Derivative Instruments (Tables)

3 Months Ended

Mar. 31, 2015

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Ineffectiveness Related to Derivatives and Hedging Relationships Recorded in Income

Ineffectiveness related to derivatives and hedging relationships was recorded in income as follows:

Ineffectiveness	Three months ended
(in millions)	March 31, 2015			Dec. 31, 2014			March 31, 2014
Fair value hedges of securities	$	1.4		$	(12.9	)	$	(4.9	)
Fair value hedges of deposits and long-term debt	(3.7		)	(2.6		)	(2.8		)
Cash flow hedges	—			—			0.1
Other (a)	—			—			(0.1		)
Total	$	(2.3	)	$	(15.5	)	$	(7.7	)

(a) Includes ineffectiveness recorded on foreign exchange hedges.

Impact of Derivative Instruments on Balance Sheet

The following table summarizes the notional amount and credit exposure of our total derivative portfolio at March 31, 2015 and Dec. 31, 2014.

Impact of derivative instruments on the balance sheet	Notional value				Asset derivatives fair value						Liability derivatives fair value
(in millions)	March 31, 2015		Dec. 31, 2014		March 31, 2015			Dec. 31, 2014			March 31, 2015			Dec. 31, 2014
Derivatives designated as hedging instruments(a):
Interest rate contracts	$	23,066	$	23,145	$	574		$	477		$	553		$	385
Foreign exchange contracts	7,309		7,344		464			374			59			62
Total derivatives designated as hedging instruments					$	1,038		$	851		$	612		$	447
Derivatives not designated as hedging instruments (b):
Interest rate contracts	$	689,734	$	731,628	$	17,054		$	17,150		$	17,236		$	17,654
Foreign exchange contracts	593,662		528,401		6,199			6,280			6,073			6,367
Equity contracts	6,820		10,842		259			377			385			549
Total derivatives not designated as hedging instruments					$	23,512		$	23,807		$	23,694		$	24,570
Total derivatives fair value (c)					$	24,550		$	24,658		$	24,306		$	25,017
Effect of master netting agreements (d)					(17,874		)	(18,347		)	(16,999		)	(17,797		)
Fair value after effect of master netting agreements					$	6,676		$	6,311		$	7,307		$	7,220

(a) The fair value of asset derivatives and liability derivatives designated as hedging instruments is recorded as other assets and other liabilities, respectively, on the balance sheet.

(b) The fair value of asset derivatives and liability derivatives not designated as hedging instruments is recorded as trading assets and trading liabilities, respectively, on the balance sheet.

(c) Fair values are on a gross basis, before consideration of master netting agreements, as required by ASC 815.

(d) Effect of master netting agreements includes cash collateral received and paid of $1,591 million and $716 million, respectively, at March 31, 2015, and $1,589 million and $1,039 million, respectively, at Dec. 31, 2014.

Impact of Derivative Instruments on Income Statement

Impact of derivative instruments on the income statement (in millions)
Derivatives in fair value hedging relationships	Location of gain or (loss) recognized in income on derivatives	Gain or (loss) recognized in income on derivatives									Location of gain or(loss) recognized in income on hedged item	Gain or (loss) recognized  in hedged item
		1Q15			4Q14			1Q14				1Q15		4Q14		1Q14
Interest rate contracts	Net interest revenue	$	(151	)	$	(327	)	$	(285	)	Net interest revenue	$	149	$	312	$	277

Derivatives in cash flow hedging relationships	Gain or (loss) recognized in accumulated OCI on derivatives(effective portion)									Location of gain or (loss) reclassified from accumulated OCI into income (effective portion)	Gain or (loss) reclassified from accumulated OCI into income (effective portion)									Location of gain or (loss) recognized in income on derivatives (ineffective portion and amount excluded from effectiveness testing)	Gain or (loss) recognized in income on derivatives  (ineffectiveness portion and amount excluded from effectiveness testing)
	1Q15			4Q14			1Q14				1Q15			4Q14			1Q14				1Q15		4Q14		1Q14
FX contracts	$	(1	)	$	—		$	(1	)	Net interest revenue	$	(1	)	$	—		$	(1	)	Net interest revenue	$	—	$	—	$	—
FX contracts	—			(4		)	3			Other revenue	—			(5		)	—			Other revenue	—		—		0.1
FX contracts	12			10			3			Trading revenue	12			10			3			Trading revenue	—		—		—
FX contracts	(9		)	(2		)	1			Salary expense	(8		)	2			2			Salary expense	—		—		—
Total	$	2		$	4		$	6			$	3		$	7		$	4			$	—	$	—	$	0.1

