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FAIR VALUE ELECTIONS (Tables)
 3 Months Ended
Mar. 31, 2020
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 March 31,
In millions of dollars
2020
2019
Assets
 
 
Securities borrowed and purchased under agreements to resell
$
92

$
29

Trading account assets
(834
)
167

Investments
—

—

Loans
 
 
Certain corporate loans
(863
)
(133
)
Certain consumer loans
1

—

Total loans
$
(862
)
$
(133
)
Other assets
 
 
MSRs
$
(143
)
$
(27
)
Certain mortgage loans HFS(1)
62

16

Total other assets
$
(81
)
$
(11
)
Total assets
$
(1,685
)
$
52

Liabilities
 
 
Interest-bearing deposits
$
112

$
(91
)
Securities loaned and sold under agreements to repurchase
(288
)
35

Trading account liabilities
(61
)
11

Short-term borrowings(2)
1,256

(175
)
Long-term debt(2)
7,365

(2,681
)
Total liabilities
$
8,384

$
(2,901
)

(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:
 
March 31, 2020
December 31, 2019
In millions of dollars
Trading assets
Loans
Trading assets
Loans
Carrying amount reported on the Consolidated Balance Sheet
$
9,228

$
3,999

$
8,320

$
4,086

Aggregate unpaid principal balance in excess of (less than) fair value
1,012

593

410

315

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
—

—

—

—
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
March 31,
2020
December 31, 2019
Carrying amount reported on the Consolidated Balance Sheet
$
1,109

$
1,254

Aggregate fair value in excess of (less than) unpaid principal balance
54

(31
)
Balance of non-accrual loans or loans more than 90 days past due
—

1

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
March 31, 2020
December 31, 2019
Interest rate linked
$
22.0

$
22.9

Foreign exchange linked
0.7

0.9

Equity linked
18.9

21.7

Commodity linked
1.7

1.8

Credit linked
2.2

2.4

Total
$
45.5

$
49.7
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
March 31, 2020
December 31, 2019
Carrying amount reported on the Consolidated Balance Sheet
$
52,914

$
55,783

Aggregate unpaid principal balance in excess of (less than) fair value
2,130

(2,967
)
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
March 31, 2020
December 31, 2019
Carrying amount reported on the Consolidated Balance Sheet
$
8,364

$
4,946

Aggregate unpaid principal balance in excess of (less than) fair value
666

1,411