Derivative Instruments (Tables)

3 Months Ended

Mar. 31, 2013

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Offsetting Assets

Offsetting of financial assets and derivative assets
	March 31, 2013							Dec. 31, 2012
(in millions)	Gross assets recognized		Offset in the balance sheet		(a)	Net assets recognized		Gross assets recognized		Offset in the balance sheet		(a)	Net assets recognized
Derivatives subject to netting arrangements:
Interest rate contracts	$	19,366	$	17,877		$	1,489	$	22,234	$	20,042		$	2,192
Foreign exchange contracts	4,248		2,239			2,009		3,255		2,171			1,084
Equity and other contracts	320		163			157		264		98			166
Total derivatives subject to netting arrangements	23,934		20,279			3,655		25,753		22,311			3,442
Total derivatives not subject to netting arrangements	1,757		—			1,757		1,849		—			1,849
Total derivatives	25,691		20,279			5,412		27,602		22,311			5,291
Reverse repurchase agreements	1,085		269		(b)	816		1,477		137		(b)	1,340
Total	$	26,776	$	20,548		$	6,228	$	29,079	$	22,448		$	6,631

(a) Includes the effect of netting agreements and net cash collateral paid. The offset related to the over-the-counter 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, where we settle government securities transactions on a net basis for payment and delivery through the Fedwire system.

Offsetting Liabilities

Offsetting of financial liabilities and derivative liabilities
	March 31, 2013							Dec. 31, 2012
(in millions)	Gross liabilities recognized		Offset in the balance sheet		(a)	Net liabilities recognized		Gross liabilities recognized		Offset in the balance sheet		(a)	Net liabilities recognized
Derivatives subject to netting arrangements:
Interest rate contracts	$	20,313	$	16,666		$	3,647	$	23,274	$	19,069		$	4,205
Foreign exchange contracts	4,115		1,913			2,202		3,423		1,823			1,600
Equity and other contracts	380		163			217		310		98			212
Total derivatives subject to netting arrangements	24,808		18,742			6,066		27,007		20,990			6,017
Total derivatives not subject to netting arrangements	496		—			496		1,083		—			1,083
Total derivatives	25,304		18,742			6,562		28,090		20,990			7,100
Repurchase agreements	2,308		269		(b)	2,039		2,443		137		(b)	2,306
Total	$	27,612	$	19,011		$	8,601	$	30,533	$	21,127		$	9,406

(a) Includes the effect of netting agreements and net cash collateral received. The offset related to the over-the-counter 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 Fixed Income Clearing Corporation, where we settle government securities transactions on a net basis for payment and delivery through the Fedwire system.

Ineffectiveness Related to Derivatives and Hedging Relationships Recorded in Income

Ineffectiveness related to derivatives and hedging relationships was recorded in income as follows:

Ineffectiveness	Three months ended
(in millions)	March 31, 2013			Dec. 31, 2012			March 31, 2012
Fair value hedges of securities	4.6			(1.6		)	3.4
Fair value hedges of deposits and long-term debt	(0.3		)	(7.5		)	(3.5		)
Cash flow hedges	0.1			—			0.1
Other (a)	(0.1		)	1.7			(0.1		)
Total	$	4.3		$	(7.4	)	$	(0.1	)

(a) Includes ineffectiveness recorded on foreign exchange hedges.

Impact of Derivative Instruments on Balance Sheet

The following table summarizes the notional amount and credit exposure of our total derivative portfolio at March 31, 2013 and Dec. 31, 2012.

Impact of derivative instruments on the balance sheet	Notional value				Asset derivatives fair value						Liability derivatives fair value
(in millions)	March 31, 2013		Dec. 31, 2012		March 31, 2013			Dec. 31, 2012			March 31, 2013			Dec. 31, 2012
Derivatives designated as hedging instruments(a):
Interest rate contracts	$	20,512	$	19,679	$	897		$	928		$	251		$	343
Foreign exchange contracts	12,303		16,805		238			61			59			361
Total derivatives designated as hedging instruments					$	1,135		$	989		$	310		$	704
Derivatives not designated as hedging instruments (b):
Interest rate contracts	$	824,106	$	796,155	$	19,889		$	22,789		$	20,376		$	23,341
Foreign exchange contracts	407,468		359,204		4,241			3,513			4,076			3,632
Equity contracts	10,976		11,375		426			311			541			413
Credit contracts	151		166		—			—			1			—
Total derivatives not designated as hedging instruments					$	24,556		$	26,613		$	24,994		$	27,386
Total derivatives fair value (c)					$	25,691		$	27,602		$	25,304		$	28,090
Effect of master netting agreements (d)					(20,279		)	(22,311		)	(18,742		)	(20,990		)
Fair value after effect of master netting agreements					$	5,412		$	5,291		$	6,562		$	7,100

(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 balance sheet.

