Derivative instruments (Tables)

9 Months Ended

Sep. 30, 2021

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of Gains (Losses) Related to Hedging

The following table presents the pre-tax gains (losses) related to our fair value and cash flow hedging activities recognized in the consolidated income statement.

Income statement impact of fair value and cash flow hedges
(in millions)	Location of gains (losses)	3Q21		2Q21		3Q20		YTD21		YTD20
Interest rate fair value hedges of available-for-sale securities
Derivative	Interest revenue	$	183	$	(325)	$	150	$	649	$	(864)
Hedged item	Interest revenue	(184)		322		(140)		(647)		856
Interest rate fair value hedges of long-term debt
Derivative	Interest expense	(96)		22		(68)		(427)		693
Hedged item	Interest expense	96		(21)		66		426		(691)
Foreign exchange fair value hedges of available-for-sale securities
Derivative (a)	Foreign exchange revenue	—		(1)		1		7		(11)
Hedged item	Foreign exchange revenue	—		1		1		(6)		13
Cash flow hedges of forecasted FX exposures
Gain (loss) reclassified from OCI into income	Staff expense	2		4		—		11		(2)
Gain (loss) recognized in the consolidated income statement due to fair value and cash flow hedging relationships		$	1	$	2	$	10	$	13	$	(6)

(a)    Includes gains of less than $1 million in the third quarter of 2021, second quarter of 2021 and third quarter of 2020 and gains of $1 million in the first nine months of 2021 and first nine months of 2020 associated with the amortization of the excluded component. At Sept. 30, 2021 and Dec. 31, 2020, the remaining accumulated OCI balance associated with the excluded component was de minimis.

Impacts of Hedging Derivatives in Net Investment Hedging Relationships

The following table presents the impact of hedging derivatives used in net investment hedging relationships.

Impact of derivative instruments used in net investment hedging relationships
(in millions)
Derivatives in net investment hedging relationships	Gain or (loss) recognized in accumulated OCI on derivatives										Location of gain or (loss) reclassified from accumulated OCI into income	Gain or (loss) reclassified from accumulated OCI into income
	3Q21		2Q21		3Q20		YTD21		YTD20			3Q21		2Q21		3Q20		YTD21		YTD20
FX contracts	$	201	$	(62)	$	(289)	$	221	$	103	Net interest revenue	$	—	$	—	$	—	$	—	$	—

Summary of Hedged Items in Fair Value Hedging Relationships

The following table presents information on the hedged items in fair value hedging relationships.

Hedged items in fair value hedging relationships	Carrying amount of hedged asset or liability				Hedge accounting basis adjustment increase (decrease) (a)
(in millions)	Sept. 30, 2021		Dec. 31, 2020		Sept. 30, 2021		Dec. 31, 2020
Available-for-sale securities (b)(c)	$	24,662	$	17,536	$	742	$	1,428
Long-term debt	$	21,565	$	14,784	$	395	$	783

(a)    Includes $182 million and $177 million of basis adjustment increases on discontinued hedges associated with available-for-sale securities at Sept. 30, 2021 and Dec. 31, 2020, respectively, and $80 million and $118 million of basis adjustment decreases on discontinued hedges associated with long-term debt at Sept. 30, 2021 and Dec. 31, 2020, respectively.

(b)    Excludes hedged items where only foreign currency risk is the designated hedged risk, as the basis adjustments related to foreign currency hedges will not reverse through the consolidated income statement in future periods. The carrying amount excluded for available-for-sale securities was $143 million at Sept. 30, 2021 and $148 million at Dec. 31, 2020.

(c)    Carrying amount represents the amortized cost.

Impact of Derivative Instruments on the Balance Sheet

The following table summarizes the notional amount and carrying values of our total derivative portfolio.

