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Derivative instruments (Tables)
 6 Months Ended
Jun. 30, 2022
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)2Q221Q222Q21YTD22YTD21
Interest rate fair value hedges of available-for-sale securities
DerivativeInterest revenue$866 $1,484 $(325)$2,350 $466 
Hedged itemInterest revenue(858)(1,480)322 (2,338)(463)
Interest rate fair value hedges of long-term debt
DerivativeInterest expense(292)(741)22 (1,033)(331)
Hedged itemInterest expense291 740 (21)1,031 330 
Foreign exchange fair value hedges of available-for-sale securities
Derivative (a)
Foreign exchange revenue(1)(1)(1)(2)7 
Hedged itemForeign exchange revenue2 1 1 3 (6)
Cash flow hedges of forecasted FX exposures
(Loss) gain reclassified from OCI into incomeStaff expense(1)— 4 (1)9 
Gain recognized in the consolidated income statement due to fair value and cash flow hedging relationships$7 $3 $2 $10 $12 
(a)    Includes gains of $1 million in the second quarter of 2022, less than $1 million in the first quarter of 2022 and second quarter of 2021, $1 million in the first six months of 2022 and less than $1 million in the first six months of 2021 associated with the amortization of the excluded component. At June 30, 2022 and Dec. 31, 2021, 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 relationshipsGain 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
2Q221Q222Q21YTD22YTD212Q221Q222Q21YTD22YTD21
FX contracts$505 $143 $(62)$648 $20 Net interest revenue$— $— $— $— $— 
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 relationshipsCarrying amount of hedged
asset or liability
Hedge accounting basis adjustment increase (decrease) (a)
(in millions)June 30, 2022Dec. 31, 2021June 30, 2022Dec. 31, 2021
Available-for-sale securities (b)(c)
$30,383 $24,400 $(1,764)$590 
Long-term debt$21,416 $22,447 $(833)$183 
(a)    Includes $104 million and $165 million of basis adjustment increases on discontinued hedges associated with available-for-sale securities at June 30, 2022 and Dec. 31, 2021, respectively, and $56 million and $72 million of basis adjustment decreases on discontinued hedges associated with long-term debt at June 30, 2022 and Dec. 31, 2021, 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 $125 million at June 30, 2022 and $141 million at Dec. 31, 2021.
(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 sheetNotional valueAsset derivatives
fair value		Liability derivatives
fair value
June 30, 2022Dec. 31, 2021June 30, 2022Dec. 31, 2021June 30, 2022Dec. 31, 2021
(in millions)
Derivatives designated as hedging instruments: (a)(b)
Interest rate contracts$52,621 $46,717 $57 $— $3 $453 
Foreign exchange contracts9,074 10,367 468 206 27 40 
Total derivatives designated as hedging instruments  $525 $206 $30 $493 
Derivatives not designated as hedging instruments: (b)(c)
Interest rate contracts$233,360 $193,747 $1,650 $3,259 $1,773 $2,835 
Foreign exchange contracts936,363 915,694 10,555 6,279 10,426 6,215 
Equity contracts5,419 9,659 243 49 52 211 
Credit contracts255 190 — — 3 5 
Total derivatives not designated as hedging instruments$12,448 $9,587 $12,254 $9,266 
Total derivatives fair value (d)
$12,973 $9,793 $12,284 $9,759 
Effect of master netting agreements (e)
(9,379)(6,973)(9,854)(6,335)
Fair value after effect of master netting agreements$3,594 $2,820 $2,430 $3,424 
(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 $1,965 million and $2,440 million, respectively, at June 30, 2022, and $1,424 million and $786 million, respectively, at Dec. 31, 2021.
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)2Q221Q222Q21YTD22YTD21
Foreign exchange revenue$222 $207 $184 $429 $415 
Other trading revenue (loss)45 5 (1)50 (8)
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.

