Fair Value Option (Tables)

12 Months Ended

Dec. 31, 2020

Fair Value, Option, Quantitative Disclosures

The following table summarizes the fair value and unpaid principal balance for items we account for under FVO:


	Fair Value		Unpaid Principal Balance		Fair Value Over (Under) Unpaid Principal Balance
	(in millions)
At December 31, 2020
Student loans held for investment	$	32	$	34	$	(2)
Commercial loans held for sale	36		36		—


Fixed rate long-term debt	1,030		741		289
Hybrid instruments:
Structured deposits	4,155		3,844		311
Structured notes	9,695		8,332		1,363
At December 31, 2019
Commercial loans held for sale	$	178	$	189	$	(11)

Securities sold under repurchase agreements	373		373		—
Fixed rate long-term debt	959		741		218
Hybrid instruments:
Structured deposits	7,209		7,491		(282)
Structured notes	9,388		8,187		1,201

Components of Gain on Instruments at Fair Value and Related Derivatives

The following table summarizes the components of gain (loss) on instruments designated at fair value and related derivatives reflected in the consolidated statement of income (loss) for the years ended December 31, 2020, 2019 and 2018:


	Loans and Loans Held for Sale		Securities Sold Under Repurchase Agreements		Long-Term Debt		Hybrid Instruments		Total
	(in millions)
















Year Ended December 31, 2020
Interest rate and other components(1)	$	—	$	—	$	(79)	$	(695)	$	(774)
Credit risk component(2)(3)	(49)		—		—		—		(49)
Total mark-to-market on financial instruments designated at fair value	(49)		—		(79)		(695)		(823)
Mark-to-market on related derivatives	37		—		88		699		824
Net realized gain on related long-term debt derivatives	—		—		33		—		33
Gain (loss) on instruments designated at fair value and related derivatives	$	(12)	$	—	$	42	$	4	$	34

Year Ended December 31, 2019
Interest rate and other components(1)	$	—	$	—	$	(200)	$	(1,986)	$	(2,186)
Credit risk component(2)	3		—		—		—		3
Total mark-to-market on financial instruments designated at fair value	3		—		(200)		(1,986)		(2,183)
Mark-to-market on related derivatives	—		—		148		1,983		2,131
Net realized gain on related long-term debt derivatives	—		—		39		—		39
Gain (loss) on instruments designated at fair value and related derivatives	$	3	$	—	$	(13)	$	(3)	$	(13)

Year Ended December 31, 2018
Interest rate and other components(1)	$	—	$	1	$	99	$	1,035	$	1,135
Credit risk component(2)	(4)		—		—		—		(4)
Total mark-to-market on financial instruments designated at fair value	(4)		1		99		1,035		1,131
Mark-to-market on related derivatives	—		—		(95)		(1,062)		(1,157)
Net realized gain on related long-term debt derivatives	—		—		45		—		45
Gain (loss) on instruments designated at fair value and related derivatives	$	(4)	$	1	$	49	$	(27)	$	19

(1)As it relates to hybrid instruments, interest rate and other components primarily includes interest rate, foreign exchange and equity contract risks.

(2)The fair value movement on fair value option liabilities attributable to our own credit spread is recorded in other comprehensive income.

(3)During 2020, the loss in the credit risk component for loans and loans held for sale was attributable to the widening of credit spreads associated with certain commercial loans held for sale which were impacted by the COVID-19 pandemic.