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. |
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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. |
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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 |
|
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