Companies: 10,652     total market cap: $140.563 T
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BNY Mellon (Bank of New York Mellon)
BK
#292
Rank
$82.10 B
Marketcap
๐Ÿ‡บ๐Ÿ‡ธ United States
Country
$117.74
Share price
2.46%
Change (1 day)
37.08%
Change (1 year)
๐Ÿฆ Banks๐Ÿ’ณ Financial services
Categories
  1. BNY Mellon (Bank of New York Mellon)
  2. Quarterly Reports (10-Q)
  3. Financial Year FY2021 Q1

BNY Mellon (Bank of New York Mellon) - 10-Q quarterly report FY2021 Q1


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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

FORM 10-Q

☒ Quarterly Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934

For the Quarterly Period Ended March 31, 2021
or
☐ Transition Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934

Commission File Number 001-35651

THE BANK OF NEW YORK MELLON CORPORATION
(Exact name of registrant as specified in its charter)
Delaware13-2614959
(State or other jurisdiction of incorporation or organization)(I.R.S. Employer Identification No.)

240 Greenwich Street
New York, New York 10286
(Address of principal executive offices) (Zip Code)

Registrant’s telephone number, including area code – (212) 495-1784

Not Applicable
(Former name, former address and former fiscal year, if changed since last report)

Securities registered pursuant to Section 12(b) of the Act:
Title of each class
Trading
symbol(s)		Name of each exchange
on which registered
Common Stock, $0.01 par valueBKNew York Stock Exchange
6.244% Fixed-to-Floating Rate Normal Preferred Capital Securities of Mellon Capital IV
BK/PNew York Stock Exchange
(fully and unconditionally guaranteed by The Bank of New York Mellon Corporation)

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes ☒    No ☐

Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files). Yes ☒    No ☐

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company, or an emerging growth company. See the definitions of “large accelerated filer,” “accelerated filer,” “smaller reporting company,” and “emerging growth company” in Rule 12b-2 of the Exchange Act.
Large accelerated filer☒Accelerated filer☐
Non-accelerated filer☐Smaller reporting company☐
Emerging growth company☐

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ☐

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes ☐    No ☒

As of March 31, 2021, 875,480,847 shares of the registrant’s common stock, $0.01 par value per share, were outstanding.


THE BANK OF NEW YORK MELLON CORPORATION

First Quarter 2021 Form 10-Q
Table of Contents 
Page
Consolidated Financial Highlights (unaudited)
2
Part I – Financial Information
Items 2. and 3. Management’s Discussion and Analysis of Financial Condition and Results of Operations; Quantitative and Qualitative Disclosures about Market Risk:
General
4
Overview
4
Highlights of first quarter 2021 results
4
Impact of coronavirus pandemic on our business
6
Fee and other revenue
7
Net interest revenue
10
Noninterest expense
12
Income taxes
12
Review of businesses
13
Critical accounting estimates
20
Consolidated balance sheet review
20
Liquidity and dividends
30
Capital
34
Trading activities and risk management
39
Asset/liability management
41
Supplemental information – Explanation of GAAP and Non-GAAP financial measures
42
Recent regulatory developments
44
Other matters
44
Website information
45
Item 1. Financial Statements:
Consolidated Income Statement (unaudited)
46
Consolidated Comprehensive Income Statement (unaudited)
48
Consolidated Balance Sheet (unaudited)
49
Consolidated Statement of Cash Flows (unaudited)
50
Consolidated Statement of Changes in Equity (unaudited)
51
 Page
Notes to Consolidated Financial Statements:
Note 1—Basis of presentation
53
Note 2—Acquisitions and dispositions
54
Note 3—Securities
54
Note 4—Loans and asset quality
59
Note 5—Goodwill and intangible assets
64
Note 6—Other assets
66
Note 7—Contract revenue
67
Note 8—Net interest revenue
69
Note 9—Employee benefit plans
69
Note 10—Income taxes
70
Note 11—Variable interest entities and securitization
70
Note 12—Preferred stock
71
Note 13—Other comprehensive income (loss)
72
Note 14—Fair value measurement
72
Note 15—Fair value option
78
Note 16—Derivative instruments
79
Note 17—Commitments and contingent liabilities
85
Note 18—Lines of business
90
Note 19—Supplemental information to the Consolidated Statement of Cash Flows
92
Item 4. Controls and Procedures
93
Forward-looking Statements
94
Part II – Other Information
Item 1. Legal Proceedings.
96
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds.
96
Item 6. Exhibits.
96
Index to Exhibits
97
Signature
99


The Bank of New York Mellon Corporation (and its subsidiaries)

Consolidated Financial Highlights (unaudited)

Quarter ended
(dollars in millions, except per share amounts and unless
  otherwise noted)		March 31, 2021Dec. 31, 2020March 31, 2020
Results applicable to common shareholders of The Bank of New York Mellon Corporation:
Net income$858 $702 $944 
Basic earnings per share$0.97 $0.79 $1.05 
Diluted earnings per share$0.97 $0.79 $1.05 
Fee and other revenue (a)
$3,266 $3,163 $3,294 
Net interest revenue655 680 814 
Total revenue$3,921 $3,843 $4,108 
Return on common equity (annualized)
8.5 %6.9 %10.1 %
Return on tangible common equity (annualized) – Non-GAAP (b)
16.1 %13.0 %20.4 %
Return on average assets (annualized)
0.76 %0.64 %0.99 %
Fee revenue as a percentage of total revenue (a)
83 %81 %79 %
Non-U.S. revenue as a percentage of total revenue37 %38 %36 %
Pre-tax operating margin29 %24 %30 %
Net interest margin0.66 %0.72 %1.01 %
Net interest margin on a fully taxable equivalent (“FTE”) basis – Non-GAAP (c)
0.67 %0.72 %1.01 %
Assets under custody and/or administration (“AUC/A”) at period end (in trillions) (d)
$41.7 $41.1 $35.2 
Assets under management (“AUM”) at period end (in billions) (e)
$2,214 $2,211 $1,796 
Market value of securities on loan at period end (in billions) (f)
$445 $435 $389 
Average common shares and equivalents outstanding (in thousands):
Basic882,558 889,928 894,122 
Diluted885,655 891,846 896,689 
Selected average balances:
Interest-earning assets$397,297 $378,674 $323,936 
Total assets$460,379 $437,488 $385,278 
Interest-bearing deposits$245,115 $231,318 $197,632 
Noninterest-bearing deposits$83,429 $75,840 $60,577 
Long-term debt$26,199 $25,704 $27,231 
Preferred stock$4,541 $4,827 $3,542 
Total The Bank of New York Mellon Corporation common shareholders’ equity
$40,720 $40,712 $37,664 
Other information at period end:
Cash dividends per common share$0.31 $0.31 $0.31 
Common dividend payout ratio32 %39 %30 %
Common dividend yield (annualized)
2.7 %2.9 %3.7 %
Closing stock price per common share$47.29 $42.44 $33.68 
Market capitalization$41,401 $37,634 $29,822 
Book value per common share$46.16 $46.53 $42.47 
Tangible book value per common share – Non-GAAP (b)
$24.88 $25.44 $21.53 
Full-time employees48,000 48,500 47,900 
Common shares outstanding (in thousands)
875,481 886,764 885,443 
2 BNY Mellon

Consolidated Financial Highlights (unaudited) (continued)

Regulatory capital and other ratiosMarch 31, 2021Dec. 31, 2020
Average liquidity coverage ratio (“LCR”)110 %110 %
Regulatory capital ratios: (g)
Advanced:
Common Equity Tier 1 (“CET1”) ratio 12.6 %13.1 %
Tier 1 capital ratio 15.3 15.8 
Total capital ratio16.1 16.7 
Standardized:
CET1 ratio 12.6 %13.4 %
Tier 1 capital ratio15.2 16.1 
Total capital ratio16.2 17.1 
Tier 1 leverage ratio5.8 %6.3 %
Supplementary leverage ratio (“SLR”) (h)
8.1 8.6 
BNY Mellon shareholders’ equity to total assets ratio9.7 %9.8 %
BNY Mellon common shareholders’ equity to total assets ratio8.7 8.8 
(a)    In the first quarter of 2021, we reclassified certain items within total revenue on the consolidated income statement and reclassified prior periods to be comparable with current period presentation. See Note 1 of the Notes to Consolidated Financial Statements for additional information.
(b)    Return on tangible common equity and tangible book value per common share, Non-GAAP measures, exclude goodwill and intangible assets, net of deferred tax liabilities. See “Supplemental information – Explanation of GAAP and Non-GAAP financial measures” beginning on page 42 for the reconciliation of Non-GAAP measures.
(c)    See “Net interest revenue” on page 10 for a reconciliation of this Non-GAAP measure.
(d)    Consists of AUC/A primarily from the Asset Servicing business and, to a lesser extent, the Clearance and Collateral Management, Issuer Services, Pershing and Wealth Management businesses. Includes the AUC/A of CIBC Mellon Global Securities Services Company (“CIBC Mellon”), a joint venture with the Canadian Imperial Bank of Commerce, of $1.6 trillion at March 31, 2021, $1.5 trillion at Dec. 31, 2020 and $1.2 trillion at March 31, 2020.
(e)    Excludes securities lending cash management assets and assets managed in the Investment Services business.
(f)    Represents the total amount of securities on loan in our agency securities lending program managed by the Investment Services business. Excludes securities for which BNY Mellon acts as an agent on behalf of CIBC Mellon clients, which totaled $64 billion at March 31, 2021, $68 billion at Dec. 31, 2020 and $59 billion at March 31, 2020.
(g)    For our CET1, Tier 1 capital and Total capital ratios, our effective capital ratios under U.S. capital rules are the lower of the ratios as calculated under the Standardized and Advanced Approaches. For additional information on our capital ratios, see “Capital” beginning on page 34.
(h)    The SLR at March 31, 2021 and Dec. 31, 2020 reflect the exclusion of certain central bank placements and the temporary exclusion of U.S. Treasury securities from the leverage exposure. The temporary exclusion increased our consolidated SLR by 68 basis points at March 31, 2021 and 72 basis points at Dec. 31, 2020. The temporary exclusion ceased to apply beginning April 1, 2021. See “Capital” beginning on page 34 for additional information.

BNY Mellon 3
Part I – Financial Information
Items 2. and 3. Management’s Discussion and Analysis of Financial Condition and Results of Operations; Quantitative and Qualitative Disclosures about Market Risk

General

In this Quarterly Report on Form 10-Q, references to “our,” “we,” “us,” “BNY Mellon,” the “Company” and similar terms refer to The Bank of New York Mellon Corporation and its consolidated subsidiaries. The term “Parent” refers to The Bank of New York Mellon Corporation but not its subsidiaries.

Certain business terms used in this report are defined in the Glossary included in our Annual Report on Form 10-K for the year ended Dec. 31, 2020 (“2020 Annual Report”).

The following should be read in conjunction with the Consolidated Financial Statements included in this report. Investors should also read the section titled “Forward-looking Statements.”

Overview

Established in 1784 by Alexander Hamilton, we were the first company listed on the New York Stock Exchange (NYSE: BK). With a history of more than 235 years, BNY Mellon is a global company that manages and services assets for financial institutions, corporations and individual investors in 35 countries.

BNY Mellon has two business segments, Investment Services and Investment and Wealth Management, which offer a comprehensive set of capabilities and deep expertise across the investment lifecycle, enabling the Company to provide solutions to buy-side and sell-side market participants, as well as leading institutional and wealth management clients globally.

The diagram below presents our two business segments and lines of business, with the remaining operations in the Other segment.

bk-20210331_g1.jpg



Highlights of first quarter 2021 results

Net income applicable to common shareholders was $858 million, or $0.97 per diluted common share, in the first quarter of 2021. Net income applicable to common shareholders was $944 million, or $1.05 per diluted common share, in the first quarter of 2020. The highlights below are based on the first quarter of 2021 compared with the first quarter of 2020, unless otherwise noted.

