Attached please find Income Statement, Balance Sheet, Statement of Cash flows, and Table 10.7 from footnote 10 on Securitizations and VIEs of Wells Fargo's 2019 annual report. Focus on the "Total loans columns in the Table. These are the loans that have been sold or securitized, and are not included on Wells Fargo's Balance Sheet. Answer the following questions, for 2019 only. Wells Fargo's cumulative pre-tax gains on securitizations is $7,257. 1. Calculate the firm's ratio of CFO/OE. Use "Total equity" for the denominator. 2. Calculate the firm's ratio of total liabilities/total assets. 3. Recalculate the ratio in #1 if the sales and securitizations in Table 10.7 had been accounted for as borrowings. Assume that there have been no gains on loan sales or securitizations. 4. Recalculate the ratio in #2 if the sales and securitizations in Table 10.7 had been accounted for as borrowings. Assume that there have been no gains on loan sales or securitizations. 5. Redo #3 accounting for the securitization gains (ignore taxes). Financial Statements 3,023 Cards Wells Fargo & Company and Subsidiaries Consolidated Statement of Income Year ended December 31, On milions, except per shore amounts 2019 2018 2017 Interest income Debt securities $ 14,955 14400 12,966 Mortgage can held for sale 813 777 785 Loons held for sale 29 140 50 Loans 44,146 43.974 41,388 Equity Securities 962 992 709 Other interest income 5,128 4,358 2,940 Total interest income 66,083 64.647 58,909 Interest expense Deposits 8,625 5,622 Short-term borrowing 2,316 1.717 758 Long-term debt 7,230 6,703 5.252 Other interest expense 551 610 424 Total interest expense 18,652 14,652 9,052 Net interest Income 47,231 49,995 49,557 Provision for credit losses 2,687 1746 2,528 Nut interest income after ovilon for credt losses 44,544 40251 47,029 Noninterest Income Service charges on deposit accounts 4,790 4716 5.111 Trust and investment fees 14,072 14509 14495 4,016 3.907 3,960 Other fees 3,084 3,384 3.557 Mortgage banking 2,715 3017 4350 Insurance 378 429 1040 Net gains from trading activities 993 602 542 Net gains ondebt securities 1) 240 108 479 Net gains from equity securities (2) 2.843 1,515 1.729 Lease income 1.612 1,753 1907 Other 3,101 2,473 1603 Total interest income 37,832 3143 38132 Noninterest expense Salaries 18,382 17.834 17.363 Commission and Incentive compensation 10,028 10,264 10442 Employee benefits 5,874 4,926 5,566 Technology and equipment 2,763 2444 2,237 Net occupancy 2,945 2.500 2,840 Core deposit and other intangibles 108 1,058 1,152 FOK and other deposit sessments 526 1.110 1,287 Other 16,752 25,602 17.558 Total noninterest expense 58,170 56.126 58,454 Income before income tax expense 24,193 28,538 27,377 Income tax expense 4,157 5,662 4,917 Net Income before non controiing Interests 20,041 22.876 22.000 Less Net income from controlle interests 483 277 Wells Fargo net income $ 19,548 22,393 22,183 Less: Preferred stock dividends and other 1,611 1,704 1,629 Wells Fargo net Income applicable to common stack $ 17,938 20.699 20,554 Pershare information Earnings per common share $ 4.00 431 4.14 Diluted earnings per common share 4.05 428 4.20 Average common shares outstanding 4,3931 4,799.7 4,964.6 Diluted average common shares outstanding 4,425.4 40384 5.0173 Total other than terpery impairment comes were $54 mb $1705 in for the yeusessed December 31, 2019, 2026 and 2017, respectively of tollo, se of $63 mn. 12 min 5202 rei were record in earnings, and bass reversal of lusses of 1 milion mind 57 min version didated Omother Cerere income for the years ended December 31, 2015, 2016 and 2017, respectively dades Orief5245mfor $352 and 340 the years ended December 31, 2009, 2018 and 2013, reiectively The accompanying notes are an integral part of these statements. SOURITEZATIONS ? Consolidated Balance Sheet Dec 31, Dec 31, din millions, except shares) 2019 2018 Assets Cash and due from banks $ 21,757 23,551 Interest-earning deposits with banks 119,493 149,736 Total cash, cash equivalents, and restricted cash 141,250 173,287 Federal funds sold and securities purchased under resale agreements 102,140 80,207 Debt securities: Trading, at fair value 79,733 69,999 Available-for-sale, at fair value 263,459 269,912 Held-to-maturity, at cost (fair value $156,860 and $142,115) 163,933 144,788 Mortgage loans