
Securities at Dec. 31, 2021			Gross unrealized
	Amortized cost						Fair value
(in millions)			Gains		Losses
Available-for-sale:
U.S. Treasury	$	28,966	$	771	$	328	$	29,409
Agency RMBS	14,333		270		73		14,530
Sovereign debt/sovereign guaranteed	13,367		79		67		13,379
Agency commercial MBS	8,102		345		42		8,405
Supranational	7,599		24		50		7,573
Foreign covered bonds	6,236		25		23		6,238
CLOs	4,441		3		5		4,439
Non-agency commercial MBS	3,083		65		23		3,125
Non-agency RMBS	2,641		132		25		2,748
Foreign government agencies	2,694		9		17		2,686
U.S. government agencies	2,464		99		27		2,536
State and political subdivisions	2,543		11		40		2,514
Other ABS	2,205		7		22		2,190
Corporate bonds	2,099		19		52		2,066
Other debt securities	1		—		—		1
Total securities available-for-sale (a)(b)	$	100,774	$	1,859	$	794	$	101,839
Held-to-maturity:
Agency RMBS	$	36,167	$	428	$	388	$	36,207
U.S. Treasury	11,617		36		103		11,550
Agency commercial MBS	4,068		41		52		4,057
U.S. government agencies	2,998		—		71		2,927
CLOs	983		—		1		982
Sovereign debt/sovereign guaranteed	922		18		2		938
Supranational	54		—		—		54
Non-agency RMBS	43		2		—		45
State and political subdivisions	14		1		—		15
Total securities held-to-maturity	$	56,866	$	526	$	617	$	56,775
Total securities	$	157,640	$	2,385	$	1,411	$	158,614

(a) The amortized cost of available-for-sale securities is net of the allowance for credit loss of $10 million. The allowance for credit loss primarily relates to CLOs.

(b) Includes gross unrealized gains of $455 million and gross unrealized losses of $75 million recorded in accumulated other comprehensive income related to securities that were transferred from available-for-sale to held-to-maturity. The unrealized gains primarily relate to U.S. Treasury securities, agency RMBS and agency commercial MBS. The unrealized losses primarily relate to U.S. Treasury securities and agency RMBS. The unrealized gains and losses will be amortized into net interest revenue over the contractual lives of the securities.

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


Net securities gains (losses)
(in millions)	3Q22		2Q22		3Q21		YTD22		YTD21
Realized gross gains	$	9	$	7	$	3	$	89	$	21
Realized gross losses	(8)		(7)		(1)		(84)		(17)

Total net securities gains	$	1	$	—	$	2	$	5	$	4

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


Net securities gains (losses)
(in millions)	3Q22		2Q22		3Q21		YTD22		YTD21
Non-agency RMBS	$	—	$	—	$	—	$	49	$	2
U.S. Treasury	—		1		—		12		(4)
State and political subdivisions	—		—		—		(13)		—
Corporate bonds	—		(4)		—		(51)		—
Other	1		3		2		8		6
Total net securities gains	$	1	$	—	$	2	$	5	$	4

In the second quarter of 2022, agency RMBS and agency commercial MBS, with an aggregate amortized cost of $975 million and fair value of $906 million, were transferred from available-for-sale securities to held-to-maturity securities.

In the first quarter of 2022, agency RMBS, U.S. government agencies and agency commercial MBS, with an aggregate amortized cost of $5.3 billion and fair value of $5.2 billion, were transferred from available-for-sale securities to held-to-maturity securities.

The above transfers 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 $9 million at Sept. 30, 2022 and $10 million at Dec. 31, 2021, and primarily relates to the available-for-sale CLO portfolio.

Credit quality indicators – Securities

At Sept. 30, 2022, the gross unrealized losses on the securities portfolio were primarily attributable to an increase in interest rates 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, $188 million of the unrealized losses at Sept. 30, 2022 and $75 million at Dec. 31, 2021 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 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, 2022	Less than 12 months				12 months or more				Total
	Fair value		Unrealized losses		Fair value		Unrealized losses		Fair value		Unrealized losses
(in millions)
U.S. Treasury	$	22,678	$	1,942	$	5,479	$	907	$	28,157	$	2,849
Sovereign debt/sovereign guaranteed	7,361		334		1,738		240		9,099		574
Agency RMBS	7,912		416		384		70		8,296		486
Agency commercial MBS	6,602		518		1,410		200		8,012		718
Supranational	4,590		214		1,491		212		6,081		426
CLOs	4,815		164		324		15		5,139		179
Foreign covered bonds	3,657		166		945		102		4,602		268
Non-agency commercial MBS	2,249		259		594		118		2,843		377
Foreign government agencies	1,700		68		615		66		2,315		134
Non-agency RMBS	1,058		82		804		131		1,862		213
State and political subdivisions	757		128		991		193		1,748		321
U.S. government agencies	1,515		197		206		38		1,721		235
Other ABS	925		75		505		54		1,430		129
Corporate bonds	521		39		665		173		1,186		212

