Fair Value Option (Tables)

9 Months Ended

Sep. 30, 2024

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, 2024
Student loans held for investment	$	12	$	14	$	(2)
Commercial loans held for sale	673		680		(7)



Fixed rate long-term debt	785		741		44
Hybrid instruments:
Structured deposits	2,594		2,497		97
Structured notes	6,360		6,056		304

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		—

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, 2024 and 2023:


	Loans and Loans Held for Sale		Long-Term Debt		Hybrid Instruments		Total
	(in millions)
Three Months Ended September 30, 2024
Interest rate and other components(1)	$	—	$	(33)	$	(226)	$	(259)
Credit risk component(2)	1		—		—		1
Total mark-to-market on financial instruments designated at fair value	1		(33)		(226)		(258)
Mark-to-market on related derivatives	—		38		218		256
Net realized gain (loss) on related long-term debt derivatives	—		(1)		—		(1)
Gain (loss) on instruments designated at fair value and related derivatives	$	1	$	4	$	(8)	$	(3)

Three Months Ended September 30, 2023
Interest rate and other components(1)	$	—	$	50	$	228	$	278
Credit risk component(2)	1		—		—		1
Total mark-to-market on financial instruments designated at fair value	1		50		228		279
Mark-to-market on related derivatives	—		(54)		(233)		(287)
Net realized gain (loss) on related long-term debt derivatives	—		(1)		—		(1)
Gain (loss) on instruments designated at fair value and related derivatives	$	1	$	(5)	$	(5)	$	(9)

Nine Months Ended September 30, 2024
Interest rate and other components(1)	$	—	$	(3)	$	(347)	$	(350)
Credit risk component(2)	—		—		—		—
Total mark-to-market on financial instruments designated at fair value	—		(3)		(347)		(350)
Mark-to-market on related derivatives	—		3		316		319
Net realized gain (loss) on related long-term debt derivatives	—		(2)		—		(2)
Gain (loss) on instruments designated at fair value and related derivatives	$	—	$	(2)	$	(31)	$	(33)

Nine Months Ended September 30, 2023
Interest rate and other components(1)	$	—	$	52	$	(498)	$	(446)
Credit risk component(2)	9		—		—		9
Total mark-to-market on financial instruments designated at fair value	9		52		(498)		(437)
Mark-to-market on related derivatives	—		(59)		467		408
Net realized gain on related long-term debt derivatives	—		—		—		—
Gain (loss) on instruments designated at fair value and related derivatives	$	9	$	(7)	$	(31)	$	(29)

(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).