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Derivative Instruments (Tables)
 9 Months Ended
Sep. 30, 2013
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Ineffectiveness Related to Derivatives and Hedging Relationships Recorded in Income
Ineffectiveness related to derivatives and hedging relationships was recorded in income as follows:

Ineffectiveness
Nine months ended
(in millions)
Sept. 30, 2013

Sept. 30, 2012

Fair value hedges of securities
$
10.4

$
(1.7
)
Fair value hedges of deposits and long-term debt
3.8

(7.3
)
Cash flow hedges
(0.1
)
0.1

Other (a)
0.1

(0.1
)
Total
$
14.2

$
(9.0
)
(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 Sept. 30, 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)
Sept. 30, 2013

Dec. 31, 2012

 
Sept. 30, 2013

Dec. 31, 2012

 
Sept. 30, 2013

Dec. 31, 2012

Derivatives designated as hedging instruments (a):
 
 
 
 
 
 
 
 
Interest rate contracts
$
19,976

$
19,679

 
$
1,124

$
928

 
$
183

$
343

Foreign exchange contracts
7,763

16,805

 
63

61

 
260

361

Total derivatives designated as hedging instruments
 
 
 
$
1,187

$
989

 
$
443

$
704

Derivatives not designated as hedging instruments (b):
 
 
 
 
 
 
 
 
Interest rate contracts
$
786,857

$
796,155

 
$
15,675

$
22,789

 
$
16,253

$
23,341

Foreign exchange contracts
446,009

359,204

 
3,669

3,513

 
3,898

3,632

Equity contracts
22,243

11,375

 
428

311

 
588

413

Credit contracts
101

166

 
—

—

 
—

—

Total derivatives not designated as hedging instruments
 
 
 
$
19,772

$
26,613

 
$
20,739

$
27,386

Total derivatives fair value (c)
 
 
 
$
20,959

$
27,602

 
$
21,182

$
28,090

Effect of master netting agreements (d)
 
 
 
(16,468
)
(22,311
)
 
(14,975
)
(20,990
)
Fair value after effect of master netting agreements
 
 
 
$
4,491

$
5,291

 
$
6,207

$
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 $1,631 million and $138 million, respectively, at Sept. 30, 2013, and $1,452 million and $131 million, respectively, at Dec. 31, 2012.
Impact of Derivative Instruments on Income Statement
At Sept. 30, 2013, $470 billion (notional) of interest rate contracts will mature within one year, $171 billion between one and five years, and $166 billion after five years. At Sept. 30, 2013, $438 billion (notional) of foreign exchange contracts will mature within one year, $7 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
3Q13

 
2Q13

 
3Q12

 
3Q13

 
2Q13

 
3Q12

Interest rate contracts
Net interest  revenue
 
$
143

 
$
169

 
$
36

 
Net interest  revenue
 
$
(137
)
 
$
(167
)
 
$
(44
)


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)
3Q13

2Q13

3Q12

 
 
3Q13

2Q13

3Q12

 
 
3Q13

2Q13

3Q12

FX contracts
$
4

$
(15
)
$
—

 
Net interest revenue
 
$
(5
)
$
(6
)
$
—

 
Net interest revenue
 
$
—

$
—

$
—

FX contracts
(5
)
(1
)
3

 
Other revenue
 
(1
)
—

1

 
Other revenue
 
(0.2
)
—

—

FX contracts
(67
)
34

(707
)
 
Trading revenue
 
(67
)
34

(707
)
 
Trading revenue
 
—

—

—

FX contracts
11

(5
)
—

 
Salary expense
 
(1
)
(1
)
—

 
Salary expense
 
—

—

—

Total
$
(57
)
$
13

$
(704
)
 
 
 
$
(74
)
$
27

$
(706
)
 
 
 
$
(0.2
)
$
—

$
—



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)
3Q13

2Q13

3Q12

 
 
3Q13

2Q13

3Q12

 
 
3Q13

2Q13

3Q12

FX contracts
$
(192
)
$
38

$
(133
)
 
Net interest revenue
 
$
2

$
—

$
—

 
Other revenue
 
$
—

$
0.2

$
—




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
Nine months ended
 
Location of gain or(loss) recognized in income on hedged item
 
Gain or (loss) recognized 
in hedged item
Nine months ended
Sept. 30, 2013

 
Sept. 30, 2012

 
Sept. 30, 2013

 
Sept. 30, 2012

Interest rate contracts
Net interest  revenue
 
$
388

 
$
(86
)
 
