Fair Value Option (Tables)

6 Months Ended

Jun. 30, 2023

Summary of Fair Value and Unpaid Principal Balance for Items Accounted for Under FVO

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 June 30, 2023
Student loans held for investment	$	17	$	19	$	(2)
Commercial loans held for sale	374		386		(12)

Client share repurchase asset	61		61		—

Fixed rate long-term debt	723		741		(18)
Hybrid instruments:
Structured deposits	1,352		1,344		8
Structured notes	8,483		8,191		292
Client share repurchase liability	61		61		—
At December 31, 2022
Student loans held for investment	$	20	$	22	$	(2)
Commercial loans held for sale	237		291		(54)
Client share repurchase asset	325		325		—


Fixed rate long-term debt	706		741		(35)
Hybrid instruments:
Structured deposits	1,554		1,520		34
Structured notes	7,672		8,051		(379)
Client share repurchase liability	325		325		—

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 for the three and six months ended June 30, 2023 and 2022:


	Loans and Loans Held for Sale		Long-Term Debt		Hybrid Instruments		Total
	(in millions)
Three Months Ended June 30, 2023
Interest rate and other components(1)	$	—	$	23	$	(276)	$	(253)
Credit risk component(2)	14		—		—		14
Total mark-to-market on financial instruments designated at fair value	14		23		(276)		(239)
Mark-to-market on related derivatives	—		(28)		269		241
Net realized gain on related long-term debt derivatives	—		—		—		—
Gain (loss) on instruments designated at fair value and related derivatives	$	14	$	(5)	$	(7)	$	2

Three Months Ended June 30, 2022
Interest rate and other components(1)	$	—	$	65	$	936	$	1,001
Credit risk component(2)(3)	(27)		—		—		(27)
Total mark-to-market on financial instruments designated at fair value	(27)		65		936		974
Mark-to-market on related derivatives	—		(70)		(893)		(963)
Net realized gain on related long-term debt derivatives	—		8		—		8
Gain (loss) on instruments designated at fair value and related derivatives	$	(27)	$	3	$	43	$	19

Six Months Ended June 30, 2023
Interest rate and other components(1)	$	—	$	2	$	(726)	$	(724)
Credit risk component(2)	8		—		—		8
Total mark-to-market on financial instruments designated at fair value	8		2		(726)		(716)
Mark-to-market on related derivatives	—		(5)		700		695
Net realized gain on related long-term debt derivatives	—		1		—		1
Gain (loss) on instruments designated at fair value and related derivatives	$	8	$	(2)	$	(26)	$	(20)

Six Months Ended June 30, 2022
Interest rate and other components(1)	$	—	$	139	$	1,349	$	1,488
Credit risk component(2)(3)	(35)		—		—		(35)
Total mark-to-market on financial instruments designated at fair value	(35)		139		1,349		1,453
Mark-to-market on related derivatives	—		(155)		(1,290)		(1,445)
Net realized gain on related long-term debt derivatives	—		17		—		17
Gain (loss) on instruments designated at fair value and related derivatives	$	(35)	$	1	$	59	$	25

(1)As it relates to hybrid instruments, interest rate and other components primarily includes interest rate 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 (loss).

(3)During the three and six months ended June 30, 2022, the losses in the credit risk component for loans held for sale was attributable to the widening of credit spreads associated with certain commercial loans which were impacted by the weakening of market conditions.