Derivative Instruments (Tables)

9 Months Ended

Sep. 30, 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	Nine months ended
(in millions)	Sept. 30, 2014			Sept. 30, 2013
Fair value hedges of securities	$	(7.7	)	$	10.4
Fair value hedges of deposits and long-term debt	(12.0		)	3.8
Cash flow hedges	0.1			(0.1		)
Other (a)	(0.1		)	0.1
Total	$	(19.7	)	$	14.2

(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, 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)	Sept. 30, 2014		Dec. 31, 2013		Sept. 30, 2014			Dec. 31, 2013			Sept. 30, 2014			Dec. 31, 2013
Derivatives designated as hedging instruments(a):
Interest rate contracts	$	24,271	$	21,402	$	573		$	1,206		$	178		$	167
Foreign exchange contracts	7,255		7,382		204			76			57			336
Total derivatives designated as hedging instruments					$	777		$	1,282		$	235		$	503
Derivatives not designated as hedging instruments (b):
Interest rate contracts	$	836,009	$	767,341	$	15,591		$	14,712		$	16,117		$	15,212
Foreign exchange contracts	566,093		420,142		6,348			3,610			6,180			3,536
Equity contracts	15,343		24,123		411			684			594			1,003
Credit contracts	—		101		—			—			—			—
Total derivatives not designated as hedging instruments					$	22,350		$	19,006		$	22,891		$	19,751
Total derivatives fair value (c)					$	23,127		$	20,288		$	23,126		$	20,254
Effect of master netting agreements (d)					(17,141		)	(15,806		)	(16,635		)	(14,421		)
Fair value after effect of master netting agreements					$	5,986		$	4,482		$	6,491		$	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) Effect of master netting agreements includes cash collateral received and paid of $1,122 million and $616 million, respectively, at Sept. 30, 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
		3Q14			2Q14			3Q13			3Q14		2Q14		3Q13
Interest rate contracts	Net interest revenue	$	(200	)	$	(109	)	$	143	Net interest revenue	$	195	$	102	$	(137	)

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)
	3Q14			2Q14			3Q13				3Q14			2Q14			3Q13				3Q14		2Q14			3Q13
FX contracts	$	—		$	(1	)	$	4		Net interest revenue	$	(1	)	$	—		$	(5	)	Net interest revenue	$	—	$	—		$	—
FX contracts	(5		)	—			(5		)	Other revenue	1			1			(1		)	Other revenue	0.2		(0.2		)	(0.2		)
FX contracts	29			(6		)	(67		)	Trading revenue	29			(6		)	(67		)	Trading revenue	—		—			—
FX contracts	(8		)	3			11			Salary expense	2			4			(1		)	Salary expense	—		—			—
Total	$	16		$	(4	)	$	(57	)		$	31		$	(1	)	$	(74	)		$	0.2	$	(0.2	)	$	(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 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)
	3Q14		2Q14			3Q13				3Q14		2Q14			3Q13			3Q14			2Q14		3Q13
FX contracts	$	308	$	(129	)	$	(192	)	Net interest revenue	$	—	$	(1	)	$	2	Other revenue	$	(0.2	)	$	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, 2014			Sept. 30, 2013			Sept. 30, 2014		Sept. 30, 2013
Interest rate contracts	Net interest revenue	$	(594	)	$	388	Net interest revenue	$	574	$	(374	)

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, 2014			Sept. 30, 2013				Sept. 30, 2014			Sept. 30, 2013				Sept. 30, 2014		Sept. 30, 2013
FX contracts	$	(2	)	$	(23	)	Net interest revenue	$	(2	)	$	(24	)	Net interest revenue	$	—	$	—
FX contracts	(2		)	(4		)	Other revenue	2			(1		)	Other revenue	0.1		(0.1		)
FX contracts	26			150			Trading revenue	26			150			Trading revenue	—		—
FX contracts	(4		)	4			Salary expense	8			(2		)	Salary expense	—		—
Total	$	18		$	127			$	34		$	123			$	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, 2014		Sept. 30, 2013			Sept. 30, 2014			Sept. 30, 2013			Sept. 30, 2014			Sept. 30, 2013
FX contracts	$	163	$	13	Net interest revenue	$	(1	)	$	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)	3Q14			2Q14			3Q13			2014		2013
Foreign exchange	$	154		$	129		$	154		$	413	$	482
Other trading revenue (loss):
Fixed income	2			(1		)	(2		)	2		18
Equity/other	(3		)	2			8			4		28
Total other trading revenue (loss)	(1		)	1			6			6		46
Total foreign exchange and other trading revenue	$	153		$	130		$	160		$	419	$	528

