XML 132 R52.htm IDEA: XBRL DOCUMENT v3.19.3
FAIR VALUE ELECTIONS (Tables)
 9 Months Ended
Sep. 30, 2019
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
2019
2018
2019
2018
Assets
 
 
 
 
Securities borrowed and purchased under agreements to resell
$
(14
)
$
(17
)
$
21

$
(14
)
Trading account assets
2

3

214

(98
)
Investments
—

—

—

—

Loans
 
 
 
 
Certain corporate loans
(320
)
11

(533
)
(115
)
Certain consumer loans
—

—

—

—

Total loans
$
(320
)
$
11

$
(533
)
$
(115
)
Other assets
 
 
 
 
MSRs
$
(35
)
$
25

$
(99
)
$
82

Certain mortgage loans HFS(1)
30

9

67

21

Total other assets
$
(5
)
$
34

$
(32
)
$
103

Total assets
$
(337
)
$
31

$
(330
)
$
(124
)
Liabilities
 
 
 
 
Interest-bearing deposits
$
(24
)
$
(20
)
$
(158
)
$
18

Securities loaned and sold under agreements to repurchase
172

230

258

104

Trading account liabilities
8

25

21

4

Short-term borrowings(2)
102

20

21

138

Long-term debt(2)
(225
)
(270
)
(4,019
)
1,269

Total liabilities
$
33

$
(15
)
$
(3,877
)
$
1,533


(1)
Includes gains (losses) associated with interest rate lock commitments for those loans that have been originated and elected under the fair value option.
(2)
Includes DVA that is included in AOCI. See Notes 17 and 20 to the Consolidated Financial Statements.
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, 2019
December 31, 2018
In millions of dollars
Trading assets
Loans
Trading assets
Loans
Carrying amount reported on the Consolidated Balance Sheet
$
8,752

$
3,856

$
10,108

$
3,224

Aggregate unpaid principal balance in excess of (less than) fair value
463

565

435

741

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

1

—

1

Aggregate unpaid principal balance in excess of (less than) 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,
2019
December 31, 2018
Carrying amount reported on the Consolidated Balance Sheet
$
730

$
556

Aggregate fair value in excess of (less than) unpaid principal balance
19

21

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, 2019
December 31, 2018
Interest rate linked
$
22.4

$
17.3

Foreign exchange linked
0.9

0.5

Equity linked
20.1

14.8

Commodity linked
1.5

1.2

Credit linked
1.9

1.9

Total
$
46.8

$
35.7
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, 2019
December 31, 2018
Carrying amount reported on the Consolidated Balance Sheet
$
51,491

$
38,229

Aggregate unpaid principal balance in excess of (less than) fair value
1,073

3,814
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, 2019
December 31, 2018
Carrying amount reported on the Consolidated Balance Sheet
$
4,823

$
4,483

Aggregate unpaid principal balance in excess of (less than) fair value
742

861