June 30, 2022Dec. 31, 2021
(in millions)
Aggregate fair value of OTC derivatives in net liability positions (a)
$3,603 $3,606 
Collateral posted$4,210 $5,388 
(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)
June 30, 2022Dec. 31, 2021
(in millions)
If The Bank of New York Mellon’s rating changed to: (b)
A3/A-$138 $56 
Baa2/BBB$463 $563 
Ba1/BB+$1,589 $1,778 
(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 June 30, 2022
Gross assets recognizedGross amounts offset in the balance sheet Net assets recognized in the balance sheetGross amounts not offset in the balance sheet
(in millions)(a)Financial instrumentsCash collateral receivedNet amount
Derivatives subject to netting arrangements:
Interest rate contracts$1,227 $920 $307 $69 $— $238 
Foreign exchange contracts10,402 8,387 2,015 59 — 1,956 
Equity and other contracts228 72 156 41 — 115 
Total derivatives subject to netting arrangements
11,857 9,379 2,478 169 — 2,309 
Total derivatives not subject to netting arrangements
1,116 — 1,116 — — 1,116 
Total derivatives12,973 9,379 3,594 169 — 3,425 
Reverse repurchase agreements51,894 37,436 (b)14,458 14,458 — — 
Securities borrowing8,482 — 8,482 8,082 — 400 
Total$73,349 $46,815 $26,534 $22,709 $— $3,825 
(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, 2021
Gross assets recognizedGross 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 instrumentsCash collateral receivedNet amount
Derivatives subject to netting arrangements:
Interest rate contracts$2,132 $1,424 $708 $206 $— $502 
Foreign exchange contracts6,122 5,501 621 69 — 552 
Equity and other contracts48 48 — — — — 
Total derivatives subject to netting arrangements
8,302 6,973 1,329 275 — 1,054 
Total derivatives not subject to netting arrangements
1,491 — 1,491 — — 1,491 
Total derivatives9,793 6,973 2,820 275 — 2,545 
Reverse repurchase agreements72,661 54,709 (b)17,952 17,922 — 30 
Securities borrowing11,655 — 11,655 11,036 — 619 
Total$94,109 $61,682 $32,427 $29,233 $— $3,194 
(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 June 30, 2022
Net liabilities recognized in the balance sheet
Gross liabilities recognizedGross amounts offset in the balance sheet Gross amounts not offset in the balance sheet
(in millions)(a)Financial instrumentsCash collateral pledgedNet amount
Derivatives subject to netting arrangements:
Interest rate contracts$1,639 $1,255 $384 $103 $— $281 
Foreign exchange contracts9,723 8,563 1,160 143 — 1,017 
Equity and other contracts52 36 16 — — 16 
Total derivatives subject to netting arrangements
11,414 9,854 1,560 246 — 1,314 
Total derivatives not subject to netting arrangements
870 — 870 — — 870 
Total derivatives12,284 9,854 2,430 246 — 2,184 
Repurchase agreements47,048 37,436 (b)9,612 9,597 9 6 
Securities lending1,822 — 1,822 1,723 — 99 
Total$61,154 $47,290 $13,864 $11,566 $9 $2,289 
(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, 2021
Net liabilities recognized
in the
balance sheet
Gross liabilities recognizedGross amounts offset in the balance sheet Gross amounts not offset in the balance sheet
(in millions)(a)Financial instrumentsCash collateral pledgedNet amount
Derivatives subject to netting arrangements:
Interest rate contracts$3,263 $2,028 $1,235 $1,197 $— $38 
Foreign exchange contracts5,619 4,111 1,508 29 — 1,479 
Equity and other contracts211 196 15 — — 15 
Total derivatives subject to netting arrangements
9,093 6,335 2,758 1,226 — 1,532 
Total derivatives not subject to netting arrangements
666 — 666 — — 666 
Total derivatives9,759 6,335 3,424 1,226 — 2,198 
Repurchase agreements64,734 54,709 (b)10,025 10,025 — — 
Securities lending1,541 — 1,541 1,478 — 63 
Total$76,034 $61,044 $14,990 $12,729 $— $2,261 
(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
June 30, 2022Dec. 31, 2021
Remaining contractual maturityTotalRemaining contractual maturityTotal
(in millions)Overnight and continuousUp to 30 days30-90 daysOver 90 daysOvernight and continuousUp to 30 days30-90 daysOver 90
days
Repurchase agreements:
U.S. Treasury$39,367 $— $1,358 $83 $40,808 $56,556 $304 $450 $— $57,310 
Agency RMBS1,401 1 — — 1,402 2,795 1 — — 2,796 
Corporate bonds58 180 743 227 1,208 97 77 870 270 1,314 
Sovereign debt/sovereign guaranteed695 223 — — 918 160 — — — 160 
U.S. government agencies430 — — — 430 503 — — — 503 
State and political subdivisions17 39 179 64 299 44 16 630 155 845 
Other debt securities7 59 17 1 84 — 30 245 — 275 
Equity securities— 121 1,778 — 1,899 — 276 1,255 — 1,531 
Total $41,975 $623 $4,075 $375 $47,048 $60,155 $704 $3,450 $425 $64,734 
Securities lending:
Agency RMBS$138 $— $— $— $138 $152 $— $— $— $152 
Other debt securities71 — — — 71 88 — — — 88 
Equity securities1,613 — — — 1,613 1,301 — — — 1,301 
Total $1,822 $— $— $— $1,822 $1,541 $— $— $— $1,541 
Total secured borrowings$43,797 $623 $4,075 $375 $48,870 $61,696 $704 $3,450 $425 $66,275