held for sale (includes $16,606 and $11,771 carried at fair value) (1) 23,342 15,126 Loans held for sale includes $972 and $2,469 carried at fair value) (1) 977 2,041 Loans (includes $172 and $244 carried at fair value) (1) 962,265 953,110 Allowance for loan losses 19,551) 19,775) Net loans 952,714 943,335 Mortgage servicing rights: Measured at fair value 11,517 14,649 Amortized 1,430 1,443 Premises and equipment, net 9,309 2,920 Goodwil 26,390 26,418 Derivative assets 14,203 10,770 Equity securities (includes $41,936 and $29,556 carried at fair value) (1) 68,241 55,248 Other assets 78,917 79,850 Total assets (21 $ 1,927,555 1,895,883 Liabilities Noninterest-bearing deposits $ 344,496 349,534 Interest-bearing deposits 978,130 936,636 Total deposits 1,322,626 1,286,170 Short-term borrowings 104,512 105,787 Derivative liabilities 9,079 8,499 Accrued expenses and other liabilities 75,163 69,317 Long-term debt 228,191 229,044 Total liabilities (3) 1,739,571 1,698,817 Equity Wells Fargo stockholders' equity. Preferred stock 21,549 23,214 Common stock - $2-23 par value, authorized 9,000,000,000 shares issued 5,481,811,474 shares 9,136 9,136 Additional paid-in capital 61,049 60,685 Retained earnings 166,697 158,163 Cumulative other comprehensive income fossi (1,311) 16,336) Treasury stock -1,347,385,537 shares and 900,557,866 shares (68,831) (47,294) Unearned ESOP shares (2,143) (1,502) Total Wells Fargo stockholders' equity 187,146 196,166 Noncontrolling interests 838 900 Total equity 187,984 197,066 Total abilities and equity 1,927,555 1,895,883 (1) Parenthetical amounts represent assets and Tables that we are required to carry at falvalue or have elected the fair value option Our consolidated assets at December 31, 2019 and 2018. include the following assets of certain variable interest entities (ves that can only be used to settle the Sabrities of those VIES: Cash and due from banks, $16 million and $139 milice interest-bearing deposits with banks, $284 million and $million: Debt Securities, $540 milion and $562 million Metfors, $132 bilion and $13.6 bilior Derivative assets. $1 million and somilo Equity Securities, $118 million and $5 millorOther assets $239 million and $227 milion and Total assets, $14.4 bilion and $14.6 bilion respectively. Prior period balances have been conformed to current period presentation Our consolidated abilities at December 31, 2019 and 2014, include the following VIE liabilities for which the VIE creditors do not have recourse to Wells Fargo Short-term borrowings, $401 milion and $493 milion; Derivative wodities, $3 million and 50 milion Accrued expenses and other labiskies, $235 million and $199 million, Long-term debt, $587 million and $816 million and Total abilities. $1.2 billion and $1.5 bilion, respectively. Prior period balances have been conformed to current period presentation. (3) Consolidated Statement of Cash Flows Year ended December 31, 2018 2017 2019 20,041 22,826 22.460 2,687 3,702 7,075 (5,5001 2,274 (158,673) 112,718 1,744 453 5,599 17,630 2.255 (152,832) 119,007 2,528 886 5,406 (1,5181 2,046 01512691 134,984 22,066 788 63,2461 12,665) 3,034 2,420 6,730 35,054 (980 1,970 1,513 7,805 (865 36,073 33,505 327 666 15.025) (1214) 18,519 (21,933) (1.1841 (21.497] 7,320 9,386 46,542 (57,015) 36,725 160,067 42057 45.688 (103,556) 13,684 10,934 10,673 (8,6491 5,143 (6,865) 6,242 16,4331 5,452 13.735) in millions) Cash flows from operating activities: Net income before non controling interests Adjustments to reconcile net income to net cash provided by operating activities Provision for credklosses Changes in fair value of MSR, MAHFS and LHFS carried at fair value Depreciation, amortiration and accretion Other not gains Stock-based compensation Originations and purchases of mortgage loans hold for sale Proceeds from sales of and paydons en mortgage loan held for sale Net change in Debt and equity securities, held for trading Loans held for sale Deferred Income taxes Derivative assets and bites Other assets Other accrued experties and abilities Net cash provided by operating activities Cash flows from investing activities Net change in Federalfords sold and securities purchased under resale agreements Available for sale debat securities Proceeds from sales Prepayments and maturities Purchases Held-to-maturity securities: Paydowns