Derivative instruments (Tables)

12 Months Ended

Dec. 31, 2019

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of Gains (Losses) Related to Hedging

The following table presents the pre-tax gains (losses) related to our fair value and cash flow hedging activities recognized in the consolidated income statement.

Income statement impact of fair value and cash flow hedges		Year ended Dec. 31,
(in millions)	Location of gains (losses)	2019			2018			2017
Interest rate fair value hedges of available-for-sale securities
Derivative	Interest revenue	$	(795	)	$	284		$	82
Hedged item	Interest revenue	788			(273		)	(97		)
Interest rate fair value hedges of long-term debt
Derivative	Interest expense	486			(328		)	(197		)
Hedged item	Interest expense	(483		)	330			190
Foreign exchange fair value hedges of available-for-sale securities
Derivative (a)	Other revenue	9			(2		)	—
Hedged item	Other revenue	(8		)	2			—
Cash flow hedge of interest rate risk
Gain reclassified from OCI into income	Interest expense	7			—			—
Cash flow hedges of forecasted FX exposures
Gain reclassified from OCI into income	Trading revenue	—			—			2
Gain reclassified from OCI into income	Other revenue	—			2			8
Gain (loss) reclassified from OCI into income	Staff expense	3			(4		)	10
Gain (loss) recognized in the consolidated income statement due to fair value and cash flow hedging relationships		$	7		$	11		$	(2	)

(a) Includes a gain of $2 million in 2019 and a (loss) of $(1) million in 2018 associated with the amortization of the excluded component. At Dec. 31, 2019 and Dec. 31, 2018, the remaining accumulated OCI balance associated with the excluded component was de minimis.

Impacts of Hedging Derivatives in Net Investment Hedging Relationships

The following table presents the impact of hedging derivatives used in net investment hedging relationships.

Impact of derivative instruments used in net investment hedging relationships
(in millions)
	Gain or (loss) recognized in accumulated OCI on derivatives Year ended Dec. 31,									Gain or (loss) reclassified from accumulated OCI into income Year ended Dec. 31,
Derivatives in net investment hedging relationships									Location of gain or (loss) reclassified from accumulated OCI into income
	2019			2018		2017				2019		2018		2017
FX contracts	$	(19	)	$	535	$	(625	)	Net interest revenue	$	—	$	—	$	—

Summary of Hedged Items in Fair Value Hedging Relationships

The following table presents information on the hedged items in fair value hedging relationships.

Hedged items in fair value hedging relationships	Carrying amount of hedged asset or liability				Hedge accounting basis adjustment increase (decrease) (a)
	Dec. 31,				Dec. 31,
(in millions)	2019		2018		2019		2018
Available-for-sale securities (b)(c)	$	13,792	$	19,201	$	687	$	(125	)
Long-term debt	$	13,945	$	16,147	$	116	$	(453	)

(a) Includes $53 million and $- million of basis adjustment increases on discontinued hedges associated with available-for-sale securities at Dec. 31, 2019 and Dec. 31, 2018, respectively, and $200 million and $284 million of basis adjustment decreases on discontinued hedges associated with long-term debt at Dec. 31, 2019 and Dec. 31, 2018, respectively.

(b) Excludes hedged items where only foreign currency risk is the designated hedged risk, as the basis adjustments related to foreign currency hedges will not reverse through the consolidated income statement in future periods. The carrying amount excluded for available-for-sale securities was $142 million at Dec. 31, 2019 and $148 million at Dec. 31, 2018.

(c)

Carrying amount represents the amortized cost.

Impact of Derivative Instruments on the Balance Sheet

The following table summarizes the notional amount and carrying values of our total derivative portfolio at Dec. 31, 2019 and Dec. 31, 2018.

