The following table presents the realized gains and losses, on a gross basis.


Net securities gains (losses)
(in millions)	3Q21		2Q21		3Q20		YTD21		YTD20
Realized gross gains	$	3	$	6	$	10	$	21	$	38
Realized gross losses	(1)		(4)		(1)		(17)		(11)

Total net securities gains	$	2	$	2	$	9	$	4	$	27

The following table presents pre-tax net securities gains (losses) by type.


Net securities gains (losses)
(in millions)	3Q21		2Q21		3Q20		YTD21		YTD20
U.S. Treasury	$	—	$	—	$	1	$	(4)	$	7
Foreign government agencies	—		—		5		1		7
Supranational	—		—		—		—		6
Other	2		2		3		7		7
Total net securities gains	$	2	$	2	$	9	$	4	$	27

In the third quarter of 2021, agency RMBS, U.S. Treasury securities and U.S. government agencies with an aggregate amortized cost of $4.81 billion and fair value of $5.08 billion were transferred from available-for-sale securities to held-to-maturity securities to reduce the impact of changes in interest rates on accumulated other comprehensive income.

In the second quarter of 2021, U.S. Treasury securities and agency commercial MBS with an aggregate amortized cost of $5.95 billion and fair value of $5.96 billion were transferred from available-for-sale securities to held-to-maturity securities to reduce the impact of changes in interest rates on accumulated other comprehensive income.

Allowance for credit losses – Securities

The allowance for credit losses related to securities was $10 million at Sept. 30, 2021 and $11 million at Dec. 31, 2020, and primarily relates to the available-for-sale CLO portfolio.

Credit quality indicators – Securities

At Sept. 30, 2021, the gross unrealized losses on the securities portfolio were primarily attributable to an increase in credit spreads from the date of purchase, and for certain securities that were transferred from available-for-sale to held-to-maturity, an increase in interest rates through the date they were transferred. Specifically, $80 million of the unrealized losses at Sept. 30, 2021 and $44 million at Dec. 31, 2020 reflected in the tables below relate to certain securities that were previously transferred from available-for-sale to held-to-maturity. The unrealized losses will be amortized into net interest revenue over the contractual lives of the securities. The transfer

created a new cost basis for the securities. As a result, if these securities have experienced unrealized losses since the date of transfer, the corresponding fair value and unrealized losses would be reflected in the held-to-maturity securities portfolio in the following tables. We do not intend to sell these securities, and it is not more likely than not that we will have to sell these securities.

The following tables show the aggregate fair value of available-for-sale securities with a continuous unrealized loss position for less than 12 months and those that have been in a continuous unrealized loss position for 12 months or more without an allowance for credit losses.


Available-for-sale securities in an unrealized loss position without an allowance for credit losses at Sept. 30, 2021 (a)	Less than 12 months				12 months or more				Total
	Fair value		Unrealized losses		Fair value		Unrealized losses		Fair value		Unrealized losses
(in millions)
Agency RMBS	$	2,830	$	16	$	491	$	31	$	3,321	$	47
U.S. Treasury	12,106		222		46		4		12,152		226
Sovereign debt/sovereign guaranteed	3,921		42		104		—		4,025		42
Agency commercial MBS	1,945		24		561		1		2,506		25
Foreign covered bonds	1,637		9		93		—		1,730		9
Supranational	2,357		23		268		3		2,625		26
CLOs	422		1		337		2		759		3
Foreign government agencies	947		7		42		—		989		7
U.S. government agencies	904		13		—		—		904		13
Other ABS	1,066		8		144		1		1,210		9
Non-agency commercial MBS	766		13		137		3		903		16

Non-agency RMBS (b)	1,190		11		318		4		1,508		15
State and political subdivisions	1,607		22		21		—		1,628		22
Corporate bonds	1,577		47		—		—		1,577		47

Total securities available-for-sale (c)	$	33,275	$	458	$	2,562	$	49	$	35,837	$	507

(a) Includes $8.7 billion of securities with an unrealized loss of greater than $1 million.

(b) Includes $1 million of securities with an unrealized loss of less than $1 million for less than 12 months and $2 million of securities with an unrealized loss of less than $1 million for 12 months or more that were included in the former Grantor Trust.

(c) Includes $49 million gross unrealized losses for less than 12 months and gross unrealized losses of $31 million for 12 months or more recorded in accumulated other comprehensive income related to securities that were transferred from available-for-sale to held-to-maturity. The unrealized losses are primarily related to U.S. Treasury securities and agency RMBS and will be amortized into net interest revenue over the contractual lives of the securities.