•Total revenue of $3.9 billion decreased 5%, primarily reflecting:
•Fee revenue increased 1%, primarily reflecting the positive impact of higher markets, higher client volumes and balances and the favorable impact of a weaker U.S. dollar, partially offset by higher money market fee waivers. (See “Fee and other revenue” beginning on page 7.)
4 BNY Mellon

•Other revenue includes a $39 million impairment for a renewable energy investment. (See “Fee and other revenue” beginning on page 7.)
•Net interest revenue decreased 20%, primarily reflecting lower interest rates on interest-earning assets. This was partially offset by the benefit of lower deposit and funding rates, higher deposit balances and a larger securities portfolio. (See “Net interest revenue” on page 10.)
•Provision for credit losses was a benefit of $83 million primarily driven by an improvement in the macroeconomic forecast. (See “Consolidated balance sheet review – Allowance for credit losses” beginning on page 27.)
•Noninterest expense increased 5%, primarily reflecting higher staff expense, the unfavorable impact of a weaker U.S. dollar and higher technology-related expenses, partially offset by lower business development (travel and marketing) and distribution and servicing expenses. (See “Noninterest expense” on page 12.)
•Effective tax rate of 19.2%. (See “Income taxes” on page 12.)

Capital and liquidity

•CET1 ratio was 12.6% under the Standardized Approach at March 31, 2021, compared with 13.1% under the Advanced Approaches at Dec.
31, 2020. The decrease in the CET1 ratio primarily reflects unrealized losses on securities available-for-sale, capital deployed through common stock repurchases and dividends and an increase in risk-weighted assets (“RWAs”) under the Standardized Approach, partially offset by capital generated through earnings. (See “Capital” beginning on page 34.)
•Repurchased 16.8 million common shares for $699 million.

Highlights of our principal businesses

Investment Services
•Total revenue decreased 8%.
•Income before income taxes decreased 12%.
•AUC/A of $41.7 trillion increased 18%, primarily reflecting higher market values, net new business and the favorable impact of a weaker U.S. dollar.

Investment and Wealth Management
•Total revenue increased 10%.
•Income before income taxes increased 43%.
•AUM of $2.2 trillion increased 23%, primarily reflecting higher market values, the favorable impact of a weaker U.S. dollar (principally versus the British pound) and net inflows.

See “Review of businesses” and Note 18 of the Notes to Consolidated Financial Statements for additional information on our businesses.

BNY Mellon 5

Impact of coronavirus pandemic on our business

See “Impact of coronavirus pandemic on our business” in our 2020 Annual Report for the areas of our business that have been impacted and could continue to be impacted by the coronavirus pandemic and its effect on the global macroeconomic environment. The following updates those disclosures.

Short-term interest rates have remained low through the first quarter of 2021, which has continued to result in lower net interest revenue and higher money market fee waivers. This has been partially offset by higher deposit balances and higher money market balances.

Equity markets and activity improved in the first quarter of 2021, resulting in increased volumes compared to the fourth quarter of 2020 in most of our Investment Services businesses and increased asset-based fees in Investment Services and Investment and Wealth Management.

The macroeconomic outlook also improved as of the end of the first quarter of 2021, resulting in a decrease in the allowance for credit losses and a benefit of $83 million to the provision for credit losses.

We suspended common stock repurchases for most of 2020, beginning in March 2020, while maintaining our quarterly common stock dividend of $0.31 per share. In June 2020, the Federal Reserve announced that participating Comprehensive Capital Analysis and Review (“CCAR”) bank holding companies (“BHCs”), including us, must update and resubmit their capital plans and that, as a result, CCAR BHCs were not permitted to conduct open market common stock repurchases in the third quarter of 2020, a
restriction subsequently extended through the fourth quarter of 2020. For the first and second quarters of 2021, the Federal Reserve permitted common stock dividends and repurchases subject to the limitations that the aggregate amounts per quarter not exceed average net income over the prior four quarters and that common stock dividends not be increased. If a CCAR BHC ceases to be subject to temporary restrictions on distributions beginning in the third quarter of 2021, it will continue to be subject to the normal constraints under the stress capital buffer (“SCB”) framework. See “Recent regulatory developments” for additional information related to the temporary restrictions on capital distributions.

It is difficult to forecast the impact of the coronavirus, together with related public health measures, on our results with certainty because so much depends on how the health crisis evolves and its impact on the global economy, as well as actions taken by central banks and governments to support the economy and the availability, use and effectiveness of vaccines.

The current macroeconomic environment has also resulted in responses by governmental and regulatory bodies. See “Supervision and Regulation – Pandemic-Related Measures” in our 2020 Annual Report for additional information on legislative and regulatory developments in response to the coronavirus pandemic.
For further discussion of the current and potential impact of the coronavirus pandemic, see “Risk Factors – The coronavirus pandemic is adversely affecting us and creates significant risks and uncertainties for our business, and the ultimate impact of the pandemic on us will depend on future developments, which are highly uncertain and cannot be predicted,” in our 2020 Annual Report.

6 BNY Mellon

Fee and other revenue

Fee and other revenue
1Q21 vs.
(dollars in millions, unless otherwise noted)1Q214Q201Q204Q201Q20
Investment services fees:
Asset servicing fees (a)
$1,199 $1,138 $1,159 5 %3 %
Clearing services fees (b)
455 418 470 9 (3)
Issuer services fees245 257 263 (5)(7)
Treasury services fees157 156 149 1 5 
Total investment services fees2,056 1,969 2,041 4 1 
Investment management and performance fees890 884 862 1 3 
Foreign exchange revenue (c)
231 187 245 24 (6)
Financing-related fees51 46 59 11 (14)
Distribution and servicing29 28 31 4 (6)
Total fee revenue (c)
3,257 3,114 3,238 5 1 
Investment and other income (c)
9 43 47 N/MN/M
Net securities gains— 6 9 N/MN/M
Total other revenue9 49 56 N/MN/M
Total fee and other revenue (c)
$3,266 $3,163 $3,294 3 %(1)%
Fee revenue as a percentage of total revenue (c)
83 %81 %79 %
AUC/A at period end (in trillions) (d)
$41.7 $41.1 $35.2 1 %18 %
AUM at period end (in billions) (e)
$2,214 $2,211 $1,796 — %23 %
(a)    Asset servicing fees include the fees from the Clearance and Collateral Management business and also include securities lending revenue of $45 million in the first quarter of 2021, $39 million in the fourth quarter of 2020 and $51 million in the first quarter of 2020.
(b)    Clearing services fees are almost entirely earned by our Pershing business.
(c)    In the first quarter of 2021, we reclassified certain items within total revenue on the consolidated income statement and reclassified prior periods to be comparable with the current period presentation. See Note 1 of the Notes to Consolidated Financial Statements for additional information.
(d)    Consists of AUC/A primarily from the Asset Servicing business and, to a lesser extent, the Clearance and Collateral Management, Issuer Services, Pershing and Wealth Management businesses. Includes the AUC/A of CIBC Mellon of $1.6 trillion at March 31, 2021, $1.5 trillion at Dec. 31, 2020 and $1.2 trillion at March 31, 2020.
(e)    Excludes securities lending cash management assets and assets managed in the Investment Services business.
N/M – Not meaningful.


Fee revenue increased 1% compared with the first quarter of 2020 and 5% compared with the fourth quarter of 2020. The increase compared with the first quarter of 2020 primarily reflects higher investment management and performance fees, asset servicing fees, clearing services fees and the favorable impact of a weaker U.S. dollar, partially offset by higher money market fee waivers and lower foreign exchange revenue. The increase compared with the fourth quarter of 2020 primarily reflects higher asset servicing fees, clearing services fees, foreign exchange revenue and investment management and performance fees, partially offset by higher money market fee waivers.

Other revenue decreased $47 million compared with the first quarter of 2020. The decrease primarily reflects a $39 million impairment related to a renewable energy investment.

Money market fee waivers

Given the recent levels of short-term interest rates, money market mutual fund fees and other similar fees are being waived to protect investors from negative returns. The fee waivers have primarily impacted fee revenues in Pershing and Investment Management, but also resulted in lower distribution and servicing expense. The fee waivers also began to impact fee revenues in our other businesses in the second half of 2020. Money market fee waivers are highly sensitive to changes in short-term interest rates and are difficult to predict. Assuming no change in money market balances, we expect to recover over 50% of the pre-tax income related to fee waivers with a 25 basis point increase in the Fed Funds rate and we expect to recover nearly 100% of the pre-tax income related to fee waivers when the Fed Funds rate increases 100 basis points.

BNY Mellon 7

The following table presents the impact of money market fee waivers on our consolidated fee revenue, net of distribution and servicing expense. In the first quarter of 2021, the net impact of money market fee waivers was $188 million, up from $134 million in the fourth quarter of 2020, driven by low short-term interest rates and higher money market balances.

Money market fee waivers
(in millions)1Q214Q201Q20
Investment services fees:
Asset servicing fees$(22)$(13)$— 
Clearing services fees(74)(64)(9)
Issuer services fees(10)(6)— 
Treasury services fees(3)(2)— 
Total investment services fees(109)(85)(9)
Investment management and performance fees(89)(56)(14)
Distribution and servicing revenue(13)(8)— 
Total fee revenue(211)(149)(23)
Less: Distribution and servicing expense23 15 — 
Net impact of money market fee waivers$(188)$(134)$(23)
Impact to revenue by line of business (a):
Asset Servicing$(29)$(13)$— 
Pershing(94)(85)(9)
Issuer Services(15)(10)— 
Treasury Services(9)(5)— 
Investment Management(61)(34)(14)
Wealth Management(3)(2)— 
Total impact to revenue by line of business$(211)$(149)$(23)
(a)    The line of business revenue for management reporting purposes reflects the impact of revenue transferred between the businesses.


We expect the impact from money market fee waivers, net of distribution and servicing expense, to approximate $220 million in the second quarter of 2021, based on implied forward rates and money market balances as of the end of the first quarter of 2021. Fee waivers in subsequent periods will continue to be dependent on the level of short-term interest rates and money market balances.

Investment services fees

Investment services fees increased 1% compared with the first quarter of 2020 and 4% compared with the fourth quarter of 2020, reflecting the following:
•Asset servicing fees increased 3% compared with the first quarter of 2020 and 5% compared with the fourth quarter of 2020. The increase compared with the first quarter of 2020 primarily
reflects higher client volumes and market values, partially offset by higher money market fee waivers. The increase compared with the fourth quarter of 2020 primarily reflects higher client volumes, partially offset by higher money market fee waivers.
•Clearing services fees decreased 3% compared with the first quarter of 2020 and increased 9% compared with the fourth quarter of 2020. The decrease compared with the first quarter of 2020 primarily reflects the impact of money market fee waivers, partially offset by higher market values and client volumes. The increase compared with the fourth quarter of 2020 primarily reflects higher clearance volumes and market values.
•Issuer services fees decreased 7% compared with the first quarter of 2020 and 5% compared with the fourth quarter of 2020. Both decreases primarily reflect higher money market fee waivers in Corporate Trust and lower Depositary Receipts revenue.
•Treasury services fees increased 5% compared with the first quarter of 2020 and 1% compared with the fourth quarter of 2020. The increase compared with the first quarter of 2020 primarily reflects higher payment volumes.

See “Investment Services business” in “Review of businesses” for additional details.

Investment management and performance fees

Investment management and performance fees increased 3% compared with the first quarter of 2020 and 1% compared with the fourth quarter of 2020. Both increases primarily reflect the impact of higher market values and the favorable impact of a weaker U.S. dollar, partially offset by the impact of money market fee waivers. Performance fees were $40 million in the first quarter of 2021, $50 million in the first quarter of 2020 and $45 million in the fourth quarter of 2020. On a constant currency basis (Non-GAAP), investment management and performance fees increased 1% compared with the first quarter of 2020.

