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Derivative Instruments (Tables)
3 Months Ended
Mar. 31, 2016
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
Quarter ended
(in millions)
March 31, 2016

Dec. 31, 2015

March 31, 2015

Fair value hedges of securities
$
(7.4
)
$
1.3

$
1.4

Fair value hedges of long-term debt
(6.2
)
(1.5
)
(3.7
)
Cash flow hedges



Other (a)



Total
$
(13.6
)
$
(0.2
)
$
(2.3
)
(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, 2016 and Dec. 31, 2015.

Impact of derivative instruments on the balance sheet
Notional value
 
Asset derivatives
fair value
 
Liability derivatives
fair value
(in millions)
March 31, 2016

Dec. 31, 2015

 
March 31, 2016

Dec. 31, 2015

 
March 31, 2016

Dec. 31, 2015

Derivatives designated as hedging instruments: (a)
 
 
 
 
 
 
 
 
Interest rate contracts
$
25,975

$
25,768

 
$
756

$
497

 
$
818

$
372

Foreign exchange contracts
9,196

6,839

 
193

219

 
129

20

Total derivatives designated as hedging instruments
 
 
 
$
949

$
716

 
$
947

$
392

Derivatives not designated as hedging instruments: (b)
 
 
 
 
 
 
 
 
Interest rate contracts
$
489,662

$
519,428

 
$
12,397

$
10,044

 
$
12,331

$
9,962

Foreign exchange contracts
576,913

576,253

 
5,707

4,905

 
5,829

4,682

Equity contracts
1,660

1,923

 
128

127

 
131

151

Credit contracts
405

319

 
8

8

 
2

1

Total derivatives not designated as hedging instruments
 
 
 
$
18,240

$
15,084

 
$
18,293

$
14,796

Total derivatives fair value (c)
 
 
 
$
19,189

$
15,800

 
$
19,240

$
15,188

Effect of master netting agreements (d)
 
 
 
(13,886
)
(11,115
)
 
(13,525
)
(10,869
)
Fair value after effect of master netting agreements
 
 
 
$
5,303

$
4,685

 
$
5,715

$
4,319


(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 $896 million and $535 million, respectively, at March 31, 2016, and $792 million and $546 million, respectively, at Dec. 31, 2015.
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
1Q16

 
4Q15

 
1Q15

 
1Q16

 
4Q15

 
1Q15

Interest rate contracts
Net interest revenue
 
$
(148
)
 
$
(95
)
 
$
(151
)
 
Net interest revenue
 
$
134

 
$
95

 
$
149



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)
1Q16

4Q15

1Q15

 
 
1Q16

4Q15

1Q15

 
 
1Q16

4Q15

1Q15

FX contracts
$
6

$

$
(1
)
 
Net interest revenue
 
$
5

$

$
(1
)
 
Net interest revenue
 
$

$

$

FX contracts



 
Other revenue
 



 
Other revenue
 



FX contracts
(89
)

12

 
Trading revenue
 
(89
)

12

 
Trading revenue
 



FX contracts
2


(9
)
 
Salary expense
 
(2
)

(8
)
 
Salary expense
 



Total
$
(81
)
$

$
2

 
 
 
$
(86
)
$

$
3

 
 
 
$

$

$



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)
1Q16

4Q15

1Q15

 
 
1Q16

4Q15

1Q15

 
 
1Q16

4Q15

1Q15

FX contracts
$
(58
)
$
148

$
368

 
Net interest revenue
 
$

$

$

 
Other revenue
 
$

$

$




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)
1Q16

4Q15

1Q15

Foreign exchange
$
171

$
165

$
217

Other trading revenue
4

8

12

Total foreign exchange and other trading revenue
$
175

$
173

$
229

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, 2016 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-
 
$
144
 million
Baa2/BBB
 
$
1,036
 million
Ba1/BB+
 
$
2,421
 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
The following tables present derivative instruments and financial instruments that are either subject to an enforceable netting agreement or offset by collateral arrangements. There were no derivative instruments or financial instruments subject to a netting agreement for which we are not currently netting.