Total securities available-for-sale (a)	$	66,340	$	4,602	$	16,151	$	2,519	$	82,491	$	7,121

(a) Includes $126 million gross unrealized losses for less than 12 months and $62 million of gross unrealized losses 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 U.S. Treasury securities 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, 2021	Less than 12 months				12 months or more				Total
	Fair value		Unrealized losses		Fair value		Unrealized losses		Fair value		Unrealized losses
(in millions)
U.S. Treasury	$	16,855	$	235	$	1,944	$	93	$	18,799	$	328
Sovereign debt/sovereign guaranteed	6,040		66		58		1		6,098		67
Agency RMBS	4,089		44		457		29		4,546		73
Supranational	3,093		44		305		6		3,398		50
Agency commercial MBS	2,233		39		585		3		2,818		42
Foreign covered bonds	2,694		23		—		—		2,694		23
CLOs	1,808		3		318		2		2,126		5
Non-agency RMBS	1,573		20		345		5		1,918		25
State and political subdivisions	1,848		40		13		—		1,861		40
U.S. government agencies	1,780		27		—		—		1,780		27
Other ABS	1,383		20		201		2		1,584		22
Foreign government agencies	1,446		17		15		—		1,461		17
Corporate bonds	1,247		42		198		10		1,445		52
Non-agency commercial MBS	947		16		222		7		1,169		23

Total securities available-for-sale (a)	$	47,036	$	636	$	4,661	$	158	$	51,697	$	794

(a) Includes $47 million of gross unrealized losses for less than 12 months and $28 million of gross unrealized losses 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.

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, 2022					Ratings (a)
			Net unrealized gain (loss)								BB+ and lower
(dollars in millions)	Amortized cost				AAA/ AA-		A+/ A-		BBB+/ BBB-				Not rated
Agency RMBS	$	35,349	$	(4,678)	100	%	—	%	—	%	—	%		—	%
U.S. Treasury	10,715		(966)		100		—		—		—			—
Agency commercial MBS	4,117		(428)		100		—		—		—			—
U.S. government agencies	4,209		(558)		100		—		—		—			—
Sovereign debt/sovereign guaranteed (b)	1,374		(69)		100		—		—		—			—
CLOs	983		(44)		100		—		—		—			—
Supranational	407		(23)		100		—		—		—			—
Foreign government agencies	60		(4)		100		—		—		—			—
Non-agency RMBS	30		—		22		58		2		17			1
State and political subdivisions	13		(2)		2		2		3		—			93
Total held-to-maturity securities	$	57,257	$	(6,772)	100	%	—	%	—	%	—	%		—	%

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

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


Held-to-maturity securities portfolio at Dec. 31, 2021					Ratings (a)
			Net unrealized gain (loss)								BB+ and lower
(dollars in millions)	Amortized cost				AAA/ AA-		A+/ A-		BBB+/ BBB-				Not rated
Agency RMBS	$	36,167	$	40	100	%	—	%	—	%	—	%		—	%
U.S. Treasury	11,617		(67)		100		—		—		—			—
Agency commercial MBS	4,068		(11)		100		—		—		—			—
U.S. government agencies	2,998		(71)		100		—		—		—			—
CLOs	983		(1)		100		—		—		—			—
Sovereign debt/sovereign guaranteed (b)	922		16		100		—		—		—			—
Supranational	54		—		100		—		—		—			—
Non-agency RMBS	43		2		23		59		2		15			1
State and political subdivisions	14		1		5		2		5		—			88


Total held-to-maturity securities	$	56,866	$	(91)	100	%	—	%	—	%	—	%		—	%

(a) Represents ratings by S&P or the equivalent.

