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Fair value measurement
 9 Months Ended
Sep. 30, 2021
Fair Value Disclosures [Abstract]  
Fair value measurement Fair value measurementFair value is defined as the price that would be received to sell an asset, or paid to transfer a liability, in an orderly transaction between market participants at the measurement date. A three-level hierarchy for fair value measurements is utilized based upon the transparency of inputs to the valuation of an asset or liability as of the measurement date. BNY Mellon’s own creditworthiness is considered when valuing liabilities. See Note 20 of the Notes to Consolidated Financial Statements in our 2020 Annual Report for
information on how we determine fair value and the fair value hierarchy.

The following tables present the financial instruments carried at fair value at Sept. 30, 2021 and Dec. 31, 2020, by caption on the consolidated balance sheet and by the three-level valuation hierarchy. We have included credit ratings information in certain of the tables because the information indicates the degree of credit risk to which we are exposed, and significant changes in ratings classifications could result in increased risk for us.
Assets measured at fair value on a recurring basis at Sept. 30, 2021
Total carrying
value
(dollars in millions)Level 1Level 2Level 3
Netting (a)
Assets:
Available-for-sale securities:
U.S. Treasury$25,961 $— $— $— $25,961 
Agency RMBS— 14,908 — — 14,908 
Sovereign debt/sovereign guaranteed5,587 7,482 — — 13,069 
Agency commercial MBS— 8,544 — — 8,544 
Supranational— 7,939 — — 7,939 
Foreign covered bonds— 6,946 — — 6,946 
CLOs— 5,204 — — 5,204 
Non-agency commercial MBS— 3,182 — — 3,182 
Foreign government agencies— 2,679 — — 2,679 
State and political subdivisions— 2,644 — — 2,644 
U.S. government agencies— 2,643 — — 2,643 
Non-agency RMBS (b)
— 2,598 — — 2,598 
Corporate bonds— 2,377 — — 2,377 
Other ABS— 2,312 — — 2,312 
Other debt securities— 1 — — 1 
Total available-for-sale securities31,548 69,459 — — 101,007 
Trading assets:
Debt instruments1,811 2,604 — — 4,415 
Equity instruments (c)
9,274 — — — 9,274 
Derivative assets not designated as hedging:
Interest rate4 3,420 — (1,455)1,969 
Foreign exchange— 6,351 — (4,251)2,100 
Equity and other contracts6 259 — (169)96 
Total derivative assets not designated as hedging10 10,030 — (5,875)4,165 
Total trading assets11,095 12,634 — (5,875)17,854 
Other assets:
Derivative assets designated as hedging:
Foreign exchange— 238 — — 238 
Total derivative assets designated as hedging— 238 — — 238 
Other assets (d)
531 325 — — 856 
Total other assets531 563 — — 1,094 
Assets measured at NAV (d)
219 
Total assets$43,174 $82,656 $— $(5,875)$120,174 
Percentage of total assets prior to netting34 %66 %— %
Liabilities measured at fair value on a recurring basis at Sept. 30, 2021
Total carrying
value
(dollars in millions)Level 1Level 2Level 3
Netting (a)
Liabilities:
Trading liabilities:
Debt instruments$2,331 $68 $— $— $2,399 
Equity instruments61 — — — 61 
Derivative liabilities not designated as hedging:
Interest rate3 2,986 — (1,844)1,145 
Foreign exchange— 6,218 — (4,685)1,533 
Equity and other contracts— 14 — — 14 
Total derivative liabilities not designated as hedging3 9,218 — (6,529)2,692 
Total trading liabilities2,395 9,286 — (6,529)5,152 
Long-term debt (c)
— 400 — — 400 
Other liabilities:
Derivative liabilities designated as hedging:
Interest rate— 421 — — 421 
Foreign exchange— 7 — — 7 
Total derivative liabilities designated as hedging— 428 — — 428 
Other liabilities 1 4 — — 5 
Total other liabilities1 432 — — 433 
Total liabilities$2,396 $10,118 $— $(6,529)$5,985 
Percentage of total liabilities prior to netting19 %81 %— %
(a)    ASC 815, Derivatives and Hedging, permits the netting of derivative receivables and derivative payables under legally enforceable master netting agreements and permits the netting of cash collateral. Netting is applicable to derivatives not designated as hedging instruments included in trading assets or trading liabilities and derivatives designated as hedging instruments included in other assets or other liabilities. Netting is allocated to the derivative products based on the net fair value of each product.