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, 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-		$	53	million
Baa2/BBB		$	960	million
Ba1/BB+		$	2,643	million

Offsetting Assets

Offsetting of financial assets and derivative assets at Sept. 30, 2014
	Gross assets recognized		Gross amounts offset in the balance sheet			Net assets recognized on the balance sheet		Gross amounts not offset in the balance sheet
(in millions)					(a)			Financial instruments		Cash collateral received		Net amount
Derivatives subject to netting arrangements:
Interest rate contracts	$	14,761	$	13,269		$	1,492	$	395	$	—	$	1,097
Foreign exchange contracts	4,732		3,708			1,024		151		—		873
Equity contracts	331		164			167		5		—		162
Total derivatives subject to netting arrangements	19,824		17,141			2,683		551		—		2,132
Total derivatives not subject to netting arrangements	3,303		—			3,303		—		—		3,303
Total derivatives	23,127		17,141			5,986		551		—		5,435
Reverse repurchase agreements	9,973		1,168		(b)	8,805		8,802		—		3
Securities borrowing	8,553		—			8,553		8,239		—		314
Total	$	41,653	$	18,309		$	23,344	$	17,592	$	—	$	5,752

(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 of financial assets and derivative assets at Dec. 31, 2013
	Gross assets recognized		Gross amounts offset in the balance sheet			Net assets recognized on the balance sheet		Gross amounts not offset in the balance sheet
(in millions)					(a)			Financial instruments		Cash collateral received		Net amount
Derivatives subject to netting arrangements:
Interest rate contracts	$	14,798	$	13,231		$	1,567	$	599	$	—	$	968
Foreign exchange contracts	2,778		2,294			484		18		—		466
Equity contracts	607		281			326		3		—		323
Total derivatives subject to netting arrangements	18,183		15,806			2,377		620		—		1,757
Total derivatives not subject to netting arrangements	2,105		—			2,105		—		—		2,105
Total derivatives	20,288		15,806			4,482		620		—		3,862
Reverse repurchase agreements	5,511		1,096		(b)	4,415		4,413		—		2
Securities borrowing	4,669		—			4,669		4,555		—		114
Total	$	30,468	$	16,902		$	13,566	$	9,588	$	—	$	3,978

(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 at Sept. 30, 2014
	Gross liabilities recognized		Gross amounts offset in the balance sheet			Net liabilities recognized on the balance sheet		Gross amounts not offset in the balance sheet
(in millions)					(a)			Financial instruments		Cash collateral pledged		Net amount
Derivatives subject to netting arrangements:
Interest rate contracts	$	15,688	$	13,450		$	2,238	$	1,842	$	—	$	396
Foreign exchange contracts	4,174		3,003			1,171		372		—		799
Equity contracts	502		182			320		250		—		70
Total derivatives subject to netting arrangements	20,364		16,635			3,729		2,464		—		1,265
Total derivatives not subject to netting arrangements	2,762		—			2,762		—		—		2,762
Total derivatives	23,126		16,635			6,491		2,464		—		4,027
Repurchase agreements	8,024		1,168		(b)	6,856		6,849		—		7
Securities lending	2,658		—			2,658		2,547		—		111
Total	$	33,808	$	17,803		$	16,005	$	11,860	$	—	$	4,145

(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.

Offsetting of financial liabilities and derivative liabilities at Dec. 31, 2013
	Gross liabilities recognized		Gross amounts offset in the balance sheet			Net liabilities recognized on the balance sheet		Gross amounts not offset in the balance sheet
(in millions)					(a)			Financial instruments		Cash collateral pledged		Net amount
Derivatives subject to netting arrangements:
Interest rate contracts	$	14,914	$	12,429		$	2,485	$	1,686	$	—	$	799
Foreign exchange contracts	2,292		1,711			581		382		—		199
Equity contracts	800		281			519		269		—		250
Total derivatives subject to netting arrangements	18,006		14,421			3,585		2,337		—		1,248
Total derivatives not subject to netting arrangements	2,248		—			2,248		—		—		2,248
Total derivatives	20,254		14,421			5,833		2,337		—		3,496
Repurchase agreements	8,581		1,096		(b)	7,485		7,482		—		3
Securities lending	1,947		—			1,947		1,884		—		63
Total	$	30,782	$	15,517		$	15,265	$	11,703	$	—	$	3,562

(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.