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FAIR VALUE ELECTIONS (Tables)
 9 Months Ended
Sep. 30, 2016
Fair Value, Option, Aggregate Differences [Abstract]  
Schedule of financial instruments selected for changes in fair value gains and losses
The following table presents the changes in fair value of those items for which the fair value option has been elected:
 
Changes in fair value gains (losses) for the
 
Three Months Ended September 30,
Nine Months Ended September 30,
In millions of dollars
2016
2015
2016
2015
Assets
 
 
 
 
Federal funds sold and securities borrowed or purchased under agreements to resell
     selected portfolios of securities purchased under agreements
     to resell and securities borrowed
$
(54
)
$
1

$
(7
)
$
(92
)
Trading account assets
571

(676
)
509

(449
)
Investments
(4
)
3

(25
)
52

Loans
 
 


Certain corporate loans(1)
5

(164
)
65

(173
)
Certain consumer loans(1)
1

—

—

2

Total loans
$
6

$
(164
)
$
65

$
(171
)
Other assets
 
 


MSRs
$
13

$
(140
)
$
(349
)
$
51

Certain mortgage loans held for sale(2)
100

95

271

267

Other assets
6

—

376

—

Total other assets
$
119

$
(45
)
$
298

$
318

Total assets
$
638

$
(881
)
$
840

$
(342
)
Liabilities
 
 
 
 
Interest-bearing deposits
$
(16
)
$
(107
)
$
(84
)
$
(74
)
Federal funds purchased and securities loaned or sold under agreements to repurchase
selected portfolios of securities sold under agreements to repurchase and securities loaned
32

(5
)
24

(3
)
Trading account liabilities
4

(51
)
101

(66
)
Short-term borrowings
(173
)
14

(207
)
(54
)
Long-term debt
(305
)
246

(845
)
701

Total liabilities
$
(458
)
$
97

$
(1,011
)
$
504

(1)
Includes mortgage loans held by mortgage loan securitization VIEs consolidated upon the adoption of ASC 810, Consolidation (SFAS 167), on January 1, 2010.
(2)
Includes gains (losses) associated with interest rate lock-commitments for those loans that have been originated and elected under the fair value option.
Schedule of fair value of loans and other disclosures for certain credit related products
The following table provides information about certain credit products carried at fair value:
 
September 30, 2016
December 31, 2015
In millions of dollars
Trading assets
Loans
Trading assets
Loans
Carrying amount reported on the Consolidated Balance Sheet
$
9,561

$
3,970

$
9,314

$
5,005

Aggregate unpaid principal balance in excess of fair value
700

47

980

280

Balance of non-accrual loans or loans more than 90 days past due
—

1

5

2

Aggregate unpaid principal balance in excess of fair value for non-accrual loans or loans more than 90 days past due
—

1

13

1
Schedule of fair value of loans and other disclosures for certain mortgage loans
The following table provides information about certain mortgage loans HFS carried at fair value:
In millions of dollars
September 30,
2016
December 31, 2015
Carrying amount reported on the Consolidated Balance Sheet
$
1,031

$
745

Aggregate fair value in excess of unpaid principal balance
39

20

Balance of non-accrual loans or loans more than 90 days past due
—

—

Aggregate unpaid principal balance in excess of fair value for non-accrual loans or loans more than 90 days past due
—

—
Schedule of carrying value of structured notes, disaggregated by type of embedded derivative instrument
The following table provides information about the carrying value of structured notes, disaggregated by type of embedded derivative instrument:
In billions of dollars
September 30, 2016
December 31, 2015
Interest rate linked
$
11.0

$
9.6

Foreign exchange linked
0.2

0.3

Equity linked
12.1

9.9

Commodity linked
1.1

1.4

Credit linked
0.9

1.6

Total
$
25.3

$
22.8
Schedule of long-term debt carried at fair value, excluding debt issued by consolidated VIEs
The following table provides information about long-term debt carried at fair value:
In millions of dollars
September 30, 2016
December 31, 2015
Carrying amount reported on the Consolidated Balance Sheet
$
27,535

$
25,293

Aggregate unpaid principal balance in excess of (less than) fair value
(148
)
1,569
Schedule of short-term borrowings carried at fair value
The following table provides information about short-term borrowings carried at fair value:
In millions of dollars
September 30, 2016
December 31, 2015
Carrying amount reported on the Consolidated Balance Sheet
$
2,599

$
1,207

Aggregate unpaid principal balance in excess of (less than) fair value
(52
)
130