Derivatives in net investment hedging relationships	Gain or (loss) recognized in accumulated OCI on derivatives (effective portion)								Location of gain or (loss) reclassified from accumulated OCI into income (effective portion)	Gain or (loss) reclassified from accumulated OCI into income (effective portion)						Location of gain or (loss) recognized in income on derivative (ineffective portion and amount excluded from effectiveness testing)	Gain or (loss) recognized in income on derivatives  (ineffectiveness portion and amount excluded from effectiveness testing)
	1Q15		4Q14			1Q14				1Q15		4Q14		1Q14			1Q15		4Q14		1Q14
FX contracts	$	368	$	(530	)	$	(16	)	Net interest revenue	$	—	$	—	$	—	Other revenue	$	—	$	—	$	(0.1	)

Revenue from Foreign Exchange and Other Trading

Revenue from foreign exchange and other trading included the following:

Foreign exchange and other trading revenue
(in millions)	1Q15		4Q14			1Q14
Foreign exchange	$	217	$	165		$	130
Other trading revenue (loss):
Fixed income	11		(18		)	1
Equity/other	1		4			5
Total other trading revenue (loss)	12		(14		)	6
Total foreign exchange and other trading revenue	$	229	$	151		$	136

Fair Value of Derivative Contracts Falling under Early Termination Provisions that were in Net Liability Position

The following table shows the fair value of contracts falling under early termination provisions that were in net liability positions as of March 31, 2015 for three key ratings triggers:

If The Bank of New York Mellon’s rating was changed to (Moody’s/S&P)	Potential close-out exposures (fair value) (a)
A3/A-		$	146	million
Baa2/BBB		$	1,338	million
Ba1/BB+		$	3,014	million

(a) The amounts represent potential total close-out values if The Bank of New York Mellon’s rating were to immediately drop to the indicated levels.

Offsetting Assets

Offsetting of derivative assets and financial assets at March 31, 2015
	Gross assets recognized		Gross amounts offset in the balance sheet			Net assets recognized on the balance sheet		Gross amounts not offset in the balance sheet
(in millions)					(a)			Financial instruments		Cash collateral received		Net amount
Derivatives subject to netting arrangements:
Interest rate contracts	$	15,004	$	13,365		$	1,639	$	399	$	—	$	1,240
Foreign exchange contracts	5,245		4,391			854		90		—		764
Equity contracts	237		118			119		—		—		119
Total derivatives subject to netting arrangements	20,486		17,874			2,612		489		—		2,123
Total derivatives not subject to netting arrangements	4,064		—			4,064		—		—		4,064
Total derivatives	24,550		17,874			6,676		489		—		6,187
Reverse repurchase agreements	20,750		2,020		(b)	18,730		18,728		—		2
Securities borrowing	9,252		—			9,252		8,952		—		300
Total	$	54,552	$	19,894		$	34,658	$	28,169	$	—	$	6,489

(a) Includes the effect of netting agreements and net cash collateral received. The offset related to the over-the-counter derivatives was allocated to the various types of derivatives based on the net positions.

(b) Offsetting of reverse repurchase agreements relates to our involvement in the Fixed Income Clearing Corporation, where we settle government securities transactions on a net basis for payment and delivery through the Fedwire system.