Impact of derivative instruments on the balance sheet	Notional value				Asset derivatives fair value				Liability derivatives fair value
	Sept. 30, 2021		Dec. 31, 2020		Sept. 30, 2021		Dec. 31, 2020		Sept. 30, 2021		Dec. 31, 2020
(in millions)
Derivatives designated as hedging instruments: (a)(b)
Interest rate contracts	$	45,771	$	31,360	$	—	$	—	$	421	$	666
Foreign exchange contracts	8,749		8,706		238		19		7		441
Total derivatives designated as hedging instruments					$	238	$	19	$	428	$	1,107
Derivatives not designated as hedging instruments: (b)(c)
Interest rate contracts	$	195,065	$	198,865	$	3,424	$	4,482	$	2,989	$	3,880
Foreign exchange contracts	925,721		813,003		6,351		7,688		6,218		7,622
Equity contracts	8,214		5,142		265		2		9		37
Credit contracts	190		165		—		—		5		4
Total derivatives not designated as hedging instruments					$	10,040	$	12,172	$	9,221	$	11,543
Total derivatives fair value (d)					$	10,278	$	12,191	$	9,649	$	12,650
Effect of master netting agreements (e)					(5,875)		(8,346)		(6,529)		(7,845)
Fair value after effect of master netting agreements					$	4,403	$	3,845	$	3,120	$	4,805

(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 consolidated balance sheet.

(b)    For derivative transactions settled at clearing organizations, cash collateral exchanged is deemed a settlement of the derivative each day. The settlement reduces the gross fair value of derivative assets and liabilities and results in a corresponding decrease in the effect of master netting agreements, with no impact to the consolidated balance sheet.

(c)    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 consolidated balance sheet.

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

(e)    Effect of master netting agreements includes cash collateral received and paid of $1,060 million and $1,714 million, respectively, at Sept. 30, 2021, and $1,552 million and $1,051 million, respectively, at Dec. 31, 2020.

Revenue from Foreign Exchange and Other Trading

The following table presents our foreign exchange revenue and other trading revenue.

Foreign exchange revenue and other trading revenue
(in millions)	3Q21		2Q21		3Q20			YTD21		YTD20
Foreign exchange revenue	$	185	$	184	$	149	(a)	$	600	$	587	(a)
Other trading revenue (loss)	20		(1)		(14)		(a)	12		44		(a)

(a)    In the first quarter of 2021, we reclassified certain items within total revenue on the consolidated income statement and reclassified prior periods to be comparable with the current period presentation. See Note 1 for additional information.

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

The following table shows the aggregate fair value of OTC derivative contracts in net liability positions that contained credit risk-contingent features and the value of collateral that has been posted.

	Sept. 30, 2021		Dec. 31, 2020
(in millions)
Aggregate fair value of OTC derivatives in net liability positions (a)	$	4,790	$	5,235
Collateral posted	$	5,216	$	5,568

(a)    Before consideration of cash collateral.

The following table shows the fair value of contracts falling under early termination provisions that were in net liability positions for three key ratings triggers.

Potential close-out exposures (fair value) (a)
	Sept. 30, 2021		Dec. 31, 2020
(in millions)
If The Bank of New York Mellon’s rating changed to: (b)
A3/A-	$	45	$	79
Baa2/BBB	$	465	$	813
Ba1/BB+	$	2,597	$	2,859

(a)    The amounts represent potential total close-out values if The Bank of New York Mellon’s long-term issuer rating were to immediately drop to the indicated levels, and do not reflect collateral posted.

(b)    Represents ratings by Moody’s/S&P.

Offsetting Assets

The following tables present derivative and financial instruments and their related offsets. There were no derivative instruments or financial instruments subject to a legally enforceable netting agreement for which we are not currently netting.

Offsetting of derivative assets and financial assets at Sept. 30, 2021
	Gross assets recognized		Gross amounts offset in the balance sheet			Net assets recognized in 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	$	2,238	$	1,456		$	782	$	223	$	—	$	559
Foreign exchange contracts	5,943		4,251			1,692		66		—		1,626
Equity and other contracts	265		168			97		28		—		69
Total derivatives subject to netting arrangements	8,446		5,875			2,571		317		—		2,254
Total derivatives not subject to netting arrangements	1,832		—			1,832		—		—		1,832
Total derivatives	10,278		5,875			4,403		317		—		4,086
Reverse repurchase agreements	66,757		49,195		(b)	17,562		17,536		—		26
Securities borrowing	10,935		—			10,935		10,355		—		580
Total	$	87,970	$	55,070		$	32,900	$	28,208	$	—	$	4,692

