Fair Value Option (Tables)

12 Months Ended

Dec. 31, 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 December 31, 2023
Student loans held for investment	$	15	$	17	$	(2)
Commercial loans held for sale	250		256		(6)

Client share repurchase asset	10		10		—

Fixed rate long-term debt	749		741		8
Hybrid instruments:
Structured deposits	1,821		1,816		5
Structured notes	6,790		6,418		372
Client share repurchase liability	10		10		—
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 years ended December 31, 2023, 2022 and 2021:


	Loans and Loans Held for Sale		Long-Term Debt		Hybrid Instruments		Total
	(in millions)
















Year Ended December 31, 2023
Interest rate and other components(1)	$	—	$	3	$	(987)	$	(984)
Credit risk component(2)	11		—		—		11
Total mark-to-market on financial instruments designated at fair value	11		3		(987)		(973)
Mark-to-market on related derivatives	—		(4)		936		932
Net realized gain (loss) on related long-term debt derivatives	—		(1)		—		(1)
Gain (loss) on instruments designated at fair value and related derivatives	$	11	$	(2)	$	(51)	$	(42)

Year Ended December 31, 2022
Interest rate and other components(1)	$	—	$	197	$	1,290	$	1,487
Credit risk component(2)(3)	(85)		—		—		(85)
Total mark-to-market on financial instruments designated at fair value	(85)		197		1,290		1,402
Mark-to-market on related derivatives	—		(221)		(1,257)		(1,478)
Net realized gain on related long-term debt derivatives	—		26		—		26
Gain (loss) on instruments designated at fair value and related derivatives	$	(85)	$	2	$	33	$	(50)

Year Ended December 31, 2021
Interest rate and other components(1)	$	—	$	74	$	(1,119)	$	(1,045)
Credit risk component(2)	2		—		—		2
Total mark-to-market on financial instruments designated at fair value	2		74		(1,119)		(1,043)
Mark-to-market on related derivatives	—		(88)		1,128		1,040
Net realized gain on related long-term debt derivatives	—		38		—		38
Gain (loss) on instruments designated at fair value and related derivatives	$	2	$	24	$	9	$	35

(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 2022, 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 weakening of market conditions and deterioration in the financial condition of certain clients.