AUM was $2.2 trillion at March 31, 2021, an increase of 23% compared with March 31, 2020, primarily reflecting higher market values, the favorable impact of a weaker U.S. dollar (principally versus the British pound) and net inflows.
8 BNY Mellon

See “Investment and Wealth Management business” in “Review of businesses” for additional details regarding the drivers of investment management and performance fees, AUM and AUM flows.

Foreign exchange revenue

Foreign exchange revenue is primarily driven by the volume of client transactions and the spread realized on these transactions, both of which are impacted by market volatility, the impact of foreign currency hedging activities and foreign currency remeasurement gain (loss). In the first quarter of 2021, foreign exchange revenue totaled $231 million, a decrease of 6% compared with the first quarter of 2020 and an increase of 24% compared with the fourth quarter of 2020. The decrease compared with the first quarter of 2020 primarily reflects lower volatility, partially offset by the positive impact of foreign currency hedging. The increase compared with the fourth quarter of 2020 primarily reflects higher volumes. Foreign exchange revenue is primarily reported in the Investment Services business and, to a lesser extent, the Investment and Wealth Management business and the Other segment.

Financing-related fees

Financing-related fees, which are primarily reported in the Investment Services business, include capital market fees, loan commitment fees and credit-related fees. Financing-related fees totaled $51 million in the first quarter of 2021, $59 million in the first quarter of 2020 and $46 million in the fourth quarter of 2020. The decrease compared with the first quarter of 2020 primarily reflects lower underwriting fees. The increase compared with the fourth quarter of 2020 primarily reflects higher underwriting fees.

Investment and other income

Investment and other income includes income or loss from consolidated investment management funds, seed capital gains or losses, other trading revenue or loss, renewable energy investments losses, corporate and bank-owned life insurance contracts, other investment gains or losses, gains or losses from disposals, expense reimbursements from our CIBC Mellon joint venture and other income or loss. The income or loss from consolidated investment management funds should be considered together with the net income or loss attributable to noncontrolling interests, which reflects the portion of
the consolidated funds for which we do not have an economic interest and is reflected below net income as a separate line item on the consolidated income statement. Other trading revenue or loss primarily includes the impact of market-risk hedging activity related to our seed capital investments in investment management funds, non-foreign currency derivative and fixed income trading, and other hedging activity. Investments in renewable energy generate losses in other income that are more than offset by benefits and credits recorded to the provision for income taxes. Other investment gains or losses includes fair value changes of non-readily marketable equity securities, private equity and other investments. Expense reimbursements from our CIBC Mellon joint venture relate to expenses incurred by BNY Mellon on behalf of the CIBC Mellon joint venture. Other income or loss includes various miscellaneous revenues.

The following table provides the components of investment and other income.

Investment and other income (a)
(in millions)1Q214Q201Q20
Income (loss) from consolidated investment management funds$17 $41 $(38)
Seed capital gains (losses) (b)
3 22 (31)
Other trading (loss) revenue(7)(31)66 
Renewable energy investment (losses)(81)(27)(34)
Corporate/bank-owned life insurance33 43 36 
Other investments gains (losses) (c)
11 18 (7)
Disposal (losses)— (61)— 
Expense reimbursements from joint venture23 22 21 
Other income10 16 34 
Total investment and other income$9 $43 $47 
(a)    In the first quarter of 2021, we reclassified certain items within total revenue on the consolidated income statement and reclassified prior periods to be comparable with the current period presentation. See Note 1 of the Notes to Consolidated Financial Statements for additional information.
(b)    Includes gains (losses) on investments in BNY Mellon funds which hedge deferred incentive awards.
(c)    Includes strategic equity, private equity and other investments.


Investment and other income was $9 million in the first quarter of 2021 compared with $47 million in the first quarter of 2020 and $43 million in the fourth quarter of 2020. The decrease compared with the first quarter of 2020 and fourth quarter of 2020 primarily reflects the $39 million impairment related to a renewable energy investment. The decrease compared with the first quarter of 2020 also reflects lower derivative and fixed income trading results and a one-time fee in Pershing recorded in the first quarter of 2020, partially offset by higher investment income
BNY Mellon 9

(from consolidated investment management funds, seed capital and other investments), net of hedging reflected in other trading revenue.

The decrease compared with the fourth quarter of 2020 also reflects lower investment income (from
consolidated investment management funds, seed capital, corporate/bank-owned life insurance and other investments), net of hedging reflected in other trading revenue, partially offset by losses on business sales recorded in the fourth quarter of 2020.


Net interest revenue

Net interest revenue
1Q21 vs.
(dollars in millions)1Q214Q201Q204Q201Q20
Net interest revenue – GAAP
$655 $680 $814 (4)%(20)%
Add: Tax equivalent adjustment3 3 2 N/MN/M
Net interest revenue (FTE) – Non-GAAP (a)
$658 $683 $816 (4)%(19)%
Average interest-earning assets
$397,297 $378,674 $323,936 5 %23 %
Net interest margin – GAAP0.66 %0.72 %1.01 %(6) bps(35) bps
Net interest margin (FTE) – Non-GAAP (a)
0.67 %0.72 %1.01 %(5) bps(34) bps
(a)    Net interest revenue (FTE) – Non-GAAP and net interest margin (FTE) – Non-GAAP include the tax equivalent adjustments on tax-exempt income which allows for comparisons of amounts arising from both taxable and tax-exempt sources and is consistent with industry practice. The adjustment to an FTE basis has no impact on net income.
N/M – Not meaningful.
bps – basis points.


Net interest revenue decreased 20% compared with the first quarter of 2020 and 4% compared with the fourth quarter of 2020. The decrease compared with the first quarter of 2020 primarily reflects lower interest rates on interest-earning assets, partially offset by the benefit of lower deposit and funding rates, higher deposit balances and a larger securities portfolio. The decrease compared with the fourth quarter of 2020 was primarily driven by lower interest rates on interest-earning assets, partially offset by the benefit of lower deposit and funding rates, and higher deposit and loan balances.

Net interest margin decreased 35 basis points compared with the first quarter of 2020 and 6 basis points compared with the fourth quarter of 2020. The decreases primarily reflect the factors mentioned above.

Average interest-earning assets increased 23% compared with the first quarter of 2020 and 5% compared with the fourth quarter of 2020. The increase compared with the first quarter of 2020 primarily reflects higher interest-bearing deposits
with the Federal Reserve and other central banks and a larger securities portfolio. The increase compared with the fourth quarter of 2020 primarily reflects higher interest-bearing deposits with the Federal Reserve and other central banks, interest-bearing deposits with banks (primarily foreign banks) and margin loans.

Average non-U.S. dollar deposits comprised approximately 25% of our average total deposits in the first quarter of 2021. Approximately 40% of the average non-U.S. dollar deposits in the first quarter of 2021 were euro denominated.

Net interest revenue in future periods will depend on the level and mix of client deposits and deposit rates, as well as the level and shape of the yield curve, which may result in lower yields on interest-earning assets.

Due to lower interest rates, net interest revenue has been trending lower and we expect net interest revenue to decrease in 2021 compared with 2020.
10 BNY Mellon

Average balances and interest ratesQuarter ended
March 31, 2021Dec. 31, 2020March 31, 2020
(dollars in millions; average rates annualized)Average
balance		InterestAverage
rates		Average
balance		InterestAverage
rates		Average balanceInterestAverage rates
Assets
Interest-earning assets:
Interest-bearing deposits with the Federal Reserve and other central banks
$125,930 $(16)(0.05)%$112,274 $(13)(0.04)%$80,403 $80 0.39 %
Interest-bearing deposits with banks (primarily foreign banks)
21,313 14 0.27 19,281 16 0.32 17,081 58 1.37 
Federal funds sold and securities purchased under resale agreements (a)
29,186 32 0.44 28,389 40 0.55 34,109 396 4.67 
Margin loans15,891 45 1.14 14,097 43 1.23 12,984 87 2.69 
Non-margin loans:
Domestic offices31,218 157 2.02 30,855 161 2.08 31,720 238 3.02 
Foreign offices9,680 28 1.18 9,776 32 1.31 11,170 71 2.55 
Total non-margin loans40,898 185 1.82 40,631 193 1.90 42,890 309 2.89 
Securities:
U.S. government obligations28,759 101 1.43 27,783 102 1.46 23,175 108 1.87 
U.S. government agency obligations77,623 291 1.50 79,712 311 1.56 69,046 400 2.32 
State and political subdivisions (b)
2,526 12 1.92 2,104 12 2.01 1,033 8 3.06 
Other securities (b)
47,030 58 0.50 46,280 56 0.48 36,375 86 0.95 
Total investment securities (b)
155,938 462 1.19 155,879 481 1.23 129,629 602 1.86 
Trading securities (b)
8,141 19 0.95 8,123 19 0.95 6,840 40 2.36 
Total securities (b)
164,079 481 1.18 164,002 500 1.22 136,469 642 1.88 
Total interest-earning assets (c)
$397,297 $741 0.75 %$378,674 $779 0.82 %$323,936 $1,572 1.95 %
Noninterest-earning assets63,082 58,814 61,342 
Total assets$460,379 $437,488 $385,278 
Liabilities
Interest-bearing liabilities:
Interest-bearing deposits:
Domestic offices$128,543 $(7)(0.02)%$119,012 $(5)(0.02)%$99,915 $170 0.69 %
Foreign offices116,572 (30)(0.10)112,306 (28)(0.10)97,717 70 0.29 
Total interest-bearing deposits245,115 (37)(0.06)231,318 (33)(0.06)197,632 240 0.49 
Federal funds purchased and securities sold under repurchase agreements (a)
15,288 (3)(0.07)14,452 1 0.01 13,919 275 7.96 
Trading liabilities2,227 3 0.53 2,408 4 0.72 1,626 7 1.61 
Other borrowed funds331 2 2.01 338 2 1.71 719 4 2.27 
Commercial paper— — — 275 — 0.10 1,581 6 1.56 
Payables to customers and broker-dealers17,691 (1)(0.01)17,521 (1)(0.01)16,386 30 0.73 
Long-term debt26,199 119 1.81 25,704 123 1.88 27,231 194 2.83 
Total interest-bearing liabilities$306,851 $83 0.11 %$292,016 $96 0.13 %$259,094 $756 1.17 %
Total noninterest-bearing deposits83,429 75,840 60,577 
Other noninterest-bearing liabilities24,556 23,783 24,229 
Total liabilities414,836 391,639 343,900 
Temporary equity
Redeemable noncontrolling interests85 74 66 
Permanent equity
Total The Bank of New York Mellon Corporation shareholders’ equity
45,261 45,539 41,206 
Noncontrolling interests197 236 106 
Total permanent equity45,458 45,775 41,312 
Total liabilities, temporary equity and permanent equity
$460,379 $437,488 $385,278 
Net interest revenue (FTE) – Non-GAAP (c)
$658 $683 $816 
Net interest margin (FTE) – Non-GAAP (b)(c)
0.67 %0.72 %1.01 %
Less: Tax equivalent adjustment (b)
3 3 2 
Net interest revenue – GAAP$655 $680 $814 
Net interest margin – GAAP0.66 %0.72 %1.01 %
(a)    Includes the average impact of offsetting under enforceable netting agreements of approximately $37 billion for the first quarter of 2021, $41 billion for the fourth quarter of 2020 and $80 billion for the first quarter of 2020. On a Non-GAAP basis, excluding the impact of offsetting, the yield on federal funds sold and securities purchased under resale agreements would have been 0.19% for the first quarter of 2021, 0.23% for the fourth quarter of 2020 and 1.39% for the first quarter of 2020. On a Non-GAAP basis, excluding the impact of offsetting, the rate on federal funds purchased and securities sold under repurchase agreements would have been (0.02)% for the first quarter of 2021, 0.00% for the fourth quarter of 2020 and 1.18% for the first quarter of 2020. We believe providing the rates excluding the impact of netting is useful to investors as it is more reflective of the actual rates earned and paid.
(b)    Average rates were calculated on an FTE basis, at tax rates of approximately 21%.
(c)    See “Net interest revenue” on page 10 for the reconciliation of this Non-GAAP measure.
BNY Mellon 11

