Terms for the definition 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 second quarter 2018 Form 10-Q and our 2017 Form 10-K. Pillar 3 Pillar 3 Pillar 3 Second Quarter 2018 2017 Requirement Report Requirement Description Form 10-Q Form 10-K page reference reference Scope of Application/ Capital Management, Risk Framework, Board 6-11 Overview Capital Management, Note 1, and Note 3 Capital Structure Oversight of Risk, Management Oversight of Risk, & Capital Adequacy Note 1, and Note 3 Capital Management, Capital Planning Capital Management, Risk Framework, Board and 12-13 Capital Management and Structure and Stress Testing, and Note 16 Management-level Committee Structure, Board Oversight of Risk, Management Oversight of Risk, Capital Planning and Stress Testing, Note 18, and Note 19 14-15 Measurement of Capital Credit Risk: Credit Risk Management, Asset/Liability Credit Risk Management, Asset/Liability Management, 16-22 Credit Risk Management Overview General Disclosures Management, and Note 1 and Note 1 Exposure types/Impaired Loans and 17 Note 5, Note 6, Note 14, and Table 27 Note 6 ALLL Note 5, Note 14, Table 1, Table 8, Table 17 Industry and Geographic distribution 12, Table 13, Table 14, Table 16, Table 20, Table 22, and Table 26 15 Risk-Weighted Assets Credit Risk: Credit Risk Management, Asset/Liability Credit Risk Management, Asset/Liability Management, 16-22 Credit Risk Management Internal Ratings-Based Management, and Note 1 and Note 1 16-22 Credit Quality Overview Table 27 Table 35 Counterparty Credit Risk 22-24 Overview Counterparty Credit Risk 23-26 Note 14 Management/Collateral Credit Risk Mitigation — Guarantees and Credit Derivatives Note 12 Off-Balance Sheet Arrangements and Note 14 Securitization 26-28 Objectives and Roles Note 1 and Note 9 Note 1 26-30 Risk Management and Methodology Accounting, Valuation and Current 30-31 Note 9 Period Activity 30 Assets Securitized and Re-securitized Note 9 Equity - Summary of Significant Accounting 31-32 Note 1 and Note 7 Note 1 Non-covered Policies Nonmarketable and Marketable Equity 33 Securities Market Risk - Equity Securities and 31-33 Realized and Unrealized Gains/(Losses) Note 7 Operational Risk 34-35 Operational Risk Operational Risk Management Risk Management Risk Framework, Board Oversight of Risk, Market Risk 36-41 Market risk Market Risk - Trading Activities Management Oversight of Risk, and Market Risk - Trading Activities Interest Rate Risk — Overview Interest Rate Risk for Non-Trading Activities Asset/Liability Management and Table 29 — Earnings Sensitivity Supplementary 42-43 Supplementary Leverage Ratio Capital Management Leverage Ratio 3 The tables below provide page references to our second quarter 2018 Form 10-Q and our 2017 Form 10-K for certain topics and financial information listed in the table on the previous page. Second Quarter 2018 Form 10-Q Page reference Management's Discussion and Analysis Operational Risk Management 25 Credit Risk Management 26-44 Asset/Liability Management 45-50 Interest Rate Risk 45-46 Market Risk – Trading Activities 46-47 Market Risk – Equity Securities 47 Capital Management 51-57 Capital Planning and Stress Testing 56-57 Table 1 Average Balances, Yields and Rates Paid (Taxable-Equivalent Basis) 8 Table 8 Maturities for Selected Commercial Loan Categories 22 Table 12 Commercial and Industrial Loans and Lease Financing by Industry 27 Table 13 CRE Loans by State and Property Type 28 Table 14 Select Country Exposures 30 Table 16 Real Estate 1-4 Family First and Junior Lien Mortgage Loans by State 31 Table 20 Junior Lien Mortgage Line and Loan and First Lien Mortgage Line Portfolios Payment Schedule 35 Table 22 Analysis of Changes in Nonaccrual Loans 37 Table 26 Loans 90 Days or More Past Due and Still Accruing 