Fair Value Option (Tables)

9 Months Ended

Sep. 30, 2022

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 September 30, 2022
Student loans held for sale	$	21	$	23	$	(2)
Commercial loans held for sale	145		158		(13)


Fixed rate long-term debt	678		741		(63)
Hybrid instruments:
Structured deposits	1,762		1,744		18
Structured notes	6,323		7,072		(749)
At December 31, 2021
Student loans held for sale	$	25	$	28	$	(3)
Commercial loans held for sale	23		23		—


Fixed rate long-term debt	945		741		204
Hybrid instruments:
Structured deposits	2,749		2,465		284
Structured notes	7,997		6,834		1,163

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 nine months ended September 30, 2022 and 2021:


	Loans Held for Sale		Long-Term Debt		Hybrid Instruments		Total
	(in millions)
Three Months Ended September 30, 2022
Interest rate and other components(1)	$	—	$	57	$	324	$	381
Credit risk component(2)(3)	(14)		—		—		(14)
Total mark-to-market on financial instruments designated at fair value	(14)		57		324		367
Mark-to-market on related derivatives	—		(65)		(337)		(402)
Net realized gain on related long-term debt derivatives	—		6		—		6
Gain (loss) on instruments designated at fair value and related derivatives	$	(14)	$	(2)	$	(13)	$	(29)

Three Months Ended September 30, 2021
Interest rate and other components(1)	$	—	$	16	$	62	$	78
Credit risk component(2)	—		—		—		—
Total mark-to-market on financial instruments designated at fair value	—		16		62		78
Mark-to-market on related derivatives	—		(19)		(61)		(80)
Net realized gain on related long-term debt derivatives	—		10		—		10
Gain (loss) on instruments designated at fair value and related derivatives	$	—	$	7	$	1	$	8

Nine Months Ended September 30, 2022
Interest rate and other components(1)	$	—	$	196	$	1,673	$	1,869
Credit risk component(2)(3)	(49)		—		—		(49)
Total mark-to-market on financial instruments designated at fair value	(49)		196		1,673		1,820
Mark-to-market on related derivatives	—		(220)		(1,627)		(1,847)
Net realized gain on related long-term debt derivatives	—		23		—		23
Gain (loss) on instruments designated at fair value and related derivatives	$	(49)	$	(1)	$	46	$	(4)

Nine Months Ended September 30, 2021
Interest rate and other components(1)	$	—	$	75	$	(791)	$	(716)
Credit risk component(2)	1		—		—		1
Total mark-to-market on financial instruments designated at fair value	1		75		(791)		(715)
Mark-to-market on related derivatives	—		(85)		804		719
Net realized gain on related long-term debt derivatives	—		29		—		29
Gain (loss) on instruments designated at fair value and related derivatives	$	1	$	19	$	13	$	33

(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 (loss).

(3)During the three and nine months ended September 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.