Impact of derivative instruments on the balance sheet	Notional value				Asset derivatives fair value						Liability derivatives fair value
	Dec. 31,				Dec. 31,						Dec. 31,
(in millions)	2019		2018		2019			2018			2019			2018
Derivatives designated as hedging instruments: (a)(b)
Interest rate contracts	$	28,365	$	35,890	$	—		$	23		$	350		$	74
Foreign exchange contracts	8,390		6,330		21			266			257			14
Total derivatives designated as hedging instruments					$	21		$	289		$	607		$	88
Derivatives not designated as hedging instruments: (b)(c)
Interest rate contracts	$	306,790	$	248,534	$	3,690		$	3,590		$	3,250		$	3,116
Foreign exchange contracts	848,961		831,730		5,331			4,807			5,340			5,215
Equity contracts	3,189		927		19			68			5			118
Credit contracts	165		150		—			—			4			1
Total derivatives not designated as hedging instruments					$	9,040		$	8,465		$	8,599		$	8,450
Total derivatives fair value (d)					$	9,061		$	8,754		$	9,206		$	8,538
Effect of master netting agreements (e)					(5,819		)	(5,939		)	(5,415		)	(6,170		)
Fair value after effect of master netting agreements					$	3,242		$	2,815		$	3,791		$	2,368

(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 consolidated balance sheet.

(b) For derivative transactions settled at clearing organizations, cash collateral exchanged is deemed a settlement of the derivative each day. The settlement reduces the gross fair value of derivative assets and liabilities and a corresponding decrease in the effect of master netting agreements, with no impact to the consolidated balance sheet.

(c) 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 consolidated balance sheet.

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

(e)

Effect of master netting agreements includes cash collateral received and paid of $1,022 million and $618 million, respectively, at Dec. 31, 2019, and $809 million and $1,040 million, respectively, at Dec. 31, 2018.

Revenue from Foreign Exchange and Other Trading

The following table presents our foreign exchange and other trading revenue.

Foreign exchange and other trading revenue	Year ended Dec. 31,
(in millions)	2019		2018		2017
Foreign exchange	$	577	$	663	$	638
Other trading revenue	77		69		30
Total foreign exchange and other trading revenue	$	654	$	732	$	668

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 for three key ratings triggers.

Potential close-out exposures (fair value) (a)
	Dec. 31,
(in millions)	2019		2018
If The Bank of New York Mellon’s rating changed to: (b)
A3/A-	$	56	$	15
Baa2/BBB	$	608	$	116
Ba1/BB+	$	2,084	$	1,041

(a) The amounts represent potential total close-out values if The Bank of New York Mellon’s long-term issuer rating were to immediately drop to the indicated levels, and do not reflect collateral posted.

(b) Represents rating by Moody’s/S&P.

The following table shows the aggregate fair value of OTC derivative contracts in net liability positions that contained credit-risk contingent features and the value of collateral that has been posted.

	Dec. 31,
(in millions)	2019		2018
Aggregate fair value of OTC derivatives in net liability positions (a)	$	3,442	$	2,877
Collateral posted	$	3,671	$	2,801

(a)

Before consideration of cash collateral.

Offsetting Assets

The following tables present derivative and financial instruments and their related offsets. There were no derivative instruments or financial instruments subject to a legally enforceable netting agreement for which we are not currently netting.

Offsetting of derivative assets and financial assets at Dec. 31, 2019
	Gross assets recognized		Gross amounts offset in the balance sheet			Net assets recognized in 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	$	2,394	$	1,792		$	602	$	207	$	—	$	395
Foreign exchange contracts	4,861		4,021			840		44		—		796
Equity and other contracts	9		6			3		—		—		3
Total derivatives subject to netting arrangements	7,264		5,819			1,445		251		—		1,194
Total derivatives not subject to netting arrangements	1,797		—			1,797		—		—		1,797
Total derivatives	9,061		5,819			3,242		251		—		2,991
Reverse repurchase agreements	112,355		93,794		(b)	18,561		18,554		—		7
Securities borrowing	11,621		—			11,621		11,278		—		343
Total	$	133,037	$	99,613		$	33,424	$	30,083	$	—	$	3,341

