Securities

12 Months Ended

Dec. 31, 2019

Securities [Abstract]

Securities

Securities

The following tables present the amortized cost, the gross unrealized gains and losses and the fair value of securities at Dec. 31, 2019, Dec. 31, 2018 and Dec. 31, 2017, respectively.

Securities at Dec. 31, 2019			Gross unrealized
	Amortized cost						Fair value
(in millions)			Gains		Losses
Available-for-sale:
Agency RMBS	$	27,022	$	164	$	143	$	27,043
U.S. Treasury	14,979		472		20		15,431
Sovereign debt/sovereign guaranteed	12,548		109		11		12,646
Agency commercial mortgage-backed securities (“MBS”)	9,231		203		17		9,417
Foreign covered bonds	4,189		15		7		4,197
CLOs	4,078		1		16		4,063
Supranational	3,697		18		6		3,709
Foreign government agencies	2,638		7		2		2,643
Non-agency commercial MBS	2,134		46		2		2,178
Other asset-backed securities (“ABS”)	2,141		7		5		2,143
U.S. government agencies	1,890		61		2		1,949
Non-agency RMBS (a)	1,038		202		7		1,233
State and political subdivisions	1,017		27		—		1,044
Corporate bonds	832		21		—		853
Other debt securities	1		—		—		1
Total securities available-for-sale (b)	$	87,435	$	1,353	$	238	$	88,550
Held-to-maturity:
Agency RMBS	$	27,357	$	292	$	46	$	27,603
U.S. Treasury	3,818		28		3		3,843
Agency commercial MBS	1,326		21		3		1,344
U.S. government agencies	1,023		1		2		1,022
Sovereign debt/sovereign guaranteed	756		31		—		787
Non-agency RMBS	80		4		1		83
Foreign covered bonds	79		—		—		79
Supranational	27		—		—		27
State and political subdivisions	17		—		—		17
Total securities held-to-maturity	$	34,483	$	377	$	55	$	34,805
Total securities	$	121,918	$	1,730	$	293	$	123,355

(a) Includes $640 million that was included in the former Grantor Trust.

(b) Includes gross unrealized gains of $32 million and gross unrealized losses of $65 million recorded in accumulated other comprehensive income related to securities that were transferred from available-for-sale to held-to-maturity. The unrealized gains and losses are primarily related to Agency RMBS and will be amortized into net interest revenue over the contractual lives of the securities.

Securities at Dec. 31, 2018			Gross unrealized
	Amortized cost						Fair value
(in millions)			Gains		Losses
Available-for-sale:
Agency RMBS	$	25,594	$	83	$	369	$	25,308
U.S. Treasury	20,190		96		210		20,076
Sovereign debt/sovereign guaranteed	10,663		108		21		10,750
Agency commercial MBS	9,836		16		161		9,691
CLOs	3,410		—		46		3,364
Supranational	2,985		7		8		2,984
Foreign covered bonds	2,890		7		19		2,878
State and political subdivisions	2,251		18		22		2,247
Other ABS	1,776		1		4		1,773
U.S. government agencies	1,676		5		24		1,657
Non-agency commercial MBS	1,491		1		28		1,464
Non-agency RMBS (a)	1,095		241		11		1,325
Foreign government agencies	1,164		1		4		1,161
Corporate bonds	1,074		6		26		1,054
Other debt securities	72		5		—		77
Total securities available-for-sale (b)	$	86,167	$	595	$	953	$	85,809
Held-to-maturity:
Agency RMBS	$	25,507	$	32	$	632	$	24,907
U.S. Treasury	4,727		3		77		4,653
U.S. government agencies	1,497		—		10		1,487
Agency commercial MBS	1,195		—		26		1,169
Sovereign debt/sovereign guaranteed	833		26		—		859
Non-agency RMBS	100		4		2		102
Foreign covered bonds	80		1		—		81
Supranational	26		1		—		27
State and political subdivisions	17		—		—		17
Total securities held-to-maturity	$	33,982	$	67	$	747	$	33,302
Total securities	$	120,149	$	662	$	1,700	$	119,111

(a) Includes $832 million that was included in the former Grantor Trust.

(b) Includes gross unrealized gains of $39 million and gross unrealized losses of $87 million recorded in accumulated other comprehensive income related to securities that were transferred from available-for-sale to held-to-maturity. The unrealized gains and losses are primarily related to Agency RMBS and will be amortized into net interest revenue over the contractual lives of the securities.

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

Net securities (losses) gains
(in millions)	2019			2018			2017
Realized gross gains	$	23		$	8		$	47
Realized gross losses	(39		)	(55		)	(40		)
Recognized gross impairments	(2		)	(1		)	(4		)
Total net securities (losses) gains	$	(18	)	$	(48	)	$	3

In 2018, we adopted the new accounting guidance included in ASU 2016-01, Financial Instruments—Overall: Recognition and Measurement of Financial Assets and Financial Liabilities. As a result, money market fund investments were reclassified to trading assets, primarily from available-for-sale securities.