(a)    Includes the effect of netting agreements and net cash collateral received. The offset related to the OTC 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 (“FICC”), 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, 2020
	Gross assets recognized		Gross amounts offset in the balance sheet			Net assets recognized in 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	$	2,972	$	1,952		$	1,020	$	311	$	—	$	709
Foreign exchange contracts	7,128		6,392			736		146		—		590
Equity and other contracts	2		2			—		—		—		—
Total derivatives subject to netting arrangements	10,102		8,346			1,756		457		—		1,299
Total derivatives not subject to netting arrangements	2,089		—			2,089		—		—		2,089
Total derivatives	12,191		8,346			3,845		457		—		3,388
Reverse repurchase agreements	78,828		59,561		(b)	19,267		19,252		—		15
Securities borrowing	11,640		—			11,640		11,166		—		474
Total	$	102,659	$	67,907		$	34,752	$	30,875	$	—	$	3,877

(a)    Includes the effect of netting agreements and net cash collateral received. The offset related to the OTC 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 FICC, 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 Sept. 30, 2021						Net liabilities recognized in the balance sheet
	Gross liabilities recognized		Gross amounts offset in 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	$	3,389	$	1,844		$	1,545	$	1,503	$	—	$	42
Foreign exchange contracts	5,744		4,685			1,059		247		—		812
Equity and other contracts	9		—			9		—		—		9
Total derivatives subject to netting arrangements	9,142		6,529			2,613		1,750		—		863
Total derivatives not subject to netting arrangements	507		—			507		—		—		507
Total derivatives	9,649		6,529			3,120		1,750		—		1,370
Repurchase agreements	59,510		49,195		(b)	10,315		10,308		2		5
Securities lending	1,658		—			1,658		1,581		—		77
Total	$	70,817	$	55,724		$	15,093	$	13,639	$	2	$	1,452

(a)    Includes the effect of netting agreements and net cash collateral paid. The offset related to the OTC 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 FICC, 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, 2020						Net liabilities recognized in the balance sheet
	Gross liabilities recognized		Gross amounts offset in 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	$	4,533	$	2,348		$	2,185	$	2,115	$	—	$	70
Foreign exchange contracts	7,280		5,484			1,796		143		—		1,653
Equity and other contracts	37		13			24		7		—		17
Total derivatives subject to netting arrangements	11,850		7,845			4,005		2,265		—		1,740
Total derivatives not subject to netting arrangements	800		—			800		—		—		800
Total derivatives	12,650		7,845			4,805		2,265		—		2,540
Repurchase agreements	69,831		59,561		(b)	10,270		10,270		—		—
Securities lending	1,035		—			1,035		983		—		52
Total	$	83,516	$	67,406		$	16,110	$	13,518	$	—	$	2,592

(a)    Includes the effect of netting agreements and net cash collateral paid. The offset related to the OTC 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 FICC, 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 table presents 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
	Sept. 30, 2021								Dec. 31, 2020
	Remaining contractual maturity						Total		Remaining contractual maturity						Total
(in millions)	Overnight and continuous		Up to 30 days		30 days or more				Overnight and continuous		Up to 30 days		30 days or more
Repurchase agreements:
U.S. Treasury	$	52,216	$	144	$	—	$	52,360	$	62,381	$	—	$	—	$	62,381
Corporate bonds	217		16		1,161		1,394		190		218		1,436		1,844
Agency RMBS	1,369		—		—		1,369		3,117		—		80		3,197
U.S. government agencies	985		—		—		985		425		—		—		425
State and political subdivisions	57		48		857		962		66		40		864		970
Sovereign debt/sovereign guaranteed	578		—		349		927		—		—		—		—
Other debt securities	1		5		198		204		7		21		138		166
Equity securities	—		230		1,079		1,309		—		21		827		848
Total	$	55,423	$	443	$	3,644	$	59,510	$	66,186	$	300	$	3,345	$	69,831
Securities lending:
Agency RMBS	$	123	$	—	$	—	$	123	$	161	$	—	$	—	$	161
Other debt securities	119		—		—		119		52		—		—		52
Equity securities	1,416		—		—		1,416		822		—		—		822
Total	$	1,658	$	—	$	—	$	1,658	$	1,035	$	—	$	—	$	1,035
Total secured borrowings	$	57,081	$	443	$	3,644	$	61,168	$	67,221	$	300	$	3,345	$	70,866