(b) 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, 2022
	Within 1 year				1-5 years				5-10 years				After 10 years				Total
(dollars in millions)	Amount		Yield (a)		Amount		Yield (a)		Amount		Yield (a)		Amount		Yield (a)		Amount		Yield (a)
Available-for-sale:
U.S. Treasury	$	4,837	1.87	%	$	13,970	0.93	%	$	7,324	1.25	%	$	2,025	2.92	%	$	28,156	1.32	%
Sovereign debt/sovereign guaranteed	3,846		1.82		5,734		1.13		710		0.42		45		2.65		10,335		1.32
Supranational	1,303		1.21		4,745		1.90		1,536		2.26		15		(0.09)		7,599		1.86
Foreign covered bonds	1,131		1.66		3,619		1.64		530		0.18		—		—		5,280		1.48
Foreign government agencies	540		1.03		1,743		1.49		32		0.16		—		—		2,315		1.36
U.S. government agencies	—		—		711		2.52		1,122		2.41		164		2.54		1,997		2.46
State and political subdivisions	119		3.98		688		1.50		889		1.62		170		2.41		1,866		1.79
Corporate bonds	82		2.40		338		2.75		757		1.61		20		2.01		1,197		1.95
Other debt securities	—		—		—		—		—		—		1		3.60		1		3.60
Mortgage-backed securities:
Agency RMBS																	8,365		3.10
Non-agency RMBS																	2,113		3.32
Agency commercial MBS																	8,100		2.60
Non-agency commercial MBS																	2,893		2.81
CLOs																	5,242		3.72
Other ABS																	1,465		1.94
Total securities available-for-sale	$	11,858	1.75	%	$	31,548	1.29	%	$	12,900	1.41	%	$	2,440	2.82	%	$	86,924	1.96	%
Held-to-maturity:
U.S. Treasury	$	1,464	1.79	%	$	7,292	1.25	%	$	1,959	1.16	%	$	—	—	%	$	10,715	1.31	%
U.S. government agencies	—		—		2,309		1.40		1,639		1.56		261		1.90		4,209		1.49
Sovereign debt/sovereign guaranteed	132		0.16		1,133		0.88		109		0.95		—		—		1,374		0.82
Supranational	45		0.54		362		1.01		—		—		—		—		407		0.96
Foreign government agencies	—		—		60		0.79		—		—		—		—		60		0.79
State and political subdivisions	1		5.48		1		5.93		3		4.65		8		4.80		13		4.84
Mortgage-backed securities:
Agency RMBS																	35,349		2.29
Non-agency RMBS																	30		2.22
Agency commercial MBS																	4,117		2.31
CLOs																	983		3.80
Total securities held-to-maturity	$	1,642	1.63	%	$	11,157	1.23	%	$	3,710	1.33	%	$	269	1.98	%	$	57,257	2.03	%
Total securities	$	13,500	1.73	%	$	42,705	1.27	%	$	16,610	1.40	%	$	2,709	2.75	%	$	144,181	1.99	%

(a) Yields are based upon the amortized cost of securities and consider the contractual coupon, amortization of premiums and accretion of discounts, excluding the effect of related hedging derivatives.

Pledged assets

At Sept. 30, 2022, BNY Mellon had pledged assets of $137 billion, including $106 billion pledged as collateral for potential borrowings at the Federal Reserve Discount Window and $8 billion pledged as collateral for borrowing at the Federal Home Loan Bank. The components of the assets pledged at Sept. 30, 2022 included $120 billion of securities, $12 billion of loans, $4 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, 2021, BNY Mellon had pledged assets of $144 billion, including $112 billion pledged as collateral for potential borrowing 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 Dec. 31, 2021 included $126 billion of securities, $12 billion of loans, $5 billion of trading assets and $1 billion of interest-bearing deposits with banks.

At Sept. 30, 2022 and Dec. 31, 2021, pledged assets included $22 billion and $24 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, 2022 and Dec. 31, 2021, the market value of the securities received that can be sold or repledged was $99 billion and $122 billion, respectively. We routinely sell or repledge these securities through delivery to third parties. As of Sept. 30, 2022 and Dec. 31, 2021, the market value of securities collateral sold or repledged was $63 billion and $78 billion, respectively.

Restricted cash and securities

Cash and securities may be segregated under federal and other regulations or requirements. At Sept. 30, 2022 and Dec. 31, 2021, cash segregated under federal and other regulations or requirements was $5 billion and $4 billion, respectively. Restricted cash is primarily included in interest-bearing deposits with banks on the consolidated balance sheet. Securities segregated under federal and other regulations or requirements were $4 billion at Sept. 30, 2022 and $4 billion at Dec. 31, 2021. 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.