In 2018, certain debt securities with an aggregate amortized cost of $1,117 million and fair value of $1,070 million were transferred from held-to-maturity securities to available-for-sale securities as part of the adoption of ASU 2017-12, Derivatives and Hedging: Targeted Improvements to Accounting for Hedging Activities.

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

Net securities (losses) gains
(in millions)	2019			2018			2017
U.S. Treasury	$	(13	)	$	(4	)	$	(16	)
Agency RMBS	1			(42		)	(12		)
Other	(6		)	(2		)	31
Total net securities (losses) gains	$	(18	)	$	(48	)	$	3

Temporarily impaired securities

At Dec. 31, 2019, 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, $65 million of the unrealized losses at Dec. 31, 2019 and $87 million at Dec. 31, 2018 reflected in the available-for-sale sections of the tables below relate to certain securities (primarily

Agency RMBS) that were transferred in prior periods 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 fair value and unrealized losses would be reflected in the held-to-maturity sections of 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 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.

Temporarily impaired securities at Dec. 31, 2019	Less than 12 months				12 months or more				Total
	Fair value		Unrealized losses		Fair value		Unrealized losses		Fair value		Unrealized losses
(in millions)
Available-for-sale:
Agency RMBS	$	8,373	$	33	$	5,912	$	110	$	14,285	$	143
U.S. Treasury	1,976		16		766		4		2,742		20
Sovereign debt/sovereign guaranteed	4,045		10		225		1		4,270		11
Agency commercial MBS	1,960		12		775		5		2,735		17
Foreign covered bonds	1,009		4		690		3		1,699		7
CLOs	1,066		2		1,499		14		2,565		16
Supranational	1,336		6		360		—		1,696		6
Foreign government agencies	1,706		2		47		—		1,753		2
Non-agency commercial MBS	525		2		45		—		570		2
Other ABS	456		3		305		2		761		5
U.S. government agencies	377		2		—		—		377		2
Non-agency RMBS (a)	101		—		113		7		214		7
State and political subdivisions	—		—		16		—		16		—
Corporate bonds	82		—		21		—		103		—
Total securities available-for-sale (b)	$	23,012	$	92	$	10,774	$	146	$	33,786	$	238
Held-to-maturity:
Agency RMBS	$	4,714	$	17	$	3,729	$	29	$	8,443	$	46
U.S. Treasury	406		3		821		—		1,227		3
Agency commercial MBS	375		3		—		—		375		3
U.S. government agencies	506		2		45		—		551		2
Non-agency RMBS	6		—		40		1		46		1
Total securities held-to-maturity	$	6,007	$	25	$	4,635	$	30	$	10,642	$	55
Total temporarily impaired securities	$	29,019	$	117	$	15,409	$	176	$	44,428	$	293

(a) Includes $2 million of securities with an unrealized loss of less than $1 million for less than 12 months and $2 million of securities with an unrealized loss of less than $1 million for 12 months or more that were included in the former Grantor Trust.

(b) Includes gross unrealized losses of $65 million 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 will be amortized into net interest revenue over the contractual lives of the securities. There were no gross unrealized losses for less than 12 months.

Temporarily impaired securities at Dec. 31, 2018	Less than 12 months				12 months or more				Total
(in millions)	Fair value		Unrealized losses		Fair value		Unrealized losses		Fair value		Unrealized losses
Available-for-sale:
Agency RMBS	$	6,678	$	30	$	9,250	$	339	$	15,928	$	369
U.S. Treasury	6,126		23		6,880		187		13,006		210
Sovereign debt/sovereign guaranteed	2,185		8		988		13		3,173		21
Agency commercial MBS	4,505		50		3,082		111		7,587		161
CLOs	3,280		46		2		—		3,282		46
Supranational	974		2		481		6		1,455		8
Foreign covered bonds	1,058		7		736		12		1,794		19
State and political subdivisions	316		1		668		21		984		22
Other ABS	1,289		4		23		—		1,312		4
U.S. government agencies	513		4		673		20		1,186		24
Non-agency commercial MBS	1,015		14		362		14		1,377		28
Non-agency RMBS (a)	94		1		157		10		251		11
Foreign government agencies	397		1		256		3		653		4
Corporate bonds	685		24		50		2		735		26
Total securities available-for-sale (b)	$	29,115	$	215	$	23,608	$	738	$	52,723	$	953
Held-to-maturity:
Agency RMBS	$	4,602	$	56	$	17,107	$	576	$	21,709	$	632
U.S. Treasury	157		2		4,343		75		4,500		77
U.S. government agencies	—		—		1,111		10		1,111		10
Agency commercial MBS	477		7		654		19		1,131		26
Non-agency RMBS	22		1		31		1		53		2
Total securities held-to-maturity	$	5,258	$	66	$	23,246	$	681	$	28,504	$	747
Total temporarily impaired securities	$	34,373	$	281	$	46,854	$	1,419	$	81,227	$	1,700

(a) Includes $22 million of securities with an unrealized loss of less than $1 million for less than 12 months and $3 million of securities with an unrealized loss of less than $1 million for 12 months or more that were included in the former Grantor Trust.

