FAIR VALUE ELECTIONS (Tables)

3 Months Ended

Mar. 31, 2023

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	2023		2022
Assets
Securities borrowed and purchased under agreements to resell	$	85	$	(62)
Trading account assets	61		(61)
Loans
Certain corporate loans	(309)		(332)
Certain consumer loans	5		(1)
Total loans	$	(304)	$	(333)
Other assets
MSRs	$	(3)	$	98
Certain mortgage loans HFS(1)	8		(186)
Total other assets	$	5	$	(88)
Total assets	$	(153)	$	(544)
Liabilities
Interest-bearing deposits	$	(134)	$	45
Securities loaned and sold under agreements to repurchase	(68)		77
Trading account liabilities	75		(640)
Short-term borrowings(2)	(142)		132
Long-term debt(2)	(4,349)		6,071
Total liabilities	$	(4,618)	$	5,685

(1)Includes gains (losses) associated with interest rate lock commitments for originated loans for which the Company has elected the fair value option.

(2)Includes DVA that is included in AOCI. See Notes 18 and 21.

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, 2023				December 31, 2022
In millions of dollars	Trading assets		Loans		Trading assets		Loans
Carrying amount reported on the Consolidated Balance Sheet	$	5,364	$	5,134	$	6,011	$	5,360
Aggregate unpaid principal balance in excess of (less than) fair value	260		125		167		51
Balance of non-accrual loans or loans more than 90 days past due	—		2		—		2
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	March 31, 2023		December 31, 2022
Carrying amount reported on the Consolidated Balance Sheet	$	901	$	793
Aggregate fair value in excess of (less than) unpaid principal balance	6		(10)
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	—		—

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	March 31, 2023		December 31, 2022
Interest rate linked	$	57.3	$	53.4
Foreign exchange linked	0.1		0.1
Equity linked	47.7		42.5
Commodity linked	5.0		5.0
Credit linked	5.1		5.0
Total	$	115.2	$	106.0

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	March 31, 2023		December 31, 2022
Carrying amount reported on the Consolidated Balance Sheet	$	115,168	$	105,995
Aggregate unpaid principal balance in excess of (less than) fair value	(3,146)		(2,944)

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, 2023		December 31, 2022
Carrying amount reported on the Consolidated Balance Sheet	$	6,873	$	6,222
Aggregate unpaid principal balance in excess of (less than) fair value	(10)		(9)