Offsetting of derivative assets and financial assets at Dec. 31, 2014
	Gross assets recognized		Gross amounts offset in the balance sheet			Net assets recognized on the balance sheet		Gross amounts not offset in the balance sheet
(in millions)					(a)			Financial instruments		Cash collateral received		Net amount
Derivatives subject to netting arrangements:
Interest rate contracts	$	15,457	$	13,942		$	1,515	$	408	$	—	$	1,107
Foreign exchange contracts	5,291		4,246			1,045		176		—		869
Equity contracts	303		159			144		6		—		138
Total derivatives subject to netting arrangements	21,051		18,347			2,704		590		—		2,114
Total derivatives not subject to netting arrangements	3,607		—			3,607		—		—		3,607
Total derivatives	24,658		18,347			6,311		590		—		5,721
Reverse repurchase agreements	11,634		434		(b)	11,200		11,198		—		2
Securities borrowing	9,033		—			9,033		8,733		—		300
Total	$	45,325	$	18,781		$	26,544	$	20,521	$	—	$	6,023

(a) Includes the effect of netting agreements and net cash collateral received. The offset related to the over-the-counter derivatives was allocated to the various types of derivatives based on the net positions.

(b) Offsetting of reverse repurchase agreements relates to our involvement in the Fixed Income Clearing Corporation, where we settle government securities transactions on a net basis for payment and delivery through the Fedwire system.

Offsetting Liabilities

Offsetting of derivative liabilities and financial liabilities at March 31, 2015
	Gross liabilities recognized		Gross amounts offset in the balance sheet			Net liabilities recognized on the balance sheet		Gross amounts not offset in the balance sheet
(in millions)					(a)			Financial instruments		Cash collateral pledged		Net amount
Derivatives subject to netting arrangements:
Interest rate contracts	$	16,238	$	13,836		$	2,402	$	2,069	$	—	$	333
Foreign exchange contracts	3,954		3,044			910		267		—		643
Equity contracts	335		119			216		191		—		25
Total derivatives subject to netting arrangements	20,527		16,999			3,528		2,527		—		1,001
Total derivatives not subject to netting arrangements	3,779		—			3,779		—		—		3,779
Total derivatives	24,306		16,999			7,307		2,527		—		4,780
Repurchase agreements	7,743		2,020		(b)	5,723		5,721		—		2
Securities lending	2,142		—			2,142		2,061		—		81
Total	$	34,191	$	19,019		$	15,172	$	10,309	$	—	$	4,863

(a) Includes the effect of netting agreements and net cash collateral paid. The offset related to the over-the-counter derivatives was allocated to the various types of derivatives based on the net positions.

(b) Offsetting of repurchase agreements relates to our involvement in the Fixed Income Clearing Corporation, where we settle government securities transactions on a net basis for payment and delivery through the Fedwire system.

Offsetting of derivative liabilities and financial liabilities at Dec. 31, 2014
	Gross liabilities recognized		Gross amounts offset in the balance sheet			Net liabilities recognized on the balance sheet		Gross amounts not offset in the balance sheet
(in millions)					(a)			Financial instruments		Cash collateral pledged		Net amount
Derivatives subject to netting arrangements:
Interest rate contracts	$	16,884	$	14,467		$	2,417	$	1,815	$	—	$	602
Foreign exchange contracts	4,241		3,149			1,092		399		—		693
Equity contracts	481		181			300		250		—		50
Total derivatives subject to netting arrangements	21,606		17,797			3,809		2,464		—		1,345
Total derivatives not subject to netting arrangements	3,411		—			3,411		—		—		3,411
Total derivatives	25,017		17,797			7,220		2,464		—		4,756
Repurchase agreements	9,160		434		(b)	8,726		8,722		—		4
Securities lending	2,571		—			2,571		2,494		—		77
Total	$	36,748	$	18,231		$	18,517	$	13,680	$	—	$	4,837

(a) Includes the effect of netting agreements and net cash collateral paid. The offset related to the over-the-counter derivatives was allocated to the various types of derivatives based on the net positions.

(b) Offsetting of repurchase agreements relates to our involvement in the Fixed Income Clearing Corporation, where we settle government securities transactions on a net basis for payment and delivery through the Fedwire system.