(b) Includes gross unrealized losses of $87 million 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 will be amortized into net interest revenue over the contractual lives of the securities. There were no gross unrealized losses for less than 12 months.

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 Dec. 31, 2019	U.S. Treasury				U.S. government agencies				State and political subdivisions				Other bonds, notes and debentures				Mortgage/ asset-backed
(dollars in millions)	Amount		Yield (a)		Amount		Yield (a)		Amount		Yield (a)		Amount		Yield (a)		Amount		Yield (a)		Total
Securities available-for-sale:
One year or less	$	2,104	2.51	%	$	25	2.73	%	$	162	2.90	%	$	8,241	1.19	%	$	—	—	%	$	10,532
Over 1 through 5 years	6,876		1.70		411		2.07		774		3.26		13,909		0.99		—		—		21,970
Over 5 through 10 years	3,693		2.21		1,513		2.70		94		2.57		1,705		0.87		—		—		7,005
Over 10 years	2,758		3.11		—		—		14		2.50		194		1.67		—		—		2,966
Mortgage-backed securities	—		—		—		—		—		—		—		—		39,871		2.87		39,871
Asset-backed securities	—		—		—		—		—		—		—		—		6,206		2.90		6,206
Total	$	15,431	2.18	%	$	1,949	2.56	%	$	1,044	3.13	%	$	24,049	1.06	%	$	46,077	2.87	%	$	88,550
Securities held-to-maturity:
One year or less	$	881	1.44	%	$	135	1.69	%	$	—	—	%	$	138	0.78	%	$	—	—	%	$	1,154
Over 1 through 5 years	2,937		1.98		688		2.04		3		5.68		610		0.77		—		—		4,238
Over 5 through 10 years	—		—		200		2.58		—		—		114		0.22		—		—		314
Over 10 years	—		—		—		—		14		4.76		—		—		—		—		14
Mortgage-backed securities	—		—		—		—		—		—		—		—		28,763		2.94		28,763
Total	$	3,818	1.86	%	$	1,023	2.10	%	$	17	4.94	%	$	862	0.70	%	$	28,763	2.94	%	$	34,483

(a) Yields are based upon the amortized cost of securities.

Other-than-temporary impairment

For each security in the securities portfolio, a quarterly review is conducted to determine if an OTTI has occurred. See Note 1 for a discussion of the determination of OTTI.

The following table reflects securities credit losses recorded in earnings. The beginning balance represents the credit loss component for which OTTI occurred on debt securities in prior periods. The additions represent the first time a debt security was credit impaired or when subsequent credit impairments have occurred. The deductions represent credit losses on securities that have been sold, are required to be sold, or for which it is our intention to sell.

Debt securities credit loss roll forward
(in millions)	2019		2018
Beginning balance as of Dec. 31	$	78	$	84
Add: Initial OTTI credit losses	—		—
Subsequent OTTI credit losses	1		1
Less: Realized losses for securities sold	7		7
Ending balance as of Dec. 31	$	72	$	78

Pledged assets

At Dec. 31, 2019, BNY Mellon had pledged assets of $118 billion, including $80 billion pledged as collateral for potential borrowings at the Federal Reserve Discount Window and $6 billion pledged as collateral for borrowing at the Federal Home Loan Bank. The components of the assets pledged at Dec. 31, 2019 included $98 billion of securities, $13 billion of loans, $7 billion of trading assets and less than $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, 2018, BNY Mellon had pledged assets of $120 billion, including $96 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, 2018 included $100 billion of securities, $15 billion of loans, $4 billion of trading assets and $1 billion of interest-bearing deposits with banks.

At Dec. 31, 2019 and Dec. 31, 2018, pledged assets included $29 billion and $13 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 Dec. 31, 2019 and Dec. 31, 2018, the market value of the securities received that can be sold or repledged was $153 billion and $151 billion, respectively. We routinely sell or repledge these securities through delivery to third parties. As of Dec. 31, 2019 and Dec. 31, 2018, the market value of securities collateral sold or repledged was $107 billion and $101 billion, respectively.

Restricted cash and securities

Cash and securities may be segregated under federal and other regulations or requirements. At both Dec. 31, 2019 and Dec. 31, 2018, cash segregated under federal and other regulations or requirements was $2 billion. Restricted cash is included in interest-bearing deposits with banks on the consolidated balance sheet. Securities segregated under federal and other regulations or requirements were $1 billion at Dec. 31, 2019 and $2 billion at Dec. 31, 2018. 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.