(b)    Includes $387 million in Level 2 that was included in the former Grantor Trust.
(c)    Includes certain interests in securitizations.
(d)    Includes seed capital, private equity investments and other assets.
Assets measured at fair value on a recurring basis at Dec. 31, 2020
Total carrying
value
(dollars in millions)Level 1Level 2Level 3
Netting (a)
Assets:
Available-for-sale securities:
U.S. Treasury$24,894 $— $— $— $24,894 
Agency RMBS— 22,347 — — 22,347 
Sovereign debt/sovereign guaranteed5,909 6,482 — — 12,391 
Agency commercial MBS— 9,228 — — 9,228 
Supranational— 7,160 — — 7,160 
Foreign covered bonds— 6,725 — — 6,725 
CLOs— 4,703 — — 4,703 
Foreign government agencies— 4,135 — — 4,135 
U.S. government agencies— 3,853 — — 3,853 
Other ABS— 3,164 — — 3,164 
Non-agency commercial MBS— 3,017 — — 3,017 
Non-agency RMBS (b)
— 2,326 — — 2,326 
State and political subdivisions— 2,308 — — 2,308 
Corporate bonds— 1,994 — — 1,994 
Commercial paper/CDs— 249 — — 249 
Other debt securities— 1 — — 1 
Total available-for-sale securities30,803 77,692 — — 108,495 
Trading assets:
Debt instruments1,803 3,868 — — 5,671 
Equity instruments (c)
5,775 — — — 5,775 
Derivative assets not designated as hedging:
Interest rate5 4,477 — (1,952)2,530 
Foreign exchange— 7,688 — (6,392)1,296 
Equity and other contracts— 2 — (2)— 
Total derivative assets not designated as hedging5 12,167 — (8,346)3,826 
Total trading assets7,583 16,035 — (8,346)15,272 
Other assets:
Derivative assets designated as hedging:
Foreign exchange— 19 — — 19 
Total derivative assets designated as hedging— 19 — — 19 
Other assets (d)
504 285 — — 789 
Total other assets504 304 — — 808 
Assets measured at NAV (d)
201 
Total assets$38,890 $94,031 $— $(8,346)$124,776 
Percentage of total assets prior to netting29 %71 %— %
Liabilities measured at fair value on a recurring basis at Dec. 31, 2020
Total carrying
value
(dollars in millions)Level 1Level 2Level 3
Netting (a)
Liabilities:
Trading liabilities:
Debt instruments$2,287 $35 $— $— $2,322 
Equity instruments11 — — — 11 
Derivative liabilities not designated as hedging:
Interest rate2 3,878 — (2,348)1,532 
Foreign exchange— 7,622 — (5,484)2,138 
Equity and other contracts7 34 — (13)28 
Total derivative liabilities not designated as hedging9 11,534 — (7,845)3,698 
Total trading liabilities2,307 11,569 — (7,845)6,031 
Long-term debt (c)
— 400 — — 400 
Other liabilities:
Derivative liabilities designated as hedging:
Interest rate— 666 — — 666 
Foreign exchange— 441 — — 441 
Total derivative liabilities designated as hedging— 1,107 — — 1,107 
Other liabilities1 2 — — 3 
Total other liabilities1 1,109 — — 1,110 
Total liabilities$2,308 $13,078 $— $(7,845)$7,541 
Percentage of total liabilities prior to netting15 %85 %— %
(a)    ASC 815, Derivatives and Hedging, permits the netting of derivative receivables and derivative payables under legally enforceable master netting agreements and permits the netting of cash collateral. Netting is applicable to derivatives not designated as hedging instruments included in trading assets or trading liabilities and derivatives designated as hedging instruments included in other assets or other liabilities. Netting is allocated to the derivative products based on the net fair value of each product.
(b)    Includes $487 million in Level 2 that was included in the former Grantor Trust.
(c)    Includes certain interests in securitizations.