Noninterest expense

Noninterest expense
1Q21 vs.
(dollars in millions)1Q214Q201Q204Q201Q20
Staff$1,602 $1,554 $1,482 3 %8 %
Software and equipment362 359 326 1 11 
Professional, legal and other purchased services 343 381 330 (10)4 
Sub-custodian and clearing124 116 105 7 18 
Net occupancy123 173 135 (29)(9)
Distribution and servicing74 75 91 (1)(19)
Bank assessment charges 34 24 35 42 (3)
Amortization of intangible assets24 26 26 (8)(8)
Business development19 26 42 (27)(55)
Other146 191 140 (24)4 
Total noninterest expense$2,851 $2,925 $2,712 (3)%5 %
Full-time employees at period end48,000 48,500 47,900 (1)%— %


Total noninterest expense increased 5% compared with the first quarter of 2020 and decreased 3% compared with the fourth quarter of 2020. The increase compared with the first quarter of 2020 primarily reflects higher staff expense, the unfavorable impact of a weaker U.S. dollar and higher technology-related expenses, partially offset by lower business development (travel and marketing) and distribution and servicing expenses. Staff expense includes the impact of an incentive reversal in the first quarter of 2020, the impact of a higher share price on share-based awards and increased expense for awards to retirement eligible employees. The technology-related expenses are included in staff, software and equipment, and professional, legal and other purchased services expenses. The decrease compared with the fourth quarter of 2020 primarily reflects lower severance, litigation and professional, legal and other purchased services expenses and real estate charges recorded in the fourth quarter of 2020, partially offset by higher other staff expense.

As we continue to manage overall expenses, we expect total reported noninterest expense to increase slightly for the full-year 2021 compared to 2020. This includes an unfavorable impact of foreign exchange rates which is expected to offset the impact of 2020 notable items, which were litigation expense, severance and real estate charges. Expenses could be impacted if foreign exchange rates change from March 31, 2021 levels, revenue-related or volume-related expenses increase or there are unexpected charges or expenses.

Income taxes

BNY Mellon recorded an income tax provision of $221 million (19.2% effective tax rate) in the first quarter of 2021, $265 million (21.6% effective tax rate) in the first quarter of 2020 and $148 million (16.4% effective tax rate) in the fourth quarter of 2020. For additional information, see Note 10 of the Notes to Consolidated Financial Statements.

12 BNY Mellon

Review of businesses

We have an internal information system that produces performance data along product and service lines for our two principal businesses, Investment Services and Investment and Wealth Management, and the Other segment.

Business accounting principles

Our business data has been determined on an internal management basis of accounting, rather than the generally accepted accounting principles (“GAAP”) used for consolidated financial reporting. These measurement principles are designed so that reported results of the businesses will track their economic performance.

For information on the accounting principles of our businesses, see Note 18 of the Notes to Consolidated Financial Statements. For information on the primary products and services in each line of business, the primary types of revenue by business and how our businesses are presented and analyzed, see Note 24 of the Notes to Consolidated Financial Statements in our 2020 Annual Report.

Business results are subject to reclassification when organizational changes are made, or for refinements in revenue and expense allocation methodologies. Refinements are typically reflected on a prospective basis. There were no reclassification or organization changes in the first quarter of 2021.

The results of our businesses may be influenced by client and other activities that vary by quarter. In the first quarter, staff expense typically increases reflecting the vesting of long-term stock awards for retirement-eligible employees. In the third quarter, Depositary Receipts revenue is typically higher due to an increased level of client dividend payments. Also in the third quarter, volume-related fees may decline
due to reduced client activity, and staff expense typically increases reflecting the annual employee merit increase. In the fourth quarter, we typically incur higher business development and marketing expenses; however, 2020 was an exception given the impact of the coronavirus pandemic. In our Investment and Wealth Management business, performance fees are typically higher in the fourth and first quarters, as those quarters represent the end of the measurement period for many of the performance fee-eligible relationships.

The results of our businesses may also be impacted by the translation of financial results denominated in foreign currencies to the U.S. dollar. We are primarily impacted by activities denominated in the British pound and the euro. On a consolidated basis and in our Investment Services business, we typically have more foreign currency-denominated expenses than revenues. However, our Investment and Wealth Management business typically has more foreign currency-denominated revenues than expenses. Overall, currency fluctuations impact the year-over-year growth rate in the Investment and Wealth Management business more than the Investment Services business. However, currency fluctuations, in isolation, are not expected to significantly impact net income on a consolidated basis.

Fee revenue in Investment and Wealth Management, and to a lesser extent in Investment Services, is impacted by the value of market indices. At March 31, 2021, we estimated that a 5% change in global equity markets, spread evenly throughout the year, would impact fee revenue by less than 1% and diluted earnings per common share by $0.03 to $0.06.

See Note 18 of the Notes to Consolidated Financial Statements for the consolidating schedules which show the contribution of our businesses to our overall profitability.
BNY Mellon 13

Investment Services business

(dollars in millions)1Q21 vs.
1Q214Q203Q202Q201Q204Q201Q20
Revenue:
Investment services fees:
Asset servicing fees (a)
$1,191 $1,130 $1,156 $1,164 $1,147 5 %4 %
Clearing services fees (b)
455 418 397 431 470 9 (3)
Issuer services fees245 257 295 277 263 (5)(7)
Treasury services fees157 156 152 144 149 1 5 
Total investment services fees2,048 1,961 2,000 2,016 2,029 4 1 
Foreign exchange revenue (c)
193 163 126 164 228 18 (15)
Other (c)(d)
104 111 120 159 179 (6)(42)
Total fee and other revenue2,345 2,235 2,246 2,339 2,436 5 (4)
Net interest revenue645 670 681 768 806 (4)(20)
Total revenue2,990 2,905 2,927 3,107 3,242 3 (8)
Provision for credit losses(79)31 (10)145 149 N/MN/M
Noninterest expense (excluding amortization of
intangible assets)
2,084 2,157 2,002 1,971 1,969 (3)6 
Amortization of intangible assets17 17 18 18 18 — (6)
Total noninterest expense2,101 2,174 2,020 1,989 1,987 (3)6 
Income before income taxes$968 $700 $917 $973 $1,106 38 %(12)%
Pre-tax operating margin32 %24 %31 %31 %34 %
Securities lending revenue$41 $36 $37 $51 $46 14 %(11)%
Total revenue by line of business:
Asset Servicing$1,424 $1,357 $1,354 $1,463 $1,531 5 %(7)%
Pershing605 563 538 578 653 7 (7)
Issuer Services363 385 435 431 419 (6)(13)
Treasury Services317 325 323 340 339 (2)(6)
Clearance and Collateral Management281 275 277 295 300 2 (6)
Total revenue by line of business$2,990 $2,905 $2,927 $3,107 $3,242 3 %(8)%
Average balances:
Average loans$43,468 $41,437 $40,308 $43,113 $41,789 5 %4 %
Average deposits$315,088 $292,631 $263,621 $268,467 $242,187 8 %30 %
(a)    Asset servicing fees include the fees from the Clearance and Collateral Management business.
(b)    Clearing services fees are almost entirely earned by our Pershing business.
(c)    In the first quarter of 2021, we reclassified certain items within total revenue on the consolidated income statement and reclassified prior periods to be comparable with the current period presentation. See Note 1 of the Notes to Consolidated Financial Statements for additional information.
(d)    Other revenue includes investment management and performance fees, financing-related fees, distribution and servicing revenue, securities gains and losses and investment and other income.
N/M – Not meaningful.
14 BNY Mellon

Investment Services business metrics1Q21 vs.
(dollars in millions, unless otherwise noted)1Q214Q203Q202Q201Q204Q201Q20
AUC/A at period end (in trillions) (a)
$41.7 $41.1 $38.6 $37.3 $35.2 1 %18 %
Market value of securities on loan at period end (in billions) (b)
$445 $435 $378 $384 $389 2 %14 %
Pershing:
Net new assets (U.S. platform) (in billions) (c)
$28 $28 $12 $11 $31 N/MN/M
Average active clearing accounts (U.S. platform) (in thousands)
6,757 6,635 6,556 6,507 6,437 2 %5 %
Average long-term mutual fund assets (U.S. platform)$678,556 $630,086 $597,312 $547,579 $549,206 8 %24 %
Average investor margin loans (U.S. platform)$10,937 $10,097 $9,350 $9,235 $9,419 8 %16 %
Clearance and Collateral Management:
Average tri-party collateral management balances (in billions)
$3,638 $3,555 $3,417 $3,573 $3,724 2 %(2)%
(a)    Consists of AUC/A primarily from the Asset Servicing business and, to a lesser extent, the Clearance and Collateral Management, Issuer Services, Pershing and Wealth Management businesses. Includes the AUC/A of CIBC Mellon of $1.6 trillion at March 31, 2021, $1.5 trillion at Dec. 31, 2020, $1.4 trillion at Sept. 30, 2020, $1.3 trillion at June 30, 2020 and $1.2 trillion at March 31, 2020.
(b)    Represents the total amount of securities on loan in our agency securities lending program managed by the Investment Services business. Excludes securities for which BNY Mellon acts as agent on behalf of CIBC Mellon clients, which totaled $64 billion at March 31, 2021, $68 billion at Dec. 31, 2020, $62 billion at Sept. 30, 2020 and June 30, 2020 and $59 billion at March 31, 2020.
(c)    Net new assets represent net flows of assets excluding dividends and interest (e.g., net cash deposits and net securities transfers) in customer accounts in Pershing LLC, a U.S. broker-dealer.
N/M – Not meaningful.


Business description

BNY Mellon Investment Services provides business services and technology solutions to entities including financial institutions, corporations, foundations and endowments, public funds and government agencies. Our lines of business include: Asset Servicing, Pershing, Issuer Services, Treasury Services and Clearance and Collateral Management. For information on the drivers of the Investment Services fee revenue, see Note 10 of the Notes to Consolidated Financial Statements in our 2020 Annual Report.

We are one of the leading global investment services providers with $41.7 trillion of AUC/A at March 31, 2021.

The Asset Servicing business provides a comprehensive suite of solutions. As one of the largest global custody and fund accounting providers and a trusted partner, we offer services for the safekeeping of assets in capital markets globally as well as alternative investment and structured product strategies. We provide custody and foreign exchange services, support exchange-traded funds and unit investment trusts and provide our clients outsourcing capabilities. Our robust digital and data offerings enable us to provide fully integrated technology solutions for our clients. We deliver securities lending and financing solutions on both an agency and principal basis. Our agency securities lending program is one of the largest lenders of U.S. and non-U.S. securities, servicing a lendable asset pool of
approximately $4.7 trillion in 34 separate markets. Our market-leading liquidity services portal enables cash investments for institutional clients and includes fund research and analytics.

Pershing provides execution, clearing, custody, business and technology solutions, delivering dependable operational support to broker-dealers, wealth managers and registered investment advisors (“RIAs”) globally.

The Issuer Services business includes Corporate Trust and Depositary Receipts. Our Corporate Trust business delivers a full range of issuer and related investor services, including trustee, paying agency, fiduciary, escrow and other financial services. We are a leading provider to the debt capital markets, providing customized and market-driven solutions to investors, bondholders and lenders. Our Depositary Receipts business drives global investing by providing servicing and value-added solutions that enable, facilitate and enhance cross-border trading, clearing, settlement and ownership. We are one of the largest providers of depositary receipts services in the world, partnering with leading companies from more than 50 countries.