and maturities Purchases Equity securities, not held for trading Proceeds from sales and capital retums Purchases Low Loans originated by banking subsidiaries, net of principal collected Proceeds from sales including participations of landheld for investment Purchases including participation of loans Principal collected on norbank entities' bans Loans originated by nostank entities Proceeds from sales of foreclosed assets and stort sales Othernet (11 Net cash used by investing activities Cashflows from financing activities: Met change is Deposits Short-term borrowings Long-term debt: Proceeds from inance Repayment Preferred stock: Proceeds from issance Redeemed Cash dividends pald Common stock Proceeds from Issuance Stock tendered for payment of withholding tantes Repurchased Cash dividends paid Net change is noncontrolling interests Othere Net cash used by financing activities Net change in cash, cash equivalents, and restricted cash Cash, cash equivalents, and restricted cash at beginning of year Cash, cash equivalents, and restricted cash at end of year Supplemenital cash flow disclosures Cash paid for kerest Cash paid for income taxes Prix ycris lave livistu lu conform to the current period presentation (23,698) 12,038 (2,033) 3,912 (5,274) 2,666 1,465 (29,631) 118,619) 16,294 12,0881 6,791 16,4821 3,592 (779) 17,7541 317 10,439 13,702) 7,448 16,814 5.198 (1.0291 (13,152) 36,137 (1,275) 148,034) 2,531 29,912 14,020 53,383 (60,996) 47,595 140,565) 43,575 (80.0021 677 (1,550) (1,391) 12,150 61,622) 380 Gaz (302) (24,593) (8,198) (513) (276) (9,136) (32,037) 48311 120,633) 17,692 (462) (2461 170,979) 142,660) 215,947 173,287 1,211 (3931 19,900) 12,4801 30 (133) 110.9201 15,4531 221,400 215,947 173,287 141,250 18,834 7,557 14,366 1,977 9,103 6,592 The accompanying notes are an integral part of these statements. See Note 1 (Summary of Significant Accounting Policies) for noncash activities. In addition to residential MSRs included in the previous table, we have a small portfolio of commercial MSRs which are carried at LOCOM with a fair value of $1.9 billion and $2.3 billion at December 31, 2019 and 2018, respectively. Prepayment assumptions do not significantly impact values of commercial MSRs and commercial mortgage bonds as most commercial loans include contractual restrictions on prepayment Servicing costs are not a driver of our MSR value as we are typically primary or master servicer; the higher costs of servicing delinquent and foreclosed loans is generally born by the special servicer. 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 December 31, 2019 and 2018, results in a decrease in fair value of $205 million and $320 million, respectively. See Note 11 (Mortgage Banking Activities) for further information on our commercial MSRs. The sensitivities in the preceding paragraph and table are hypothetical and caution should be exercised when relying on this data. Changes in value based on variations in assumptions Table 10.7: Off-Balance Sheet Loans Sold or Securitized 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 10.7 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. Net charge-offs (3) Delinquent loans and Total loans foreclosed assets (2) Year ended December 31, December 31. December 31, (in millions 2019 2018 2019 2018 2019 2018 Commercial: Real estate mortgage $ 112,507 105,173 776 1,008 179 739 Total commercial 112,507 105,173 776 1,008 179 739 Consumer Real estate 1-4 family first mortgage 1,003,446 1,097,128 6,664 8,947 229 466 Real estate 1-4 family junior lien mortgage 13 2 Total consumer 1,004,459 1,097,128 6,666 8,947 229 466 Total off-balance sheet sold or securitized loans (2) $ 1,120,966 1,202,301 7,442 9,955 408 1,205 411 Includes $492 million and $675 milion of commercial foreclosed assets and $356 million and $582 milion of consumer foreclosed assets at December 31, 2019 and 2016, respectively 121 Al December 31, 2019 and 2018, the table inchicks totius of $1.0 trillion and $1.1 trilion delinquent loans of $5.2 billion and $6.4 bilion, and foreclosed assets of $261 million and $442 milion respectively, for FNMA, FHLMC and GNMA. (31 Net change-offs exclude loans sold to FNMA, FHLMC and GNMA as we do not service or manage the underlying realestate upon fececlosure and assisch, do not have access to charge off Information Attached please find Income Statement, Balance Sheet, Statement of Cash flows, and Table 10.7 from footnote 10 on Securitizations and VIEs of Wells Fargo's 2019 annual report. Focus on the "Total loans columns in the Table. These are the loans that have been sold or securitized, and are not included on Wells Fargo's Balance Sheet. Answer the following questions, for 2019 only. Wells Fargo's cumulative pre-tax gains on securitizations is $7,257. 