Available-for-sale securities in an unrealized loss position without an allowance for credit losses at Dec. 31, 2020 (a)	Less than 12 months				12 months or more				Total
	Fair value		Unrealized losses		Fair value		Unrealized losses		Fair value		Unrealized losses
(in millions)
Available-for-sale:
Agency RMBS	$	850	$	4	$	1,965	$	47	$	2,815	$	51
U.S. Treasury	4,253		21		—		—		4,253		21
Sovereign debt/sovereign guaranteed	1,349		1		135		—		1,484		1
Agency commercial MBS	440		1		266		1		706		2
Foreign covered bonds	468		1		90		—		558		1
Supranational	1,041		1		132		—		1,173		1
CLOs	1,849		6		579		4		2,428		10
U.S. government agencies	160		1		—		—		160		1

Other ABS	449		2		226		1		675		3
Non-agency commercial MBS	468		4		170		2		638		6
Non-agency RMBS (b)	973		3		103		6		1,076		9
State and political subdivisions	273		1		2		—		275		1
Corporate bonds	282		1		—		—		282		1

Total securities available-for-sale (c)	$	12,855	$	47	$	3,668	$	61	$	16,523	$	108

(a) Includes $1.6 billion of securities with an unrealized loss of greater than $1 million.

(b) Includes $16 million of securities with an unrealized loss of less than $1 million for less than 12 months and $2 million of securities with an unrealized loss of less than $1 million for 12 months or more that were included in the former Grantor Trust.

(c) Includes gross unrealized losses of $44 million for 12 months or more recorded in accumulated other comprehensive income related to securities that were transferred from available-for-sale to held-to-maturity. The unrealized losses are primarily related to agency RMBS and will be amortized into net interest revenue over the contractual lives of the securities. There were no gross unrealized losses for less than 12 months.

The following tables show the credit quality of the held-to-maturity securities. We have included certain credit ratings information because the information can indicate the degree of credit risk to which we are exposed. Significant changes in ratings classifications could indicate increased credit risk for us and could be accompanied by an increase in the allowance for credit losses and/or a reduction in the fair value of our securities portfolio.


Held-to-maturity securities portfolio at Sept. 30, 2021					Ratings (a)
			Net unrealized gain (loss)								BB+ and lower		A1+/A2/SP-1
(dollars in millions)	Amortized cost				AAA/ AA-		A+/ A-		BBB+/ BBB-						Not rated
Agency RMBS	$	37,607	$	401	100	%	—	%	—	%	—	%	—	%	—	%
U.S. Treasury	10,528		21		100		—		—		—		—		—
U.S. government agencies	2,879		(40)		100		—		—		—		—		—
Agency commercial MBS	4,170		35		100		—		—		—		—		—
Sovereign debt/sovereign guaranteed (b)	969		20		100		—		—		—		—		—

Non-agency RMBS	46		3		24		59		1		15		—		1
Supranational	54		—		100		—		—		—		—		—
State and political subdivisions	14		1		5		2		5		—		—		88

Total held-to-maturity securities	$	56,267	$	441	100	%	—	%	—	%	—	%	—	%	—	%

(a) Represents ratings by Standard & Poor’s (“S&P”) or the equivalent.

(b) Primarily consists of exposure to France, UK and Germany.


Held-to-maturity securities portfolio at Dec. 31, 2020					Ratings
			Net unrealized gain (loss)								BB+ and lower		A1+/A2/SP-1
(dollars in millions)	Amortized cost				AAA/ AA-		A+/ A-		BBB+/ BBB-						Not rated
Agency RMBS	$	38,355	$	1,041	100	%	—	%	—	%	—	%	—	%	—	%
U.S. Treasury	2,938		90		100		—		—		—		—		—
U.S. government agencies	2,816		(2)		100		—		—		—		—		—
Agency commercial MBS	2,659		103		100		—		—		—		—		—
Sovereign debt/sovereign guaranteed (a)	1,050		42		98		—		—		—		2		—

Non-agency RMBS	58		3		28		55		2		14		—		1
Supranational	55		—		100		—		—		—		—		—
State and political subdivisions	15		1		6		2		6		—		—		86

Total held-to-maturity securities	$	47,946	$	1,278	100	%	—	%	—	%	—	%	—	%	—	%

(a) Primarily consists of exposure to France, UK and Germany.

Maturity distribution

The following table shows the maturity distribution by carrying amount and yield (on a tax equivalent basis) of our securities portfolio.