Our Treasury Services business is a leading provider of payments, liquidity management and trade finance services for financial institutions, corporations and the public sector.

BNY Mellon 15

Our Clearance and Collateral Management business clears and settles equity and fixed-income transactions globally and serves as custodian for tri-party repo collateral worldwide. We are the primary provider of U.S. government securities clearance and a provider of non-U.S. government securities clearance. Our collateral services include collateral management, administration and segregation. We offer innovative solutions and industry expertise which help financial institutions and institutional investors with their liquidity, financing, risk and balance sheet challenges. We are a leading provider of tri-party collateral management services with an average of $3.6 trillion serviced globally, including approximately $2.5 trillion of the U.S. tri-party repo market at March 31, 2021.

Review of financial results

AUC/A of $41.7 trillion increased 18% compared with March 31, 2020, primarily reflecting higher market values, net new business and the favorable impact of a weaker U.S. dollar. AUC/A consisted of 38% equity securities and 62% fixed-income securities at March 31, 2021 and 31% equity securities and 69% fixed-income securities at March 31, 2020.

Total revenue of $3.0 billion decreased 8% compared with the first quarter of 2020 and increased 3% compared with the fourth quarter of 2020. The drivers of total revenue by line of business are indicated below.

Asset Servicing revenue of $1.4 billion decreased 7% compared with the first quarter of 2020 and increased 5% compared with the fourth quarter of 2020. The decrease compared with the first quarter of 2020 primarily reflects lower interest rates and foreign exchange revenue and higher money market fee waivers, partially offset by higher client volumes and market values. The increase compared with the fourth quarter of 2020 primarily reflects higher client and foreign exchange volumes, partially offset by higher money market fee waivers.

Pershing revenue of $605 million decreased 7% compared with the first quarter of 2020 and increased 7% compared with the fourth quarter of 2020. The decrease compared with the first quarter of 2020
primarily reflects the impact of money market fee waivers and a one-time fee recorded in the first quarter of 2020, partially offset by higher market values and client volumes. The increase compared with the fourth quarter of 2020 primarily reflects higher clearance volumes and market values.

Issuer Services revenue of $363 million decreased 13% compared with the first quarter of 2020 and 6% compared with the fourth quarter of 2020. Both decreases primarily reflect lower interest rates and higher money market fee waivers in Corporate Trust and lower Depositary Receipts revenue.

Treasury Services revenue of $317 million decreased 6% compared with the first quarter of 2020 and 2% compared with the fourth quarter of 2020. Both decreases primarily reflect lower interest rates and higher money market fee waivers. The decrease compared with the first quarter of 2020 was partially offset by higher payment volumes and deposit levels.

Clearance and Collateral Management revenue of $281 million decreased 6% compared with the first quarter of 2020 and increased 2% compared with the fourth quarter of 2020. The decrease compared with the first quarter of 2020 primarily reflects lower interest rates and intraday credit fees. The increase compared with the fourth quarter of 2020 primarily reflects higher clearance volumes.

Market and regulatory trends are driving investable assets toward lower fee asset management products at reduced margins for our clients. These dynamics are also negatively impacting our investment services fees. However, at the same time, these trends are providing additional outsourcing opportunities as clients and other market participants seek to comply with regulations and reduce their operating costs.

Noninterest expense of $2.1 billion increased 6% compared with the first quarter of 2020 and decreased 3% compared with the fourth quarter of 2020. The increase compared with the first quarter of 2020 was primarily driven by technology-related expense, higher staff, volume-related and litigation expenses and the unfavorable impact of a weaker U.S. dollar. The decrease compared with the fourth quarter of 2020 primarily reflects lower litigation and severance expenses.
16 BNY Mellon

Investment and Wealth Management business

1Q21 vs.
(dollars in millions)1Q214Q203Q202Q201Q204Q201Q20
Revenue:
Investment management fees (a)
$850 $839 $828 $782 $812 1 %5 %
Performance fees40 45 7 5 50 N/M(20)
Investment management and performance fees (b)
890 884 835 787 862 1 3 
Distribution and servicing28 29 31 34 43 (3)(35)
Other (a)
25 27 5 17 (59)N/MN/M
Total fee and other revenue (a)
943 940 871 838 846 — 11 
Net interest revenue48 50 47 48 52 (4)(8)
Total revenue991 990 918 886 898 — 10 
Provision for credit losses4 (8)12 7 9 N/MN/M
Noninterest expense (excluding amortization of intangible assets)702 678 653 650 687 4 2 
Amortization of intangible assets7 9 8 8 8 (22)(13)
Total noninterest expense709 687 661 658 695 3 2 
Income before income taxes$278 $311 $245 $221 $194 (11)%43 %
Pre-tax operating margin28 %32 %27 %25 %22 %
Adjusted pre-tax operating margin – Non-GAAP (c)
30 %34 %29 %28 %24 %
Total revenue by line of business:
Investment Management$698 $714 $641 $621 $620 (2)%13 %
Wealth Management293 276 277 265 278 6 5 
Total revenue by line of business$991 $990 $918 $886 $898 — %10 %
Average balances:
Average loans$11,610 $11,497 $11,503 $11,791 $12,124 1 %(4)%
Average deposits$19,177 $18,144 $17,570 $17,491 $16,144 6 %19 %
(a)    Total fee and other revenue includes the impact of the consolidated investment management funds, net of noncontrolling interests. Additionally, other revenue includes asset servicing fees, treasury services fees, foreign exchange revenue and investment and other income.
(b)    On a constant currency basis, investment management and performance fees increased 1% (Non-GAAP) compared with the first quarter of 2020. See “Supplemental information – Explanation of GAAP and Non-GAAP financial measures” beginning on page 42 for the reconciliation of this Non-GAAP measure.
(c)    Net of distribution and servicing expense. See “Supplemental information – Explanation of GAAP and Non-GAAP financial measures” beginning on page 42.
N/M – Not meaningful.


BNY Mellon 17

AUM trends1Q21 vs.
(dollars in billions)1Q214Q203Q202Q201Q204Q201Q20
AUM at period end, by product type: (a)
Equity $173 $170 $149 $141 $120 2 %44 %
Fixed income 261 259 241 224 211 1 24 
Index 419 393 350 333 274 7 53 
Liability-driven investments802 855 788 752 705 (6)14 
Multi-asset and alternative investments 214 209 193 185 171 2 25 
Cash345 325 320 326 315 6 10 
Total AUM by product type$2,214 $2,211 $2,041 $1,961 $1,796 — %23 %
Changes in AUM: (a)
Beginning balance of AUM$2,211 $2,041 $1,961 $1,796 $1,910 
Net inflows (outflows):
Long-term strategies:
Equity— (2)(4)(2)(2)
Fixed income8 5 1 4 — 
Liability-driven investments8 15 14 (2)(5)
Multi-asset and alternative investments(2)— (3)— (1)
Total long-term active strategies inflows (outflows) 14 18 8 — (8)
Index3 (3)(3)9 3 
Total long-term strategies inflows (outflows)17 15 5 9 (5)
Short-term strategies:
Cash19 5 (10)11 43 
Total net inflows (outflows)36 20 (5)20 38 
Net market impact(36)93 41 143 (91)
Net currency impact3 57 44 2 (61)
Ending balance of AUM$2,214 $2,211 $2,041 $1,961 $1,796 — %23 %
Wealth Management client assets (b)
$292 $286 $265 $254 $236 2 %24 %
(a)    Excludes securities lending cash management assets and assets managed in the Investment Services business.
(b)    Includes AUM and AUC/A in the Wealth Management business.


Business description

Our Investment and Wealth Management business consists of two distinct lines of business, Investment Management and Wealth Management. Our investment firms deliver a highly diversified portfolio of investment strategies independently, and through our global distribution network, to institutional and retail clients globally. BNY Mellon Wealth Management provides investment management, custody, wealth and estate planning, private banking services, investment servicing and information management. See pages 19 and 20 of our 2020 Annual Report for additional information on our Investment and Wealth Management business.

Review of financial results

AUM increased 23% compared with March 31, 2020 primarily reflecting higher market values, the favorable impact of a weaker U.S. dollar (principally versus the British pound) and net inflows.

Net long-term strategy inflows were $17 billion in the first quarter of 2021, driven by fixed income and liability-driven investments. Short-term strategy inflows were $19 billion in the first quarter of 2021. Market and regulatory trends have resulted in increased demand for lower fee asset management products and for performance-based fees.

Total revenue of $991 million increased 10% compared with the first quarter of 2020 and increased slightly compared with the fourth quarter of 2020.

Investment Management revenue of $698 million increased 13% compared with the first quarter of 2020 and decreased 2% compared with the fourth quarter of 2020. The increase compared with the first quarter of 2020 primarily reflects the impact of higher market values, equity investment gains, including seed capital, and the favorable impact of a weaker U.S. dollar, partially offset by the impact of money market fee waivers. The decrease compared with the fourth quarter of 2020 primarily reflects the impact of money market fee waivers and lower equity
18 BNY Mellon

investment gains, including seed capital, partially offset by higher market values and the favorable impact of a weaker U.S. dollar.

Wealth Management revenue of $293 million increased 5% compared with the first quarter of 2020 and 6% compared with the fourth quarter of 2020. Both increases reflect the impact of higher market values. The increase compared with the fourth quarter of 2020 also reflects a loss on a business sale recorded in the fourth quarter of 2020.

Revenue generated in the Investment and Wealth Management business included 38% from non-U.S.
sources in the first quarter of 2021, compared with 42% in the first quarter of 2020 and 41% in the fourth quarter of 2020.

Noninterest expense of $709 million increased 2% compared with the first quarter of 2020 and 3% compared with the fourth quarter of 2020. The increase compared with the first quarter of 2020 primarily reflects higher staff expense and the unfavorable impact of a weaker dollar, partially offset by lower distribution and servicing and other expenses. The increase compared with the fourth quarter of 2020 primarily reflects timing of other staff expense, partially offset by lower severance expense.

Other segment

(in millions)1Q214Q203Q202Q201Q20
Fee revenue (a)
$9 $11 $7 $10 $6 
Other revenue (a)
(36)(28)13 28 24 
Total fee and other revenue (27)(17)20 38 30 
Net interest (expense)(38)(40)(25)(36)(44)
Total revenue(65)(57)(5)2 (14)
Provision for credit losses(8)(8)7 (9)11 
Noninterest expense
41 64 — 39 30 
(Loss) before income taxes$(98)$(113)$(12)$(28)$(55)
Average loans and leases$1,711 $1,794 $1,805 $1,815 $1,961 
(a)    In the first quarter of 2021, we reclassified certain items within total revenue on the consolidated income statement and reclassified prior periods to be comparable with the current period presentation. See Note 1 of the Notes to Consolidated Financial Statements for additional information.


See page 21 of our 2020 Annual Report for additional information on the Other segment.

Review of financial results

Total revenue includes corporate treasury and other investment activity, including hedging activity which offsets between fee and other revenue and net interest expense.

Other revenue decreased $60 million compared with the first quarter of 2020 and $8 million compared with the fourth quarter of 2020. Both decreases
primarily reflect an impairment of a renewable energy investment. The decrease compared with the fourth quarter of 2020 was partially offset by a loss on a sale of a business recorded in the fourth quarter of 2020.

Noninterest expense increased $11 million compared with the first quarter of 2020, primarily reflecting higher staff expense. Noninterest expense decreased $23 million compared with the fourth quarter of 2020, primarily reflecting real estate charges and severance expense both recorded in the fourth quarter of 2020, partially offset by higher other staff expense.

BNY Mellon 19

Critical accounting estimates

Our significant accounting policies are described in Note 1 of the Notes to Consolidated Financial Statements in our 2020 Annual Report. Our critical accounting estimates are those related to the allowance for credit losses, fair value of financial instruments and derivatives, goodwill and other intangibles and litigation and regulatory contingencies, as referenced below.