1. Calculate the firm's ratio of CFO/OE. Use "Total equity" for the denominator. 2. Calculate the firm's ratio of total liabilities/total assets. 3. Recalculate the ratio in #1 if the sales and securitizations in Table 10.7 had been accounted for as borrowings. Assume that there have been no gains on loan sales or securitizations. 4. Recalculate the ratio in #2 if the sales and securitizations in Table 10.7 had been accounted for as borrowings. Assume that there have been no gains on loan sales or securitizations. 5. Redo #3 accounting for the securitization gains (ignore taxes). Financial Statements 3,023 Cards Wells Fargo & Company and Subsidiaries Consolidated Statement of Income Year ended December 31, On milions, except per shore amounts 2019 2018 2017 Interest income Debt securities $ 14,955 14400 12,966 Mortgage can held for sale 813 777 785 Loons held for sale 29 140 50 Loans 44,146 43.974 41,388 Equity Securities 962 992 709 Other interest income 5,128 4,358 2,940 Total interest income 66,083 64.647 58,909 Interest expense Deposits 8,625 5,622 Short-term borrowing 2,316 1.717 758 Long-term debt 7,230 6,703 5.252 Other interest expense 551 610 424 Total interest expense 18,652 14,652 9,052 Net interest Income 47,231 49,995 49,557 Provision for credit losses 2,687 1746 2,528 Nut interest income after ovilon for credt losses 44,544 40251 47,029 Noninterest Income Service charges on deposit accounts 4,790 4716 5.111 Trust and investment fees 14,072 14509 14495 4,016 3.907 3,960 Other fees 3,084 3,384 3.557 Mortgage banking 2,715 3017 4350 Insurance 378 429 1040 Net gains from trading activities 993 602 542 Net gains ondebt securities 1) 240 108 479 Net gains from equity securities (2) 2.843 1,515 1.729 Lease income 1.612 1,753 1907 Other 3,101 2,473 1603 Total interest income 37,832 3143 38132 Noninterest expense Salaries 18,382 17.834 17.363 Commission and Incentive compensation 10,028 10,264 10442 Employee benefits 5,874 4,926 5,566 Technology and equipment 2,763 2444 2,237 Net occupancy 2,945 2.500 2,840 Core deposit and other intangibles 108 1,058 1,152 FOK and other deposit sessments 526 1.110 1,287 Other 16,752 25,602 17.558 Total noninterest expense 58,170 56.126 58,454 Income before income tax expense 24,193 28,538 27,377 Income tax expense 4,157 5,662 4,917 Net Income before non controiing Interests 20,041 22.876 22.000 Less Net income from controlle interests 483 277 Wells Fargo net income $ 19,548 22,393 22,183 Less: Preferred stock dividends and other 1,611 1,704 1,629 Wells Fargo net Income applicable to common stack $ 17,938 20.699 20,554 Pershare information Earnings per common share $ 4.00 431 4.14 Diluted earnings per common share 4.05 428 4.20 Average common shares outstanding 4,3931 4,799.7 4,964.6 Diluted average common shares outstanding 4,425.4 40384 5.0173 Total other than terpery impairment comes were $54 mb $1705 in for the yeusessed December 31, 2019, 2026 and 2017, respectively of tollo, se of $63 mn. 12 min 5202 rei were record in earnings, and bass reversal of lusses of 1 milion mind 57 min version didated Omother Cerere income for the years ended December 31, 2015, 2016 and 2017, respectively dades Orief5245mfor $352 and 340 the years ended December 31, 2009, 2018 and 2013, reiectively The accompanying notes are an integral part of these statements. SOURITEZATIONS ? Consolidated Balance Sheet Dec 31, Dec 31, din millions, except shares) 2019 2018 Assets Cash and due from banks $ 21,757 23,551 Interest-earning deposits with banks 119,493 149,736 Total cash, cash equivalents, and restricted cash 141,250 173,287 Federal funds sold and securities purchased under resale agreements 102,140 80,207 Debt securities: Trading, at fair value 79,733 69,999 Available-for-sale, at fair value 263,459 269,912 Held-to-maturity, at cost (fair value $156,860 and $142,115) 163,933 144,788 Mortgage loans