Maturity distribution and yields on securities at Sept. 30, 2021	U.S. Treasury				U.S. government agencies				State and political subdivisions				Other bonds, notes and debentures				Mortgage/ asset-backed
(dollars in millions)	Amount		Yield (a)		Amount		Yield (a)		Amount		Yield (a)		Amount		Yield (a)		Amount		Yield (a)		Total
Securities available-for-sale:
One year or less	$	2,159	1.44	%	$	195	0.21	%	$	235	2.44	%	$	7,710	0.58	%	$	—	—	%	$	10,299
Over 1 through 5 years	8,883		1.01		1,720		0.95		633		2.07		19,077		0.49		—		—		30,313
Over 5 through 10 years	12,051		1.22		614		2.00		1,499		1.55		6,146		0.74		—		—		20,310
Over 10 years	2,868		3.10		114		1.91		277		2.26		78		1.14		—		—		3,337
Mortgage-backed securities	—		—		—		—		—		—		—		—		29,232		1.93		29,232
Asset-backed securities	—		—		—		—		—		—		—		—		7,516		1.38		7,516
Total	$	25,961	1.35	%	$	2,643	1.17	%	$	2,644	1.83	%	$	33,011	0.56	%	$	36,748	1.81	%	$	101,007
Securities held-to-maturity:
One year or less	$	1,653	1.27	%	$	—	—	%	$	1	5.52	%	$	94	0.45	%	$	—	—	%	$	1,748
Over 1 through 5 years	5,978		0.95		862		0.68		1		5.72		848		0.70		—		—		7,689
Over 5 through 10 years	2,897		1.21		1,869		1.08		4		4.65		81		0.59		—		—		4,851
Over 10 years	—		—		148		1.88		8		4.80		—		—		—		—		156
Mortgage-backed securities	—		—		—		—		—		—		—		—		41,823		2.27		41,823
Total	$	10,528	1.07	%	$	2,879	1.00	%	$	14	4.89	%	$	1,023	0.66	%	$	41,823	2.27	%	$	56,267

(a) Yields are based upon the amortized cost of securities and do not reflect the impact of hedging.

Pledged assets

At Sept. 30, 2021, BNY Mellon had pledged assets of $141 billion, including $110 billion pledged as collateral for potential borrowings at the Federal Reserve Discount Window and $7 billion pledged as collateral for borrowing at the Federal Home Loan Bank. The components of the assets pledged at Sept. 30, 2021 included $123 billion of securities, $12 billion of loans, $5 billion of trading assets and $1 billion of interest-bearing deposits with banks.

If there has been no borrowing at the Federal Reserve Discount Window, the Federal Reserve generally allows banks to freely move assets in and out of their pledged assets account to sell or repledge the assets

for other purposes. BNY Mellon regularly moves assets in and out of its pledged assets account at the Federal Reserve.

At Dec. 31, 2020, BNY Mellon had pledged assets of $141 billion, including $113 billion pledged as collateral for potential borrowing at the Federal Reserve Discount Window and $5 billion pledged as collateral for borrowing at the Federal Home Loan Bank. The components of the assets pledged at Dec. 31, 2020 included $124 billion of securities, $11 billion of loans, $6 billion of trading assets and less than $1 billion of interest-bearing deposits with banks.

At Sept. 30, 2021 and Dec. 31, 2020, pledged assets included $23 billion and $18 billion, respectively, for which the recipients were permitted to sell or repledge the assets delivered.

We also obtain securities as collateral, including receipts under resale agreements, securities borrowed, derivative contracts and custody agreements, on terms which permit us to sell or repledge the securities to others. At Sept. 30, 2021 and Dec. 31, 2020, the market value of the securities received that can be sold or repledged was $119 billion and $121 billion, respectively. We routinely sell or repledge these securities through delivery to third parties. As of Sept. 30, 2021 and Dec. 31, 2020, the market value of securities collateral sold or repledged was $71 billion and $84 billion, respectively.

Restricted cash and securities

Cash and securities may be segregated under federal and other regulations or requirements. At Sept. 30, 2021 and Dec. 31, 2020, cash segregated under federal and other regulations or requirements was $4 billion and $3 billion, respectively. Restricted cash is included in interest-bearing deposits with banks on the consolidated balance sheet. Securities segregated under federal and other regulations or requirements were $3 billion at Sept. 30, 2021 and $6 billion at Dec. 31, 2020. Restricted securities were sourced from securities purchased under resale agreements and are included in federal funds sold and securities purchased under resale agreements on the consolidated balance sheet.