Critical accounting estimates
Reference
Allowance for credit losses2020 Annual Report, pages 24-26, and “Allowance for credit losses.”
Fair value of financial instruments and derivatives2020 Annual Report, pages 26-28.
Goodwill and other intangibles2020 Annual Report, pages 28-29.
Litigation and regulatory contingencies“Legal proceedings” in Note 17 of the Notes to Consolidated Financial Statements.


Consolidated balance sheet review

One of our key risk management objectives is to maintain a balance sheet that remains strong throughout market cycles to meet the expectations of our major stakeholders, including our shareholders, clients, creditors and regulators.

We also seek to undertake overall liquidity risk, including intraday liquidity risk, that stays within our risk appetite. The objective of our balance sheet management strategy is to maintain a balance sheet that is characterized by strong liquidity and asset quality, ready access to external funding sources at competitive rates and a strong capital structure that supports our risk-taking activities and is adequate to absorb potential losses. In managing the balance sheet, appropriate consideration is given to balancing the competing needs of maintaining sufficient levels of liquidity and complying with applicable regulations and supervisory expectations while optimizing profitability.

At March 31, 2021, total assets were $465 billion, compared with $470 billion at Dec. 31, 2020. The decrease in total assets was primarily driven by lower interest-bearing deposits with the Federal Reserve and other central banks. Deposits totaled $337 billion at March 31, 2021, compared with $342 billion at
Dec. 31, 2020. The decrease reflects lower interest-bearing deposits in non-U.S. offices, partially offset by higher noninterest-bearing deposits (principally U.S. offices). Total interest-bearing deposits as a percentage of total interest-earning assets were 60% at March 31, 2021 and 63% at Dec. 31, 2020.

At March 31, 2021, available funds totaled $184 billion, which include cash and due from banks, interest-bearing deposits with the Federal Reserve and other central banks, interest-bearing deposits with banks and federal funds sold and securities purchased under resale agreements. This compares with available funds of $196 billion at Dec. 31, 2020. Total available funds as a percentage of total assets were 39% at March 31, 2021 and 42% at Dec. 31, 2020. For additional information on our available funds, see “Liquidity and dividends.”

Securities were $155.8 billion, or 34% of total assets, at March 31, 2021, compared with $156.4 billion, or 33% of total assets, at Dec. 31, 2020. The decrease primarily reflects lower agency residential mortgage-backed securities (“RMBS”), foreign government agency, and U.S. government agency securities and a decrease in unrealized pre-tax gain, partially offset by increases in U.S. treasury and sovereign debt/sovereign guaranteed securities. For additional information on our securities portfolio, see “Securities” and Note 3 of the Notes to Consolidated Financial Statements.

Loans were $60.7 billion, or 13% of total assets, at March 31, 2021, compared with $56.5 billion, or 12% of total assets, at Dec. 31, 2020. The increase was primarily driven by higher margin loans and overdrafts. For additional information on our loan portfolio, see “Loans” and Note 4 of the Notes to Consolidated Financial Statements.

Long-term debt totaled $25.4 billion at March 31, 2021 and $26.0 billion at Dec. 31, 2020. A redemption, maturity and a decrease in the fair value of hedged long-term debt were partially offset by issuances. For additional information on long-term debt, see “Liquidity and dividends.”

The Bank of New York Mellon Corporation total shareholders’ equity decreased to $45.0 billion at March 31, 2021 from $45.8 billion at Dec. 31, 2020. For additional information, see “Capital.”

20 BNY Mellon

Country risk exposure

The following table presents BNY Mellon’s top 10 exposures by country (excluding the U.S.) as of March 31, 2021, as well as certain countries with higher risk profiles, and is presented on an internal risk management basis. We monitor our exposure to these and other countries as part of our internal country risk management process.

The country risk exposure below reflects the Company’s risk to an immediate default of the counterparty or obligor based on the country of residence of the entity which incurs the liability. If there is credit risk mitigation, the country of residence of the entity providing the risk mitigation is the country of risk. The country of risk for securities is generally based on the domicile of the issuer of the security.

Country risk exposure at March 31, 2021
Interest-bearing depositsTotal exposure
(in billions)Central banksBanks
Lending (a)
Securities (b)
Other (c)
Top 10 country exposure:
United Kingdom (“UK”)$17.6 $0.4 $1.3 $3.5 $2.8 $25.6 
Germany17.6 0.7 0.7 4.3 0.5 23.8 
Japan18.4 1.0 — 0.6 0.1 20.1 
Belgium8.6 0.9 0.1 0.2 — 9.8 
Canada— 3.9 0.1 3.7 0.9 8.6 
Netherlands4.3 0.1 0.2 1.9 0.1 6.6 
Luxembourg2.4 0.1 0.2 0.1 2.3 5.1 
China— 2.5 1.7 — 0.1 4.3 
Ireland1.70.30.30.21.84.3
Australia— 2.5 0.3 0.9 0.3 4.0 
Total Top 10 country exposure$70.6 $12.4 $4.9 $15.4 $8.9 $112.2 (d)
Select country exposure:
Italy$0.1 $0.3 $— $1.8 $— $2.2 
Brazil— — 1.0 0.1 0.1 1.2 
Total select country exposure$0.1 $0.3 $1.0 $1.9 $0.1 $3.4 
(a)    Lending includes loans, acceptances, issued letters of credit, net of participations, and lending-related commitments.
(b)    Securities include both the available-for-sale and held-to-maturity portfolios.
(c)    Other exposures include over-the-counter (“OTC”) derivative and securities financing transactions, net of collateral.
(d)    The top 10 country exposures comprise approximately 75% of our total non-U.S. exposure.


Events in recent years have resulted in increased focus on Italy and Brazil. The country risk exposure to Italy primarily consists of investment grade sovereign debt. The country risk exposure to Brazil is primarily short-term trade finance loans extended to large financial institutions. We also have operations in Brazil providing investment services and investment management services.


Securities

In the discussion of our securities portfolio, we have included certain credit ratings information because the information can indicate the degree of credit risk to which we are exposed. Significant changes in ratings classifications could indicate increased credit risk for us and could be accompanied by an increase in the allowance for credit losses and/or a reduction in the fair value of our securities portfolio.
BNY Mellon 21

The following table shows the distribution of our total securities portfolio.

Securities portfolio
Dec. 31, 2020
1Q21
change in
unrealized
gain (loss)
March 31, 2021
Fair value as a % of amortized
cost (a)
Unrealized
gain (loss)
% Floating
rate (b)
Ratings (c)
BBB+/
BBB-		BB+
and
lower		A1+/A2 & SP-1
(dollars in millions)Fair
value
Amortized
cost (a)
Fair
value		AAA/
AA-		A+/
A-		Not
rated
Agency RMBS$61,740 $(742)$58,107 $58,831 101 %$724 14 %100 %— %— %— %— %— %
U.S. Treasury26,958 (280)30,412 30,595 101 183 55 100 — — — — — 
Sovereign debt/sovereign guaranteed (d)
13,452 (83)14,454 14,571 101 117 16 73 5 21 1 — — 
Agency commercial mortgage-backed securities (“MBS”)11,685 (175)11,484 11,730 102 246 33 100 — — — — — 
Supranational7,208 (31)7,469 7,505 100 36 56 100 — — — — — 
Foreign covered bonds (e)
6,725 (16)6,491 6,542 101 51 34 100 — — — — — 
U.S. government agencies6,577 (110)5,498 5,469 99 (29)25 100 — — — — — 
Collateralized loan obligations (“CLOs”)4,703 6 4,751 4,754 100 3 100 99 — — — — 1 
Non-agency commercial MBS2,992 (87)2,907 2,948 101 41 24 99 1 — — — — 
Foreign government agencies (f)
4,132 (27)2,678 2,697 101 19 14 92 8 — — — — 
State and political subdivisions2,324 (55)2,665 2,649 99 (16)— 74 8 1 — 17 — 
Other asset-backed securities (“ABS”)3,164 (18)2,617 2,628 100 11 19 100 — — — — — 
Non-agency RMBS (g)
2,387 (7)2,365 2,509 106 144 53 71 4 1 13 — 11 
Corporate bonds1,994 (100)2,289 2,238 98 (51)— 15 68 17 — — — 
Commercial paper/certificates of deposit (“CDs”)249 — — — — — — — — — — — — 
Other1 — 1 1 100 — — — — — — — 100 
Total securities$156,291 (h)$(1,725)$154,188 $155,667 (h)101 %$1,479 (h)(i)30 %95 %2 %3 %— %— %— %
(a)    Amortized cost reflects historical impairments, and is net of the allowance for credit losses.
(b)    Includes the impact of hedges.
(c)    Represents ratings by Standard & Poor’s (“S&P”) or the equivalent.
(d)    Primarily consists of exposure to Germany, France, Italy, Spain, UK and Singapore.
(e)    Primarily consists of exposure to Canada, UK, Australia and Norway.
(f)    Primarily consists of exposure to the Netherlands, Canada, France and Sweden.
(g)    Includes RMBS that were included in the former Grantor Trust of $487 million at Dec. 31, 2020 and $451 million at March 31, 2021.
(h)    Includes net unrealized losses on derivatives hedging securities available-for-sale (including terminated hedges) of $1,428 million at Dec. 31, 2020 and $634 million at March 31, 2021.
(i)    Includes unrealized gains of $1,022 million at March 31, 2021 related to available-for-sale securities, net of hedges, and $457 million related to held-to-maturity securities.


The fair value of our securities portfolio, including related hedges, was $155.7 billion at March 31, 2021, compared with $156.3 billion at Dec. 31, 2020. The decrease primarily reflects lower agency RMBS, foreign government agency, and U.S. government agency securities and a decrease in unrealized pre-tax gain, partially offset by increases in U.S. treasury and sovereign debt/sovereign guaranteed securities.

At March 31, 2021, the securities portfolio had a net unrealized gain, including the impact of related hedges, of $1.5 billion, compared with $3.2 billion at Dec. 31, 2020. The decrease in the net unrealized gain was primarily driven by higher market interest rates.

The fair value of the available-for-sale securities totaled $107.2 billion at March 31, 2021, net of hedges, or 69% of the securities portfolio, net of hedges. The fair value of the held-to-maturity
securities totaled $48.5 billion at March 31, 2021, or 31% of the securities portfolio, net of hedges.

The unrealized gain (after-tax) on our available-for-sale securities portfolio, net of hedges, included in accumulated other comprehensive income was $776 million at March 31, 2021, compared with $1.5 billion at Dec. 31, 2020. The decrease in the unrealized gain, net of tax, was primarily driven by higher market interest rates.

At March 31, 2021, 95% of the securities in our portfolio were rated AAA/AA-, unchanged compared with Dec. 31, 2020.

See Note 3 of the Notes to Consolidated Financial Statements for the pre-tax net securities gains (losses) by security type. See Note 14 of the Notes to Consolidated Financial Statements for securities by level in the fair value hierarchy.
22 BNY Mellon

The following table presents the amortizable purchase premium (net of discount) related to the securities portfolio and accretable discount related to the 2009 restructuring of the securities portfolio.

Net premium amortization and discount accretion of securities (a)
(dollars in millions)1Q214Q203Q202Q201Q20
Amortizable purchase premium (net of discount) relating to securities:
Balance at period-end$2,195 $2,283 $2,050 $1,693 $1,555 
Estimated average life remaining at period-end (in years)
4.3 3.9 3.8 3.7 3.8 
Amortization$189 $181 $161 $125 $101 
Accretable discount related to the prior restructuring of the securities portfolio:
Balance at period-end$121 $130 $133 $145 $159 
Estimated average life remaining at period-end (in years)
5.9 5.6 5.7 5.8 6.1 
Accretion$12 $8 $9 $10 $11 
(a)    Amortization of purchase premium decreases net interest revenue while accretion of discount increases net interest revenue. Both were recorded on a level yield basis.