(d)    Includes seed capital, private equity investments and other assets.
Details of certain available-for-sale securities measured at fair value on a recurring basisSept. 30, 2021Dec. 31, 2020
Total
carrying
value (b)
Ratings (a)
Total
carrying value (b)
Ratings (a)
AAA/
AA-		A+/
A-		BBB+/
BBB-		BB+ and
lower		A1+/A2 & SP-1Not ratedAAA/
AA-		A+/
A-		BBB+/
BBB-		BB+ and
lower		A1+/A2 & SP-1Not rated
(dollars in millions)
Non-agency RMBS (c), originated in:
2008-2021$1,996 100 %— %— %— %— %— %$1,548 100 %— %— %— %— %— %
2007124 — 4 — 40 — 56 179 12 3 — 42 — 43 
2006194 — 24 — 33 — 43 237 — 23 — 40 — 37 
2005179 3 5 1 40 — 51 227 3 — 7 52 — 38 
2004 and earlier105 16 10 5 57 — 12 135 19 10 11 54 — 6 
Total non-agency RMBS$2,598 78 %3 %— %9 %— %10 %$2,326 69 %3 %1 %16 %— %11 %
Non-agency commercial MBS originated in:
2009-2021$3,182 100 %— %— %— %— %— %$3,017 99 %1 %— %— %— %— %
Foreign covered bonds:
Canada$2,537 100 %— %— %— %— %— %$2,552 100 %— %— %— %— %— %
UK1,220 100 — — — — — 1,259 100 — — — — — 
Australia865 100 — — — — — 951 100 — — — — — 
Germany666 100 — — — — — 494 100 — — — — — 
Norway621 100 — — — — — 703 100 — — — — — 
Other1,037 100 — — — — — 766 100 — — — — — 
Total foreign covered bonds$6,946 100 %— %— %— %— %— %$6,725 100 %— %— %— %— %— %
Sovereign debt/sovereign guaranteed:
Germany$3,651 100 %— %— %— %— %— %$2,222 100 %— %— %— %— %— %
France1,852 100 — — — — — 1,697 100 — — — — — 
Italy1,536 — — 100 — — — 2,010 — — 100 — — — 
UK1,203 99 — — — 1 — 1,089 100 — — — — — 
Singapore1,102 100 — — — — — 984 100 — — — — — 
Spain998 — 9 91 — — — 1,920 — 5 95 — — — 
Canada651 100 — — — — — 572 100 — — — — — 
Hong Kong568 100 — — — — — 29 100 — — — — — 
Netherlands340 100 — — — — — 491 100 — — — — — 
Austria306 100 — — — — — 256 100 — — — — — 
Japan 296 — 100 — — — — 408 — 100 — — — — 
Ireland235 — 100 — — — — 252 — 100 — — — — 
Other (d)
331 60 — — 40 — — 461 73 — — 27 — — 
Total sovereign debt/sovereign guaranteed$13,069 75 %5 %19 %1 %— %— %$12,391 62 %6 %31 %1 %— %— %
Foreign government agencies:
Netherlands$834 100 %— %— %— %— %— %$847 100 %— %— %— %— %— %
Canada572 78 22 — — — — 511 75 25 — — — — 
France277 100 — — — — — 305 100 — — — — — 
Norway270 100 — — — — — 273 100 — — — — — 
Sweden253 100 — — — — — 281 100 — — — — — 
Finland205 100 — — — — — 225 100 — — — — — 
Germany— — — — — — — 1,473 100 — — — — — 
Other268 64 36 — — — — 220 55 45 — — — — 
Total foreign government agencies$2,679 92 %8 %— %— %— %— %$4,135 95 %5 %— %— %— %— %
(a)    Represents ratings by S&P or the equivalent.
(b)    At Sept. 30, 2021 and Dec. 31, 2020, sovereign debt/sovereign guaranteed securities were included in Level 1 and Level 2 in the valuation hierarchy. All other assets in the table are Level 2 assets in the valuation hierarchy.
(c)    Includes $387 million at Sept. 30, 2021 and $487 million at Dec. 31, 2020 that were included in the former Grantor Trust.
