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FAIR VALUE ELECTIONS (Tables)
 9 Months Ended
Sep. 30, 2017
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)
 
Three Months Ended September 30,
Nine Months Ended September 30,
In millions of dollars
2017
2016
2017
2016
Assets
 
 
 
 
Federal funds sold and securities borrowed or purchased under agreements to resell—selected portfolios
$
(17
)
$
(54
)
$
(108
)
$
(7
)
Trading account assets
581

571

1,243

509

Investments
—

(4
)
(3
)
(25
)
Loans
 
 


Certain corporate loans(1)
(61
)
5

(42
)
65

Certain consumer loans(1)
1

1

3

—

Total loans
$
(60
)
$
6

$
(39
)
$
65

Other assets
 
 


MSRs
$
(6
)
$
13

$
50

$
(349
)
Certain mortgage loans held-for-sale(2)
34

100

115

271

Other assets
—

6

—

376

Total other assets
$
28

$
119

$
165

$
298

Total assets
$
532

$
638

$
1,258

$
840

Liabilities
 
 
 
 
Interest-bearing deposits
$
(16
)
$
(16
)
$
(60
)
$
(84
)
Federal funds purchased and securities loaned or sold under agreements to repurchase—selected portfolios
97

32

183

24

Trading account liabilities
19

4

70

101

Short-term borrowings
(30
)
(173
)
(110
)
(207
)
Long-term debt
(198
)
(305
)
(669
)
(845
)
Total liabilities
$
(128
)
$
(458
)
$
(586
)
$
(1,011
)
(1)
Includes mortgage loans held by consolidated mortgage loan securitization VIEs.
(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, 2017
December 31, 2016
In millions of dollars
Trading assets
Loans
Trading assets
Loans
Carrying amount reported on the Consolidated Balance Sheet
$
8,926

$
4,308

$
9,824

$
3,486

Aggregate unpaid principal balance in excess of fair value
518

82

758

18

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

1

—

1

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

—

—

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,
2017
December 31, 2016
Carrying amount reported on the Consolidated Balance Sheet
$
448

$
915

Aggregate fair value in excess of unpaid principal balance
15

8

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, 2017
December 31, 2016
Interest rate linked
$
13.1

$
10.6

Foreign exchange linked
0.3

0.2

Equity linked
11.9

12.3

Commodity linked
1.2

0.3

Credit linked
2.3

0.9

Total
$
28.8

$
24.3
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, 2017
December 31, 2016
Carrying amount reported on the Consolidated Balance Sheet
$
30,826

$
26,254

Aggregate unpaid principal balance in excess of (less than) fair value
12

(128
)
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, 2017
December 31, 2016
Carrying amount reported on the Consolidated Balance Sheet
$
4,827

$
2,700

Aggregate unpaid principal balance in excess of (less than) fair value
21

(61
)