Loans 

Total exposure – consolidatedMarch 31, 2021Dec. 31, 2020
(in billions)LoansUnfunded
commitments		Total
exposure		LoansUnfunded
commitments		Total
exposure
Non-margin loans:
Financial institutions$11.0 $32.8 $43.8 $11.2 $32.8 $44.0 
Commercial1.4 12.3 13.7 1.4 12.7 14.1 
Subtotal institutional12.4 45.1 57.5 12.6 45.5 58.1 
Wealth management loans and mortgages16.6 1.4 18.0 16.4 1.1 17.5 
Commercial real estate5.9 3.5 9.4 6.1 3.2 9.3 
Lease financings1.0 — 1.0 1.0 — 1.0 
Other residential mortgages0.4 — 0.4 0.4 — 0.4 
Overdrafts4.8 — 4.8 2.7 — 2.7 
Other1.7 — 1.7 1.9 — 1.9 
Subtotal non-margin loans42.8 50.0 92.8 41.1 49.8 90.9 
Margin loans17.9 0.1 18.0 15.4 0.1 15.5 
Total$60.7 $50.1 $110.8 $56.5 $49.9 $106.4 


At March 31, 2021, total lending-related exposure of $110.8 billion increased 4% compared with Dec. 31, 2020, primarily reflecting higher margin loans and overdrafts.
Our financial institutions and commercial portfolios comprise our largest concentrated risk. These portfolios comprised 52% of our total exposure at March 31, 2021 and 55% at Dec. 31, 2020. Additionally, most of our overdrafts relate to financial institutions.


BNY Mellon 23

Financial institutions

The financial institutions portfolio is shown below.

Financial institutions
portfolio exposure
(dollars in billions)
March 31, 2021Dec. 31, 2020
LoansUnfunded
commitments		Total
exposure		% Inv.
grade		% due
<1 yr.		LoansUnfunded
commitments		Total
exposure
Securities industry$2.3 $21.3 $23.6 98 %99 %$2.3 $21.6 $23.9 
Asset managers1.4 6.5 7.9 98 85 1.4 6.4 7.8 
Banks6.4 1.1 7.5 85 96 6.7 1.1 7.8 
Insurance0.1 3.0 3.1 100 19 0.1 2.8 2.9 
Government0.1 0.2 0.3 100 44 0.1 0.2 0.3 
Other0.7 0.7 1.4 96 65 0.6 0.7 1.3 
Total$11.0 $32.8 $43.8 96 %89 %$11.2 $32.8 $44.0 


The financial institutions portfolio exposure was $43.8 billion at March 31, 2021, a slight decrease compared with Dec. 31, 2020, primarily reflecting lower loans to the banks portfolio and lower unfunded commitments to the securities industry portfolio, partially offset by a higher unfunded commitments to the insurance portfolio.

Financial institution exposures are high-quality, with 96% of the exposures meeting the investment grade equivalent criteria of our internal credit rating classification at March 31, 2021. Each customer is assigned an internal credit rating, which is mapped to an equivalent external rating agency grade based upon a number of dimensions, which are continually evaluated and may change over time. For ratings of non-U.S. counterparties, our internal credit rating is generally capped at a rating equivalent to the sovereign rating of the country where the counterparty resides, regardless of the internal credit rating assigned to the counterparty or the underlying collateral.

In addition, 73% of the financial institutions exposure is secured. For example, securities industry clients and asset managers often borrow against marketable securities held in custody.

The exposure to financial institutions is generally short-term, with 89% of the exposures expiring within one year. At both March 31, 2021 and Dec. 31, 2020, 18% of the exposure to financial institutions had an expiration within 90 days.

At March 31, 2021 and Dec. 31, 2020, the secured intraday credit provided to dealers in connection with their tri-party repo activity totaled $18.2 billion and was included in the securities industry portfolio. Dealers secure the outstanding intraday credit with high-quality liquid collateral having a market value in excess of the amount of the outstanding credit.

Our banks exposure primarily relates to our global trade finance. These exposures are short-term in nature, with 96% due in less than one year. The investment grade percentage of our banks exposure was 85% at both March 31, 2021 and Dec. 31, 2020. Our non-investment grade exposures are primarily trade finance loans in Brazil.

The asset managers portfolio exposure is high-quality, with 98% of the exposures meeting our investment grade equivalent ratings criteria as of March 31, 2021. These exposures are generally short-term liquidity facilities, with the majority to regulated mutual funds.
24 BNY Mellon

Commercial

The commercial portfolio is presented below.

Commercial portfolio exposureMarch 31, 2021Dec. 31, 2020
(dollars in billions)LoansUnfunded
commitments		Total
exposure		% Inv.
grade		% due
<1 yr.		LoansUnfunded
commitments		Total
exposure
Manufacturing$0.4 $4.0 $4.4 95 %22 %$0.5 $4.1 $4.6 
Energy and utilities0.3 4.0 4.3 88 5 0.3 3.9 4.2 
Services and other0.7 3.5 4.2 94 40 0.6 3.8 4.4 
Media and telecom— 0.8 0.8 92 4 — 0.9 0.9 
Total$1.4 $12.3 $13.7 92 %21 %$1.4 $12.7 $14.1 


The commercial portfolio exposure was $13.7 billion at March 31, 2021, a decrease of 3% from Dec. 31, 2020, primarily driven by lower exposure to the manufacturing and services and other portfolios.

We have $725 million of total direct exposure to the oil and gas industry at March 31, 2021, most of which is reflected in the energy and utilities portfolio in the table above. This exposure is to exploration and production, refining and integrated companies and was 66% investment grade at March 31, 2021 and Dec. 31, 2020.

Our credit strategy is to focus on investment grade clients that are active users of our non-credit services. The following table summarizes the percentage of the financial institutions and commercial portfolio exposures that are investment grade.

Percentage of the portfolios that are investment grade
Quarter ended
March 31, 2021Dec. 31, 2020Sept. 30, 2020June 30, 2020March 31, 2020
Financial institutions96 %95 %95 %95 %96 %
Commercial92 %92 %93 %92 %94 %
Wealth management loans and mortgages

Our wealth management exposure was $18.0 billion at March 31, 2021, compared with $17.5 billion at Dec. 31, 2020. Wealth management loans and mortgages primarily consist of loans to high-net-worth individuals, which are secured by marketable securities and/or residential property. Wealth management mortgages are primarily interest-only, adjustable-rate mortgages with a weighted-average loan-to-value ratio of 62% at origination. Less than 1% of the mortgages were past due at March 31, 2021.

At March 31, 2021, the wealth management mortgage portfolio consisted of the following geographic concentrations: California – 22%; New York – 16%; Massachusetts – 10%; Florida – 8%; and other – 44%.

BNY Mellon 25

Commercial real estate

The composition of the commercial real estate portfolio by asset class, including percentage secured, is presented below.

Composition of commercial real estate portfolio by asset class
March 31, 2021Dec. 31, 2020
Total
exposure
Percentage
secured (a)
Total
exposure
Percentage
secured (a)
(in billions)
Residential$3.2 86 %$3.3 86 %
Office2.7 76 2.8 75 
Retail0.9 58 1.0 52 
Mixed-use0.7 22 0.7 22 
Hotels0.6 20 0.6 20 
Healthcare0.5 22 0.4 25 
Other0.8 14 0.5 23 
Total commercial real estate$9.4 63 %$9.3 64 %
(a)    Represents the amount of secured exposure in each asset class.


Our commercial real estate exposure totaled $9.4 billion at March 31, 2021 and $9.3 billion at Dec. 31, 2020. Our income-producing commercial real estate facilities are focused on experienced owners and are structured with moderate leverage based on existing cash flows. Our commercial real estate lending activities also include construction and renovation facilities. Our client base consists of experienced developers and long-term holders of real estate assets. Loans are approved on the basis of existing or projected cash flows and supported by appraisals and knowledge of local market conditions. Development loans are structured with moderate leverage, and in many instances, involve some level of recourse to the developer.

At March 31, 2021, the unsecured portfolio consisted of real estate investment trusts (“REITs”) and real estate operating companies, which are both primarily investment grade.

At March 31, 2021, our commercial real estate portfolio consisted of the following concentrations: New York metro – 39%; REITs and real estate operating companies – 37%; and other – 24%.

Lease financings

The lease financings portfolio exposure totaled $1.0 billion at both March 31, 2021 and Dec. 31, 2020. At March 31, 2021, approximately 98% of leasing exposure was investment grade, or investment grade equivalent and consisted of exposures backed by well-diversified assets, primarily large-ticket transportation equipment and real estate. The largest component of our lease residual value exposure is
freight-related rail cars. Assets are both domestic and foreign-based, with primary concentrations in the U.S. and Germany.

Other residential mortgages

The other residential mortgages portfolio primarily consists of 1-4 family residential mortgage loans and totaled $364 million at March 31, 2021 and $389 million at Dec. 31, 2020. Included in this portfolio at March 31, 2021 were $63 million of mortgage loans purchased in 2005, 2006 and the first quarter of 2007.

Overdrafts

Overdrafts primarily relate to custody and securities clearance clients and are generally repaid within two business days.

Other loans

Other loans primarily include loans to consumers that are fully collateralized with equities, mutual funds and fixed-income securities.

Margin loans

Margin loan exposure of $18.0 billion at March 31, 2021 and $15.5 billion at Dec. 31, 2020 was collateralized with marketable securities. Borrowers are required to maintain a daily collateral margin in excess of 100% of the value of the loan. Margin loans included $6.1 billion at March 31, 2021 and $4.6 billion at Dec. 31, 2020 related to a term loan program that offers fully collateralized loans to broker-dealers.
26 BNY Mellon

Allowance for credit losses

Our credit strategy is to focus on investment grade clients who are active users of our non-credit services. Our primary exposure to the credit risk of a customer consists of funded loans, unfunded contractual commitments to lend, standby letters of credit and overdrafts associated with our custody and securities clearance businesses.

The following table details changes in our allowance for credit losses.

Allowance for credit losses activityMarch 31, 2021Dec. 31, 2020March 31, 2020
(dollars in millions)
Beginning balance of allowance for credit losses$501 $486 $216 
Impact of adopting ASU 2016-13N/AN/A(55)(a)
Provision for credit losses(83)15 169 
Net recoveries (charge-offs):
Loans:
Other residential mortgages2 — — 
Wealth management loans and mortgages(1)— — 
Other financial instruments
— — (1)
Net recoveries (charge-offs)
1 — (1)
Ending balance of allowance for credit losses$419 $501 $329 
Allowance for loan losses$327 $358 $140 
Allowance for lending-related commitments
73 121 148 
Allowance for financial instruments (b)
19 22 41 
Total allowance for credit losses
$419 $501 $329 
Non-margin loans$42,839 $41,053 $49,253 
Margin loans17,893 15,416 13,115 
Total loans$60,732 $56,469 $62,368 
Allowance for loan losses as a percentage of total loans
0.54 %0.63 %0.22 %
Allowance for loan losses as a percentage of non-margin loans
0.76 0.87 0.28 
Allowance for loan losses and lending-related commitments as a percentage of total loans
0.66 0.85 0.46 
Allowance for loan losses and lending-related commitments as a percentage of non-margin loans
0.93 1.17 0.58 
(a)    In 2020, we adopted new accounting guidance included in ASU 2016-13, Financial Instruments – Credit Losses: Measurement of Credit Losses on Financial Instruments. Includes the reclassification of credit-related reserves on accounts receivable of $4 million.
(b)    Includes allowance for credit losses on federal funds sold and securities purchased under resale agreements, available-for-sale securities, held-to-maturity securities, accounts receivable, cash and due from banks and interest-bearing deposits with banks.
N/A – Not applicable.