(d)    Includes non-investment grade sovereign debt/sovereign guaranteed securities related to Brazil of $134 million at Sept. 30, 2021 and $125 million at Dec. 31, 2020.
Assets and liabilities measured at fair value on a nonrecurring basis

Under certain circumstances, we make adjustments to the fair value of our assets, liabilities and unfunded lending-related commitments, although they are not measured at fair value on an ongoing basis. Examples would be the recording of an impairment of
an asset and non-readily marketable equity securities carried at cost with upward or downward adjustments.

The following table presents the financial instruments carried on the consolidated balance sheet by caption and level in the fair value hierarchy as of Sept. 30, 2021 and Dec. 31, 2020.

Assets measured at fair value on a nonrecurring basis
Sept. 30, 2021Dec. 31, 2020
Total carrying
value		Total carrying
value
(in millions)Level 1Level 2Level 3Level 1Level 2Level 3
Loans (a)
$— $42 $— $42 $— $48 $— $48 
Other assets (b)
— 214 — 214 — 131 — 131 
Total assets at fair value on a nonrecurring basis$— $256 $— $256 $— $179 $— $179 
(a)    The fair value of these loans was unchanged in the third quarter of 2021 and decreased less than $1 million in the fourth quarter of 2020, based on the fair value of the underlying collateral, as required by guidance in ASC 326, Financial Instruments – Credit Losses, with an offset to the allowance for credit losses.
(b)    Includes non-readily marketable equity securities carried at cost with upward or downward adjustments and other assets received in satisfaction of debt.
Estimated fair value of financial instruments

The following tables present the estimated fair value and the carrying amount of financial instruments not carried at fair value on the consolidated balance sheet at Sept. 30, 2021 and Dec. 31, 2020, by caption on the consolidated balance sheet and by the valuation hierarchy.

Summary of financial instrumentsSept. 30, 2021
(in millions)Level 1Level 2Level 3Total
estimated
fair value		Carrying
amount
Assets:
Interest-bearing deposits with the Federal Reserve and other central banks
$— $126,959 $— $126,959 $126,959 
Interest-bearing deposits with banks— 20,063 — 20,063 20,057 
Federal funds sold and securities purchased under resale agreements— 28,497 — 28,497 28,497 
Securities held-to-maturity11,538 45,170 — 56,708 56,267 
Loans (a)
— 63,513 — 63,513 63,322 
Other financial assets6,752 1,186 — 7,938 7,938 
Total$18,290 $285,388 $— $303,678 $303,040 
Liabilities:
Noninterest-bearing deposits$— $100,498 $— $100,498 $100,498 
Interest-bearing deposits— 241,183 — 241,183 242,641 
Federal funds purchased and securities sold under repurchase agreements— 11,973 — 11,973 11,973 
Payables to customers and broker-dealers— 26,002 — 26,002 26,002 
Borrowings— 929 — 929 929 
Long-term debt— 25,741 — 25,741 24,643 
Total$— $406,326 $— $406,326 $406,686 
(a)    Does not include the leasing portfolio.
Summary of financial instrumentsDec. 31, 2020
(in millions)Level 1Level 2Level 3Total estimated
fair value		Carrying
amount
Assets:
Interest-bearing deposits with the Federal Reserve and other central banks
$— $141,775 $— $141,775 $141,775 
Interest-bearing deposits with banks— 17,310 — 17,310 17,300 
Federal funds sold and securities purchased under resale agreements— 30,907 — 30,907 30,907 
Securities held-to-maturity4,120 45,104 — 49,224 47,946 
Loans (a)
— 53,586 — 53,586 55,121 
Other financial assets6,252 1,160 — 7,412 7,412 
Total$10,372 $289,842 $— $300,214 $300,461 
Liabilities:
Noninterest-bearing deposits$— $83,854 $— $83,854 $83,854 
Interest-bearing deposits— 257,287 — 257,287 257,691 
Federal funds purchased and securities sold under repurchase agreements— 11,305 — 11,305 11,305 
Payables to customers and broker-dealers— 25,085 — 25,085 25,085 
Borrowings— 563 — 563 563 
Long-term debt— 27,306 — 27,306 25,584 
Total$— $405,400 $— $405,400 $404,082 
(a)    Does not include the leasing portfolio.