FAIR VALUE ELECTIONS (Tables)

6 Months Ended

Jun. 30, 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 June 30,				Six Months Ended June 30,
In millions of dollars	2020		2019		2020		2019
Assets
Securities borrowed and purchased under agreements to resell	$	(48)	$	6	$	44	$	35
Trading account assets	373		45		(461)		212
Investments	—		—		—		—
Loans
Certain corporate loans	(154)		(80)		(1,017)		(213)
Certain consumer loans	(1)		—		—		—
Total loans	$	(155)	$	(80)	$	(1,017)	$	(213)
Other assets
MSRs	$	(26)	$	(37)	$	(169)	$	(64)
Certain mortgage loans HFS(1)	72		21		134		37
Total other assets	$	46	$	(16)	$	(35)	$	(27)
Total assets	$	216	$	(45)	$	(1,469)	$	7
Liabilities
Interest-bearing deposits	$	(164)	$	(43)	$	(52)	$	(134)
Securities loaned and sold under agreements to repurchase	196		51		(92)		86
Trading account liabilities	44		2		(17)		13
Short-term borrowings(2)	(259)		94		997		(81)
Long-term debt(2)	(5,402)		(1,113)		1,963		(3,794)
Total liabilities	$	(5,585)	$	(1,009)	$	2,799	$	(3,910)

(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:

	June 30, 2020				December 31, 2019
In millions of dollars	Trading assets		Loans		Trading assets		Loans
Carrying amount reported on the Consolidated Balance Sheet	$	7,851	$	5,799	$	8,320	$	4,086
Aggregate unpaid principal balance in excess of (less than) fair value	420		174		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	June 30, 2020		December 31, 2019
Carrying amount reported on the Consolidated Balance Sheet	$	950	$	1,254
Aggregate fair value in excess of (less than) unpaid principal balance	48		(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	June 30, 2020		December 31, 2019
Interest rate linked	$	21.9	$	22.9
Foreign exchange linked	0.9		0.9
Equity linked	24.0		21.7
Commodity linked	1.7		1.8
Credit linked	2.4		2.4
Total	$	50.9	$	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	June 30, 2020		December 31, 2019
Carrying amount reported on the Consolidated Balance Sheet	$	61,971	$	55,783
Aggregate unpaid principal balance in excess of (less than) fair value	(980)		(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	June 30, 2020		December 31, 2019
Carrying amount reported on the Consolidated Balance Sheet	$	6,646	$	4,946
Aggregate unpaid principal balance in excess of (less than) fair value	119		1,411