Net interest  revenue
 
$
(374
)
 
$
77



Derivatives in cash flow hedging
relationships
Gain or (loss) recognized
in accumulated
OCI on derivatives(effective portion)
Nine months ended
 
Location of gain or
(loss) reclassified
from accumulated
OCI into income
(effective portion)
 
Gain or (loss) reclassified
from accumulated
OCI into income
(effective portion)
Nine months ended
 
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)
Nine months ended
Sept. 30, 2013

 
Sept. 30, 2012

 
 
Sept. 30, 2013

 
Sept. 30, 2012

 
 
Sept. 30, 2013

 
Sept. 30, 2012

FX contracts
$
(23
)
 
$
7

 
Net interest revenue
 
$
(24
)
 
$
4

 
Net interest revenue
 
$
—

 
$
—

FX contracts
(4
)
 
5

 
Other revenue
 
(1
)
 
2

 
Other revenue
 
(0.1
)
 
0.1

FX contracts
150

 
(703
)
 
Trading revenue
 
150

 
(703
)
 
Trading revenue
 
—

 
—

FX contracts
4

 
—

 
Salary expense
 
(2
)
 
(1
)
 
Salary expense
 
—

 
—

Total
$
127

 
$
(691
)
 
 
 
$
123

 
$
(698
)
 
 
 
$
(0.1
)
 
$
0.1



Derivatives in net
investment hedging
relationships
Gain or (loss) recognized in accumulated OCI
on derivatives
(effective portion)
Nine months ended
 
Location of gain or
(loss) reclassified
from accumulated
OCI into income
(effective portion)
 
Gain or (loss) reclassified
from accumulated
OCI into income
(effective portion)
Nine months ended
 
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)
Nine months ended
Sept. 30, 2013

 
Sept. 30, 2012

 
 
Sept. 30, 2013

 
Sept. 30, 2012

 
 
Sept. 30, 2013

 
Sept. 30, 2012

FX contracts
$
13

 
$
(162
)
 
Net interest revenue
 
$
2

 
$
—

 
Other revenue
 
$
0.1

 
$
(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
 
 
 
 
 
Year-to-date
(in millions)
3Q13
2Q13
3Q12

2013

2012

Foreign exchange
$
154

$
179

$
121

$
482

$
414

Other trading revenue:
 
 
 
 
 
Fixed income
(2
)
12

54

18

117

Equity/other
8

16

7

28

22

Total other trading revenue
6

28

61

46

139

Total
$
160

$
207

$
182

$
528

$
553
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 Sept. 30, 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-
 
$
654
 million
Baa2/BBB
 
$
785
 million
Bal/BB+
 
$
1,523
 million
(a)
The change between rating categories is incremental, not cumulative.
Offsetting Assets
Offsetting of financial assets and derivative assets
 
 
 
 
 
 
 
Sept. 30, 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
$
15,483

$
14,303

 
$
1,180

 
$
22,234

$
20,042

 
$
2,192

Foreign exchange contracts
2,687

2,005

 
682

 
3,255

2,171

 
1,084

Equity and other contracts
372

160

 
212

 
264

98

 
166

Total derivatives subject to netting arrangements
18,542

16,468

 
2,074

 
25,753

22,311

 
3,442

Total derivatives not subject to netting arrangements
2,417

—

 
2,417

 
1,849

—

 
1,849

Total derivatives
20,959

16,468

 
4,491

 
27,602

22,311

 
5,291

Reverse repurchase agreements
9,176

120

(b)
9,056

 
6,718

137

(b)
6,581

Total
$
30,135

$
16,588

 
$
13,547

 
$
34,320

$
22,448

 
$
11,872

(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
 
 
 
 
 
 
 
Sept. 30, 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
$
16,107

$
13,271

 
$
2,836

 
$
23,274

$
19,069

 
$
4,205

Foreign exchange contracts
1,847

1,544

 
303

 
3,423

1,823

 
1,600

Equity and other contracts
454

160

 
294

 
310

98

 
212

Total derivatives subject to netting arrangements
18,408

14,975

 
3,433

 
27,007

20,990

 
6,017

Total derivatives not subject to netting arrangements
2,774

—

 
2,774

 
1,083

—

 
1,083

Total derivatives
21,182

14,975

 
6,207

 
28,090

20,990

 
7,100

Repurchase agreements
8,933

120

(b)
8,813

 
7,153

137

(b)
7,016

Total
$
30,115

$
15,095

 
$
15,020

 
$
35,243

$
21,127

 
$
14,116

(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.