(b) 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 balance sheet.

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

(d) Master netting agreements are reported net of cash collateral received and paid of $1,709 million and $172 million, respectively, at March 31, 2013, and $1,452 million and $131 million, respectively, at Dec. 31, 2012.

Impact of Derivative Instruments on Income Statement

At March 31, 2013, $473 billion (notional) of interest rate contracts will mature within one year, $188 billion between one and five years, and $184 billion after five years. At March 31, 2013, $405 billion (notional) of foreign exchange contracts will mature within one year, $6 billion between one and five years, and $9 billion after five years.

Impact of derivative instruments on the income statement (in millions)
Derivatives in fair value hedging relationships	Location of gain or (loss) recognized in income on derivatives	Gain or (loss) recognized in income on derivatives						Location of gain or(loss) recognized in income on hedged item	Gain or (loss) recognized  in hedged item
		1Q13		4Q12		1Q12			1Q13			4Q12			1Q12
Interest rate contracts	Net interest  revenue	$	75	$	39	$	127	Net interest  revenue	$	(71	)	$	(48	)	$	(127	)

Derivatives in cash flow hedging relationships	Gain or (loss) recognized in accumulated OCI on derivatives(effective portion)									Location of gain or (loss) reclassified from accumulated OCI into income (effective portion)	Gain or (loss) reclassified from accumulated OCI into income (effective portion)								Location of gain or (loss) recognized in income on derivatives (ineffective portion and amount excluded from effectiveness testing)	Gain or (loss) recognized in income on derivatives  (ineffectiveness portion and amount excluded from effectiveness testing)
	1Q13			4Q12			1Q12				1Q13		4Q12			1Q12				1Q13		4Q12		1Q12
FX contracts	$	2		$	(3	)	$	(2	)	Net interest revenue	$	1	$	(4	)	$	(5	)	Net interest revenue	$	—	$	—	$	—
FX contracts	2			(3		)	3			Other revenue	—		1			1			Other revenue	0.1		—		0.1
FX contracts	183			939			342			Trading revenue	183		939			342			Trading revenue	—		—		—
FX contracts	(2		)	(1		)	(1		)	Salary expense	—		—			(2		)	Salary expense	—		—		—
Total	$	185		$	932		$	342			$	184	$	936		$	336			$	0.1	$	—	$	0.1

Derivatives in net investment hedging relationships	Gain or (loss) recognized in accumulated OCI on derivatives (effective portion)								Location of gain or (loss) reclassified from accumulated OCI into income (effective portion)	Gain or (loss) reclassified from accumulated OCI into income (effective portion)						Location of gain or (loss) recognized in income on derivative (ineffective portion and amount excluded from effectiveness testing)	Gain or (loss) recognized in income on derivatives  (ineffectiveness portion and amount excluded from effectiveness testing)
	1Q13		4Q12			1Q12				1Q13		4Q12		1Q12			1Q13			4Q12		1Q12
FX contracts	$	167	$	(19	)	$	(139	)	Net interest revenue	$	—	$	—	$	—	Other revenue	$	(0.1	)	$	1.7	$	(0.1	)

Revenue from Foreign Exchange and Other Trading

Revenue from foreign exchange and other trading included the following:

Foreign exchange and other trading revenue
(in millions)	1Q13		4Q12		1Q12
Foreign exchange	$	149	$	106	$	136
Other trading revenue:
Fixed income	8		25		47
Equity/other	4		8		8
Total other trading revenue	12		33		55
Total	$	161	$	139	$	191

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

The following table shows the fair value of contracts falling under early termination provisions that were in net liability positions as of March 31, 2013 for three key ratings triggers:

If The Bank of New York Mellon’s rating was changed to (Moody’s/S&P)	Potential close-out exposures (fair value) (a)
A3/A-		$	824	million
Baa2/BBB		$	993	million
Bal/BB+		$	2,010	million

(a) The change between rating categories is incremental, not cumulative.