Offsetting of derivative assets and financial assets at March 31, 2016
 
 
 
 
 
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
$
12,023

$
10,343

 
$
1,680

$
508

$

$
1,172

Foreign exchange contracts
4,558

3,484

 
1,074

179


895

Equity and other contracts
132

59

 
73



73

Total derivatives subject to netting arrangements
16,713

13,886

 
2,827

687


2,140

Total derivatives not subject to netting arrangements
2,476


 
2,476



2,476

Total derivatives
19,189

13,886

 
5,303

687


4,616

Reverse repurchase agreements
20,910

1,678

(b)
19,232

19,232



Securities borrowing
7,657


 
7,657

7,447


210

Total
$
47,756

$
15,564

 
$
32,192

$
27,366

$

$
4,826

(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, 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
$
9,554

$
8,071

 
$
1,483

$
432

$

$
1,051

Foreign exchange contracts
3,981

2,981

 
1,000

63


937

Equity and other contracts
123

63

 
60



60

Total derivatives subject to netting arrangements
13,658

11,115

 
2,543

495


2,048

Total derivatives not subject to netting arrangements
2,142


 
2,142



2,142

Total derivatives
15,800

11,115

 
4,685

495


4,190

Reverse repurchase agreements
17,088

357

(b)
16,731

16,726


5

Securities borrowing
7,630


 
7,630

7,373


257

Total
$
40,518

$
11,472

 
$
29,046

$
24,594

$

$
4,452

(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, 2016
 
 
 
 
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
$
13,001

$
10,468

 
$
2,533

$
2,295

$

$
238

Foreign exchange contracts
4,437

2,997

 
1,440

79


1,361

Equity and other contracts
124

60

 
64

61


3

Total derivatives subject to netting arrangements
17,562

13,525

 
4,037

2,435


1,602

Total derivatives not subject to netting arrangements
1,678


 
1,678



1,678

Total derivatives
19,240

13,525

 
5,715

2,435


3,280

Repurchase agreements
6,810

1,678

(b)
5,132

5,132



Securities lending
1,488


 
1,488

1,429


59

Total
$
27,538

$
15,203

 
$
12,335

$
8,996

$

$
3,339

(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, 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
$
10,188

$
8,235

 
$
1,953

$
1,795

$

$
158

Foreign exchange contracts
3,409

2,567

 
842

274


568

Equity and other contracts
145

67

 
78

71


7

Total derivatives subject to netting arrangements
13,742

10,869

 
2,873

2,140


733

Total derivatives not subject to netting arrangements
1,446


 
1,446



1,446

Total derivatives
15,188

10,869

 
4,319

2,140


2,179

Repurchase agreements
7,737

357

(b)
7,380

7,380



Securities lending
1,801


 
1,801

1,727


74

Total
$
24,726

$
11,226

 
$
13,500

$
11,247

$

$
2,253

(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.
Transfer of Certain Financial Assets Accounted for as Secured Borrowings
The following tables present the contract value of repurchase agreements and securities lending transactions accounted for as secured borrowings by the type of collateral provided to counterparties.

Repurchase agreements and securities lending transactions accounted for as secured borrowings at March 31, 2016
 
Remaining contractual maturity of the agreements
(in millions)
Overnight and continuous

Up to 30 days

30 days or more

Total

Repurchase agreements:
 
 
 
 
U.S. Treasury
$
1,828

$

$

$
1,828

U.S. Government agencies
324

42


366

Agency RMBS
2,459



2,459

Corporate bonds
349


607

956

Other debt securities
307


232

539

Equity securities
651


11

662

Total
$
5,918

$
42

$
850

$
6,810

Securities lending:
 
 
 
 
U.S. Government agencies
$
25

$

$

$
25

Other debt securities
314



314

Equity securities
1,149



1,149

Total
$
1,488

$

$

$
1,488

Total borrowings
$
7,406

$
42

$
850

$
8,298



Repurchase agreements and securities lending transactions accounted for as secured borrowings at Dec. 31, 2015
 
Remaining contractual maturity of the agreements
(in millions)
Overnight and continuous

Up to 30 days

30 days or more

Total

Repurchase agreements:
 
 
 
 
U.S. Treasury
$
2,226

$

$

$
2,226

U.S. Government agencies
319

42

5

366

Agency RMBS
3,158



3,158

Corporate bonds
372


665

1,037

Other debt securities
106


149

255

Equity securities
664


31

695

Total
$
6,845

$
42

$
850

$
7,737

Securities lending:
 
 
 
 
U.S. Government agencies
$
35

$

$

$
35

Other debt securities
254



254

Equity securities
1,512



1,512

Total
$
1,801

$

$

$
1,801

Total borrowings
$
8,646

$
42

$
850

$
9,538