held for sale (includes $16,606 and $11,771 carried at fair value) (1) 23,342 15,126 Loans held for sale includes $972 and $2,469 carried at fair value) (1) 977 2,041 Loans (includes $172 and $244 carried at fair value) (1) 962,265 953,110 Allowance for loan losses 19,551) 19,775) Net loans 952,714 943,335 Mortgage servicing rights: Measured at fair value 11,517 14,649 Amortized 1,430 1,443 Premises and equipment, net 9,309 2,920 Goodwil 26,390 26,418 Derivative assets 14,203 10,770 Equity securities (includes $41,936 and $29,556 carried at fair value) (1) 68,241 55,248 Other assets 78,917 79,850 Total assets (21 $ 1,927,555 1,895,883 Liabilities Noninterest-bearing deposits $ 344,496 349,534 Interest-bearing deposits 978,130 936,636 Total deposits 1,322,626 1,286,170 Short-term borrowings 104,512 105,787 Derivative liabilities 9,079 8,499 Accrued expenses and other liabilities 75,163 69,317 Long-term debt 228,191 229,044 Total liabilities (3) 1,739,571 1,698,817 Equity Wells Fargo stockholders' equity. Preferred stock 21,549 23,214 Common stock - $2-23 par value, authorized 9,000,000,000 shares issued 5,481,811,474 shares 9,136 9,136 Additional paid-in capital 61,049 60,685 Retained earnings 166,697 158,163 Cumulative other comprehensive income fossi (1,311) 16,336) Treasury stock -1,347,385,537 shares and 900,557,866 shares (68,831) (47,294) Unearned ESOP shares (2,143) (1,502) Total Wells Fargo stockholders' equity 187,146 196,166 Noncontrolling interests 838 900 Total equity 187,984 197,066 Total abilities and equity 1,927,555 1,895,883 (1) Parenthetical amounts represent assets and Tables that we are required to carry at falvalue or have elected the fair value option Our consolidated assets at December 31, 2019 and 2018. include the following assets of certain variable interest entities (ves that can only be used to settle the Sabrities of those VIES: Cash and due from banks, $16 million and $139 milice interest-bearing deposits with banks, $284 million and $million: Debt Securities, $540 milion and $562 million Metfors, $132 bilion and $13.6 bilior Derivative assets. $1 million and somilo Equity Securities, $118 million and $5 millorOther assets $239 million and $227 milion and Total assets, $14.4 bilion and $14.6 bilion respectively. Prior period balances have been conformed to current period presentation Our consolidated abilities at December 31, 2019 and 2014, include the following VIE liabilities for which the VIE creditors do not have recourse to Wells Fargo Short-term borrowings, $401 milion and $493 milion; Derivative wodities, $3 million and 50 milion Accrued expenses and other labiskies, $235 million and $199 million, Long-term debt, $587 million and $816 million and Total abilities. $1.2 billion and $1.5 bilion, respectively. Prior period balances have been conformed to current period presentation. (3) Consolidated Statement of Cash Flows Year ended December 31, 2018 2017 2019 20,041 22,826 22.460 2,687 3,702 7,075 (5,5001 2,274 (158,673) 112,718 1,744 453 5,599 17,630 2.255 (152,832) 119,007 2,528 886 5,406 (1,5181 2,046 01512691 134,984 22,066 788 63,2461 12,665) 3,034 2,420 6,730 35,054 (980 1,970 1,513 7,805 (865 36,073 33,505 327 666 15.025) (1214) 18,519 (21,933) (1.1841 (21.497] 7,320 9,386 46,542 (57,015) 36,725 160,067 42057 45.688 (103,556) 13,684 10,934 10,673 (8,6491 5,143 (6,865) 6,242 16,4331 5,452 13.735) in millions) Cash flows from operating activities: Net income before non controling interests Adjustments to reconcile net income to net cash provided by operating activities Provision for credklosses Changes in fair value of MSR, MAHFS and LHFS carried at fair value Depreciation, amortiration and accretion Other not gains Stock-based compensation Originations and purchases of mortgage loans hold for sale Proceeds from sales of and paydons en mortgage loan held for sale Net change in Debt and equity securities, held for trading Loans held for sale Deferred Income taxes Derivative assets and bites Other assets Other accrued experties and abilities Net cash provided by operating activities Cash flows from investing activities Net change in Federalfords sold and securities purchased under resale agreements Available for sale debat securities Proceeds from sales Prepayments and maturities Purchases Held-to-maturity securities: Paydowns