41 Table 27 Net Charge-offs 42 Table 29 Net Interest Income Sensitivity Over Next Two-Year Horizon Relative to Base Expectation 45 Forward-Looking Statements 62-63 Notes to Consolidated Financial Statements Note 1 Summary of Significant Accounting Policies 71-74 Note 3 Cash, Loan and Dividend Restrictions 75 Note 5 Available-for-Sale and Held-to-Maturity Debt Securities 78-84 Note 6 Loans and Allowance for Credit Losses 85-101 Note 6 Table 6.5 (Allowance for Credit Losses) 87 Note 7 Equity Securities 102-103 Note 9 Securitizations and Variable Interest Entities 105-112 Note 12 Guarantees, Pledged Assets and Collateral, and Other Commitments 118-121 Note 14 Derivatives 126-135 Note 16 Preferred Stock 157-159 4 Page 2017 Form 10-K reference Management's Discussion and Analysis Off-Balance Sheet Arrangements 63-64 Risk Management 65-104 Risk Framework 65 Board and Management-level Committee Structure 65-66 Board Oversight of Risk 66 Management Oversight of Risk 66-67 Credit Risk Management 68-90 Asset/Liability Management 91-104 Market Risk - Trading Activities 94-100 Capital Management 104-110 Capital Planning and Stress Testing 109-110 Risk Factors 121-137 Table 35 Net Charge-offs 86 Notes to Consolidated Financial Statements Note 1 Summary of Significant Accounting Policies 147-157 Note 3 Cash, Loan and Dividend Restrictions 158 Note 6 Loans and Allowance for Credit Losses 168-184 Note 6 Table 6.5 (Allowance for Credit Losses) 171 Note 14 Guarantees, Pledged Assets and Collateral, and Other Commitments 207-211 Note 18 Preferred Stock 248-250 Note 19 Common Stock and Stock Plans 251-254 5 Introduction Executive Summary The Pillar 3 disclosures included within this Report are required by the regulatory capital rules issued by the Office of the Comptroller of the Currency (OCC), the Board of Governors of the Federal Reserve System (FRB) (collectively, the Agencies), and the Federal Deposit Insurance Corporation (FDIC), and are designed to comply with the rules and regulations associated with the Basel III capital adequacy framework, which prescribed these disclosures under its Pillar 3 - Market Discipline rules. These disclosures should be read in conjunction with our Quarterly Report on Form 10-Q for the quarter ended June 30, 2018 (second quarter 2018 Form 10-Q) and our Annual Report on Form 10-K for the year ended December 31, 2017 (2017 Form 10-K). The Pillar 3 disclosures provide qualitative and quantitative information about regulatory capital calculated under the Advanced Approach for second quarter 2018. At June 30, 2018, we calculated our Common Equity Tier 1 (CET1), tier 1 and total capital ratios in accordance with the Standardized and Advanced Approaches. The lower of each ratio calculated under the two approaches is used in the assessment of our capital adequacy. The CET1, tier 1, and total capital ratios were lower under the Standardized Approach. Table 1 summarizes CET1, tier 1, total capital, risk-weighted assets (RWAs), and the respective capital ratios under the Advanced and Standardized Approaches at June 30, 2018. The capital ratios set forth in Table 1 exceed the minimum required capital ratios for CET1, tier 1, and total capital ratios, respectively. Table 1: Capital Components and Ratios Under Basel III (1) June 30, 2018 (in millions, except ratios) Advanced Standardized Approach Approach Common Equity Tier 1 Capital $ 152,955 152,955 Tier 1 Capital 176,456 176,456 Total Capital 208,637 216,718 Risk-Weighted Assets 1,206,821 1,276,332 Common Equity Tier 1 Capital Ratio 12.67% 11.98% * Tier 1 Capital Ratio 14.62 13.83 * Total Capital Ratio 17.29 16.98 * (1) Beginning January 1, 2018, the requirements for calculating CET1 and tier 1 capital,
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