Derivative Instruments (Tables)

3 Months Ended

Mar. 31, 2014

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	Three months ended
(in millions)	March 31, 2014			Dec. 31, 2013			March 31, 2013
Fair value hedges of securities	$	(4.9	)	$	3.7		$	4.6
Fair value hedges of deposits and long-term debt	(2.8		)	(0.1		)	(0.3		)
Cash flow hedges	0.1			—			0.1
Other (a)	(0.1		)	—			(0.1		)
Total	$	(7.7	)	$	3.6		$	4.3

(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, 2014 and Dec. 31, 2013.

Impact of derivative instruments on the balance sheet	Notional value				Asset derivatives fair value						Liability derivatives fair value
(in millions)	March 31, 2014		Dec. 31, 2013		March 31, 2014			Dec. 31, 2013			March 31, 2014			Dec. 31, 2013
Derivatives designated as hedging instruments(a):
Interest rate contracts	$	21,424	$	21,402	$	945		$	1,206		$	172		$	167
Foreign exchange contracts	7,863		7,382		60			76			223			336
Total derivatives designated as hedging instruments					$	1,005		$	1,282		$	395		$	503
Derivatives not designated as hedging instruments (b):
Interest rate contracts	$	763,323	$	767,341	$	14,492		$	14,712		$	15,058		$	15,212
Foreign exchange contracts	465,202		420,142		2,209			3,610			2,066			3,536
Equity contracts	24,611		24,123		569			684			802			1,003
Credit contracts	51		101		—			—			—			—
Total derivatives not designated as hedging instruments					$	17,270		$	19,006		$	17,926		$	19,751
Total derivatives fair value (c)					$	18,275		$	20,288		$	18,321		$	20,254
Effect of master netting agreements (d)					(14,401		)	(15,806		)	(13,856		)	(14,421		)
Fair value after effect of master netting agreements					$	3,874		$	4,482		$	4,465		$	5,833

(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 $1,119 million and $574 million, respectively, at March 31, 2014, and $1,841 million and $456 million, respectively, at Dec. 31, 2013.

Impact of Derivative Instruments on Income Statement

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
		1Q14			4Q13		1Q13			1Q14		4Q13			1Q13
Interest rate contracts	Net interest revenue	$	(285	)	$	98	$	75	Net interest revenue	$	277	$	(94	)	$	(71	)

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)
	1Q14			4Q13			1Q13				1Q14			4Q13			1Q13				1Q14		4Q13		1Q13
FX contracts	$	(1	)	$	(4	)	$	(12	)	Net interest revenue	$	(1	)	$	(4	)	$	(13	)	Net interest revenue	$	—	$	—	$	—
FX contracts	3			1			2			Other revenue	—			—			—			Other revenue	0.1		—		0.1
FX contracts	3			4			183			Trading revenue	3			4			183			Trading revenue	—		—		—
FX contracts	1			3			(2		)	Salary expense	2			1			—			Salary expense	—		—		—
Total	$	6		$	4		$	171			$	4		$	1		$	170			$	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 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)
	1Q14			4Q13			1Q13			1Q14		4Q13		1Q13			1Q14			4Q13		1Q13
FX contracts	$	(16	)	$	(63	)	$	167	Net interest revenue	$	—	$	—	$	—	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
(in millions)	1Q14		4Q13		1Q13
Foreign exchange	$	130	$	126	$	149
Other trading revenue:
Fixed income	1		20		8
Equity/other	5		—		4
Total other trading revenue	6		20		12
Total	$	136	$	146	$	161

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, 2014 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-		$	28	million
Baa2/BBB		$	670	million
Bal/BB+		$	1,862	million

(a) The amounts represent potential total close-out values if The Bank of New York Mellon’s rating were to immediately drop to the indicated levels.

Offsetting Assets

The aggregated fair value of contracts impacting potential trade close-out amounts and collateral obligations can fluctuate from quarter to quarter due to changes in market conditions, changes in the composition of counterparty trades, new business, or changes to the agreement definitions establishing close-out or collateral obligations.

Additionally, if The Bank of New York Mellon’s debt rating had fallen below investment grade on March 31, 2014, existing collateral arrangements would have required us to have posted an additional $465 million of collateral.

Offsetting assets and liabilities

The following tables present derivative instruments and financial instruments that are either subject to an enforceable netting agreement or offset by collateral arrangements. There were no derivative instruments or financial instruments subject to a netting agreement for which we are not currently netting.

Offsetting of financial assets and derivative assets
	March 31, 2014							Dec. 31, 2013
(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	$	14,285	$	12,810		$	1,475	$	14,798	$	13,231		$	1,567
Foreign exchange contracts	1,594		1,363			231		2,778		2,294			484
Equity and other contracts	468		228			240		607		281			326
Total derivatives subject to netting arrangements	16,347		14,401			1,946		18,183		15,806			2,377
Total derivatives not subject to netting arrangements	1,928		—			1,928		2,105		—			2,105
Total derivatives	18,275		14,401			3,874		20,288		15,806			4,482
Reverse repurchase agreements	13,394		1,238		(b)	12,156		10,180		1,096		(b)	9,084
Total	$	31,669	$	15,639		$	16,030	$	30,468	$	16,902		$	13,566

(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, 2014							Dec. 31, 2013
(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	$	14,741	$	12,404		$	2,337	$	14,914	$	12,429		$	2,485
Foreign exchange contracts	1,547		1,218			329		2,292		1,711			581
Equity and other contracts	649		234			415		800		281			519
Total derivatives subject to netting arrangements	16,937		13,856			3,081		18,006		14,421			3,585
Total derivatives not subject to netting arrangements	1,384		—			1,384		2,248		—			2,248
Total derivatives	18,321		13,856			4,465		20,254		14,421			5,833
Repurchase agreements	11,130		1,238		(b)	9,892		10,528		1,096		(b)	9,432
Total	$	29,451	$	15,094		$	14,357	$	30,782	$	15,517		$	15,265

(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.