FAIR VALUE ELECTIONS (Tables)

6 Months Ended

Jun. 30, 2021

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	2021		2020		2021		2020
Assets
Securities borrowed and purchased under agreements to resell	$	(8)	$	(48)	$	(36)	$	44
Trading account assets	52		373		153		(461)
Loans
Certain corporate loans	539		(154)		668		(1,017)
Certain consumer loans	—		(1)		—		—
Total loans	$	539	$	(155)	$	668	$	(1,017)
Other assets
MSRs	$	(21)	$	(26)	$	52	$	(169)
Certain mortgage loans HFS(1)	47		72		44		134
Total other assets	$	26	$	46	$	96	$	(35)
Total assets	$	609	$	216	$	881	$	(1,469)
Liabilities
Interest-bearing deposits	$	(130)	$	(164)	$	(93)	$	(52)
Securities loaned and sold under agreements to repurchase	5		196		18		(92)
Trading account liabilities	8		44		10		(17)
Short-term borrowings(2)	327		(259)		192		997
Long-term debt(2)	(2,441)		(5,402)		(433)		1,963
Total liabilities	$	(2,231)	$	(5,585)	$	(306)	$	2,799

(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, 2021				December 31, 2020
In millions of dollars	Trading assets		Loans		Trading assets		Loans
Carrying amount reported on the Consolidated Balance Sheet	$	8,594	$	7,707	$	8,063	$	6,854
Aggregate unpaid principal balance in excess of (less than) fair value	(203)		(197)		(915)		(14)
Balance of non-accrual loans or loans more than 90 days past due	—		17		—		4
Aggregate unpaid principal balance in excess of (less than) fair value for non-accrual loans or loans more than 90 days past due	—		(15)		—		—

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, 2021		December 31, 2020
Carrying amount reported on the Consolidated Balance Sheet	$	1,681	$	1,742
Aggregate fair value in excess of (less than) unpaid principal balance	52		91
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 notes carried at fair value, disaggregated by type of risk:

In billions of dollars	June 30, 2021		December 31, 2020
Interest rate linked	$	38.9	$	34.5
Foreign exchange linked	0.6		1.2
Equity linked	31.3		27.3
Commodity linked	2.9		1.4
Credit linked	2.7		2.6
Total	$	76.4	$	67.0

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, 2021		December 31, 2020
Carrying amount reported on the Consolidated Balance Sheet	$	76,375	$	67,063
Aggregate unpaid principal balance in excess of (less than) fair value	(4,638)		(5,130)

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, 2021		December 31, 2020
Carrying amount reported on the Consolidated Balance Sheet	$	7,358	$	4,683
Aggregate unpaid principal balance in excess of (less than) fair value	—		68