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

Offsetting of derivative assets and financial assets at Dec. 31, 2018
	Gross assets recognized		Gross amounts offset in the balance sheet			Net assets recognized in 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	$	2,654	$	2,202		$	452	$	133	$	—	$	319
Foreign exchange contracts	4,409		3,724			685		70		—		615
Equity and other contracts	38		13			25		—		—		25
Total derivatives subject to netting arrangements	7,101		5,939			1,162		203		—		959
Total derivatives not subject to netting arrangements	1,653		—			1,653		—		—		1,653
Total derivatives	8,754		5,939			2,815		203		—		2,612
Reverse repurchase agreements	112,245		76,040		(b)	36,205		36,205		—		—
Securities borrowing	10,588		—			10,588		10,286		—		302
Total	$	131,587	$	81,979		$	49,608	$	46,694	$	—	$	2,914

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

Offsetting Liabilities

Offsetting of derivative liabilities and financial liabilities at Dec. 31, 2019						Net liabilities recognized in the balance sheet
	Gross liabilities recognized		Gross amounts offset in 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	$	3,550	$	1,986		$	1,564	$	1,539	$	—	$	25
Foreign exchange contracts	4,873		3,428			1,445		74		—		1,371
Equity and other contracts	5		1			4		2		—		2
Total derivatives subject to netting arrangements	8,428		5,415			3,013		1,615		—		1,398
Total derivatives not subject to netting arrangements	778		—			778		—		—		778
Total derivatives	9,206		5,415			3,791		1,615		—		2,176
Repurchase agreements	104,451		93,794		(b)	10,657		10,657		—		—
Securities lending	718		—			718		694		—		24
Total	$	114,375	$	99,209		$	15,166	$	12,966	$	—	$	2,200

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

Offsetting of derivative liabilities and financial liabilities at Dec. 31, 2018						Net liabilities recognized in the balance sheet
	Gross liabilities recognized		Gross amounts offset in 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	$	3,144	$	2,508		$	636	$	547	$	—	$	89
Foreign exchange contracts	4,747		3,626			1,121		187		—		934
Equity and other contracts	75		36			39		37		—		2
Total derivatives subject to netting arrangements	7,966		6,170			1,796		771		—		1,025
Total derivatives not subject to netting arrangements	572		—			572		—		—		572
Total derivatives	8,538		6,170			2,368		771		—		1,597
Repurchase agreements	84,665		76,040		(b)	8,625		8,625		—		—
Securities lending	997		—			997		937		—		60
Total	$	94,200	$	82,210		$	11,990	$	10,333	$	—	$	1,657

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

Transfer of Certain Financial Assets Accounted for as Secured Borrowings

The following table presents the contract value of repurchase agreements and securities lending transactions accounted for as secured borrowings by the type of collateral provided to counterparties.

Repurchase agreements and securities lending transactions accounted for as secured borrowings
	Dec. 31, 2019								Dec. 31, 2018
	Remaining contractual maturity						Total		Remaining contractual maturity						Total
(in millions)	Overnight and continuous		Up to 30 days		30 days or more				Overnight and continuous		Up to 30 days		30 days or more
Repurchase agreements:
U.S. Treasury	$	94,788	$	10	$	—	$	94,798	$	76,822	$	—	$	—	$	76,822
U.S. government agencies	594		16		—		610		759		—		—		759
Agency RMBS	4,234		774		—		5,008		3,184		—		4		3,188
Corporate bonds	266		236		1,617		2,119		416		—		1,413		1,829
Other debt securities	40		188		1,079		1,307		271		—		1,106		1,377
Equity securities	31		99		479		609		163		—		527		690
Total	$	99,953	$	1,323	$	3,175	$	104,451	$	81,615	$	—	$	3,050	$	84,665
Securities lending:
U.S. government agencies	$	19	$	—	$	—	$	19	$	7	$	—	$	—	$	7
Other debt securities	201		—		—		201		294		—		—		294
Equity securities	498		—		—		498		696		—		—		696
Total	$	718	$	—	$	—	$	718	$	997	$	—	$	—	$	997
Total borrowings	$	100,671	$	1,323	$	3,175	$	105,169	$	82,612	$	—	$	3,050	$	85,662