and maturities Purchases Equity securities, not held for trading Proceeds from sales and capital retums Purchases Low Loans originated by banking subsidiaries, net of principal collected Proceeds from sales including participations of landheld for investment Purchases including participation of loans Principal collected on norbank entities' bans Loans originated by nostank entities Proceeds from sales of foreclosed assets and stort sales Othernet (11 Net cash used by investing activities Cashflows from financing activities: Met change is Deposits Short-term borrowings Long-term debt: Proceeds from inance Repayment Preferred stock: Proceeds from issance Redeemed Cash dividends pald Common stock Proceeds from Issuance Stock tendered for payment of withholding tantes Repurchased Cash dividends paid Net change is noncontrolling interests Othere Net cash used by financing activities Net change in cash, cash equivalents, and restricted cash Cash, cash equivalents, and restricted cash at beginning of year Cash, cash equivalents, and restricted cash at end of year Supplemenital cash flow disclosures Cash paid for kerest Cash paid for income taxes Prix ycris lave livistu lu conform to the current period presentation (23,698) 12,038 (2,033) 3,912 (5,274) 2,666 1,465 (29,631) 118,619) 16,294 12,0881 6,791 16,4821 3,592 (779) 17,7541 317 10,439 13,702) 7,448 16,814 5.198 (1.0291 (13,152) 36,137 (1,275) 148,034) 2,531 29,912 14,020 53,383 (60,996) 47,595 140,565) 43,575 (80.0021 677 (1,550) (1,391) 12,150 61,622) 380 Gaz (302) (24,593) (8,198) (513) (276) (9,136) (32,037) 48311 120,633) 17,692 (462) (2461 170,979) 142,660) 215,947 173,287 1,211 (3931 19,900) 12,4801 30 (133) 110.9201 15,4531 221,400 215,947 173,287 141,250 18,834 7,557 14,366 1,977 9,103 6,592 The accompanying notes are an integral part of these statements. See Note 1 (Summary of Significant Accounting Policies) for noncash activities. In addition to residential MSRs included in the previous table, we have a small portfolio of commercial MSRs which are carried at LOCOM with a fair value of $1.9 billion and $2.3 billion at December 31, 2019 and 2018, respectively. Prepayment assumptions do not significantly impact values of commercial MSRs and commercial mortgage bonds as most commercial loans include contractual restrictions on prepayment Servicing costs are not a driver of our MSR value as we are typically primary or master servicer; the higher costs of servicing delinquent and foreclosed loans is generally born by the special servicer. 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 December 31, 2019 and 2018, results in a decrease in fair value of $205 million and $320 million, respectively. See Note 11 (Mortgage Banking Activities) for further information on our commercial MSRs. The sensitivities in the preceding paragraph and table are hypothetical and caution should be exercised when relying on this data. Changes in value based on variations in assumptions Table 10.7: Off-Balance Sheet Loans Sold or Securitized 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 10.7 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. Net charge-offs (3) Delinquent loans and Total loans foreclosed assets (2) Year ended December 31, December 31. December 31, (in millions 2019 2018 2019 2018 2019 2018 Commercial: Real estate mortgage $ 112,507 105,173 776 1,008 179 739 Total commercial 112,507 105,173 776 1,008 179 739 Consumer Real estate 1-4 family first mortgage 1,003,446 1,097,128 6,664 8,947 229 466 Real estate 1-4 family junior lien mortgage 13 2 Total consumer 1,004,459 1,097,128 6,666 8,947 229 466 Total off-balance sheet sold or securitized loans (2) $ 1,120,966 1,202,301 7,442 9,955 408 1,205 411 Includes $492 million and $675 milion of commercial foreclosed assets and $356 million and $582 milion of consumer foreclosed assets at December 31, 2019 and 2016, respectively 121 Al December 31, 2019 and 2018, the table inchicks totius of $1.0 trillion and $1.1 trilion delinquent loans of $5.2 billion and $6.4 bilion, and foreclosed assets of $261 million and $442 milion respectively, for FNMA, FHLMC and GNMA. (31 Net change-offs exclude loans sold to FNMA, FHLMC and GNMA as we do not service or manage the underlying realestate upon fececlosure and assisch, do not have access to charge off Information