The provision for credit losses was a benefit of $83 million in the first quarter of 2021, primarily driven by an improved macroeconomic forecast.

We had $17.9 billion of secured margin loans on our balance sheet at March 31, 2021 compared with $15.4 billion at Dec. 31, 2020. We have rarely suffered a loss on these types of loans. As a result, we believe that the ratio of allowance for loan losses and lending-related commitments as a percentage of non-margin loans is a more appropriate metric to measure the adequacy of the reserve.


The allowance for loan losses and allowance for lending-related commitments represent management’s estimate of lifetime expected losses in our credit portfolio. This evaluation process is subject to numerous estimates and judgments. To the extent actual results differ from forecasts or management’s judgment, the allowance for credit losses may be greater or less than future charge-offs.

Based on an evaluation of the allowance for credit losses as discussed in “Critical accounting estimates,” in our 2020 Annual Report, we have allocated our allowance for loans and lending-related commitments as presented below.

BNY Mellon 27

Allocation of allowance for loan losses and lending-related commitmentsMarch 31, 2021Dec. 31, 2020March 31, 2020
Commercial real estate91 %89 %72 %
Commercial2 3 9 
Financial institutions2 2 6 
Other residential mortgages2 3 5 
Wealth management (a)
2 2 3 
Lease financings1 1 5 
Total100 %100 %100 %
(a)    Includes the allowance for credit losses on wealth management mortgages.


The allocation of the allowance for credit losses is inherently judgmental, and the entire allowance for credit losses is available to absorb credit losses regardless of the nature of the losses.

Our allowance for credit losses is sensitive to a number of inputs, most notably the credit ratings assigned to each borrower, as well as macroeconomic forecast assumptions that are incorporated in our estimate of credit losses through the expected life of the loan portfolio. Thus, as the macroeconomic environment and related forecasts change, the allowance for credit losses may change materially. The following sensitivity analyses do not represent management’s expectations of the deterioration of our portfolios or the economic environment, but are provided as hypothetical scenarios to assess the sensitivity of the allowance for credit losses to changes in key inputs. If each credit were rated one grade better, the quantitative allowance would have decreased by $123 million, and if each credit were rated one grade worse, the quantitative allowance would have increased by $139 million. Our multi-scenario based macroeconomic forecast used in determining the March 31, 2021 allowance for credit losses consisted of three scenarios. The baseline scenario reflects moderate and flat GDP growth and unemployment recovery but with declining commercial real estate prices that begin to recover later in 2021. The upside scenario reflects faster GDP growth and unemployment recovery and less severe commercial real estate declines than the baseline. The downside scenario contemplates negative GDP growth and increasing unemployment throughout 2021 and steeper declines in commercial real estate prices than the baseline. Consistent with the fourth quarter of 2020, we placed the most weight on our baseline scenario, with the remaining weighting resulting in slightly more weight placed on the downside scenario than the upside scenario. From a sensitivity perspective, at March 31, 2021, if we had
applied 100% weighting to the downside scenario, the quantitative allowance for credit losses would have been approximately $190 million higher.

Nonperforming assets

The table below presents our nonperforming assets.

Nonperforming assetsMarch 31, 2021Dec. 31, 2020
(dollars in millions)
Nonperforming loans:
Other residential mortgages$56 $57 
Wealth management loans and mortgages28 30 
Commercial real estate26 1 
Total nonperforming loans110 88 
Other assets owned2 1 
Total nonperforming assets$112 $89 
Nonperforming assets ratio0.18 %0.16 %
Nonperforming assets ratio, excluding margin loans0.26 0.22 
Allowance for loan losses/nonperforming loans297.3 406.8 
Allowance for loan losses/nonperforming assets292.0 402.2 
Total allowance for credit losses/nonperforming loans363.6 544.3 
Total allowance for credit losses/nonperforming assets357.1 538.2 


Nonperforming assets increased $23 million compared with Dec. 31, 2020, primarily reflecting an increase in nonperforming loans in the commercial real estate portfolio.

Lost interest

Interest revenue would have increased by $1 million in the first quarter of 2021, fourth quarter of 2020 and first quarter of 2020, if nonperforming loans at period-end had been performing for the entire respective periods.

Loan modifications

Due to the coronavirus pandemic, there have been two forms of relief provided for classifying loans as troubled debt restructurings (“TDRs”): The Coronavirus Aid, Relief, and Economic Security Act (the “CARES Act”), the relevant provisions of which were extended by the Consolidated Appropriations Act, 2021, and the Interagency Guidance. See Note 1 of the Notes to Consolidated Financial Statements of our 2020 Annual Report for additional details on this guidance. Financial institutions may account for eligible loan modifications either under the CARES
28 BNY Mellon

Act or the Interagency Guidance and we have elected to apply both, as applicable, in providing borrowers with loan modification relief in response to the coronavirus pandemic. We modified loans of $6 million in the first quarter of 2021, less than $1 million in the first quarter of 2020 and $16 million in the fourth quarter of 2020. Nearly all of the modifications were short-term loan payment forbearances or modified principal and/or interest payments. These loans were primarily residential mortgage and commercial real estate loans. We also modified $14 million of commercial real estate loans in the first quarter of 2021 by providing payment modifications and an extension of maturity. We did not identify any of the modifications as TDRs. At March 31, 2021, the unpaid principal balance of the loans modified under the CARES Act or Interagency Guidance was $91 million.

Deposits

Total deposits were $336.8 billion at March 31, 2021, a decrease of 1%, compared with $341.5 billion at Dec. 31, 2020. The decrease primarily reflects lower interest-bearing deposits in non-U.S. offices, partially offset by higher noninterest-bearing deposits (principally U.S. offices).

Noninterest-bearing deposits were $95.3 billion at March 31, 2021 compared with $83.8 billion at Dec. 31, 2020. Interest-bearing deposits were $241.5 billion at March 31, 2021, compared with $257.7 billion at Dec. 31, 2020.

Short-term borrowings

We fund ourselves primarily through deposits and, to a lesser extent, other short-term borrowings and long-term debt. Short-term borrowings consist of federal funds purchased and securities sold under repurchase agreements, payables to customers and broker-dealers, commercial paper and other borrowed funds. Certain short-term borrowings, for example, securities sold under repurchase agreements, require the delivery of securities as collateral.

Information related to federal funds purchased and securities sold under repurchase agreements is presented below.

Federal funds purchased and securities sold under
repurchase agreements
Quarter ended
(dollars in millions)March 31, 2021Dec. 31, 2020March 31, 2020
Maximum month-end balance during the quarter
$15,863 $15,479 $16,644 
Average daily balance (a)
$15,288 $14,452 $13,919 
Weighted-average rate during the quarter (a)
(0.07)%0.01 %7.96 %
Ending balance (b)
$15,150 $11,305 $13,128 
Weighted-average rate at period end (b)
(0.12)%(0.03)%3.93 %
(a)    Includes the average impact of offsetting under enforceable netting agreements of $37,377 million in the first quarter of 2021, $40,641 million in the fourth quarter of 2020 and $80,216 million in the first quarter of 2020. On a Non-GAAP basis, excluding the impact of offsetting, the weighted-average rates would have been (0.02)% for the first quarter of 2021, 0.00% for the fourth quarter of 2020 and 1.18% for the first quarter of 2020. We believe providing the rates excluding the impact of netting is useful to investors as it is more reflective of the actual rates paid.
(b)    Includes the impact of offsetting under enforceable netting agreements of $33,544 million at March 31, 2021, $59,561 million at Dec. 31, 2020 and $80,203 million at March 31, 2020.


Fluctuations of federal funds purchased and securities sold under repurchase agreements reflect changes in overnight borrowing opportunities. The decrease of the weighted-average rates compared with March 31, 2020 primarily reflects lower interest rates and repurchase agreement activity with the Fixed Income Clearing Corporation (the “FICC”), where we record interest expense gross, but the ending and average balances reflect the impact of offsetting under enforceable netting agreements. This activity primarily relates to government securities collateralized resale and repurchase agreements executed with clients that are novated to and settle with the FICC.

BNY Mellon 29

Information related to payables to customers and broker-dealers is presented below.

Payables to customers and broker-dealers
Quarter ended
(dollars in millions)March 31, 2021Dec. 31, 2020March 31, 2020
Maximum month-end balance during the quarter
$25,124 $25,085 $24,016 
Average daily balance (a)
$24,772 $23,589 $20,629 
Weighted-average rate during the quarter (a)
(0.01)%(0.01)%0.73 %
Ending balance $23,827 $25,085 $24,016 
Weighted-average rate at period end
(0.01)%(0.01)%0.28 %
(a)    The weighted-average rate is calculated based on, and is applied to, the average interest-bearing payables to customers and broker-dealers, which were $17,691 million in the first quarter of 2021, $17,521 million in the fourth quarter of 2020 and $16,386 million in the first quarter of 2020.


Payables to customers and broker-dealers represent funds awaiting reinvestment and short sale proceeds payable on demand. Payables to customers and broker-dealers are driven by customer trading activity and market volatility.

Information related to commercial paper is presented below.

Commercial paperQuarter ended
(dollars in millions)March 31, 2021Dec. 31, 2020March 31, 2020
Maximum month-end balance during the quarter
$— $450 $3,379 
Average daily balance$— $275 $1,581 
Weighted-average rate during the quarter
— %0.10 %1.56 %
Ending balance $— $— $1,121 
Weighted-average rate at period end
— %— %1.57 %


The Bank of New York Mellon is authorized to issue commercial paper that matures within 397 days from the date of issue and is not redeemable prior to maturity or subject to voluntary prepayment. The decrease in the commercial paper compared with March 31, 2020 primarily reflects the continuation of elevated deposit levels.

Information related to other borrowed funds is presented below.

Other borrowed fundsQuarter ended
(dollars in millions)March 31, 2021Dec. 31, 2020March 31, 2020
Maximum month-end balance during the quarter
$348 $505 $1,544 
Average daily balance$331 $338 $719 
Weighted-average rate during the quarter
2.01 %1.71 %2.27 %
Ending balance$348 $350 $1,544 
Weighted-average rate at period end
2.05 %0.79 %2.01 %


Other borrowed funds primarily include overdrafts of sub-custodian account balances in our Investment Services businesses, finance lease liabilities, borrowings under lines of credit by our Pershing subsidiaries and borrowings from the Federal Home Loan Bank. Borrowings from the Federal Reserve Bank of Boston under the Money Market Mutual Fund Liquidity Facility (the “MMLF”) program are also included in other borrowed funds at Dec. 31, 2020 and March 31, 2020. Overdrafts typically relate to timing differences for settlements. The decreases in other borrowed funds compared with March 31, 2020 and Dec. 31, 2020 reflect lower overdrafts of sub-custodian account balances in our Investment Services businesses. The decrease in other borrowed funds compared with March 31, 2020 also reflects a decline in borrowings from the Federal Reserve Bank of Boston under the MMLF program and the Federal Home Loan Bank.

Liquidity and dividends

BNY Mellon defines liquidity as the ability of the Parent and its subsidiaries to access funding or convert assets to cash quickly and efficiently, or to roll over or issue new debt, especially during periods of market stress, at a reasonable cost, and in order to meet its short-term (up to one year) obligations. Funding liquidity risk is the risk that BNY Mellon cannot meet its cash and collateral obligations at a reasonable cost for both expected and unexpected cash flow and collateral needs without adversely affecting daily operations or our financial condition. Funding liquidity risk can arise from funding mismatches, market constraints from the inability to convert assets into cash, the inability to hold or raise cash, low overnight deposits, deposit run-off or contingent liquidity events.

30 BNY Mellon

Changes in economic conditions or exposure to credit, market, operational, legal and reputational risks also can affect BNY Mellon’s liquidity risk profile and are considered in our liquidity risk framework. For additional information, see “Risk Management – Liquidity Risk” in our 2020 Annual Report.

The Parent’s policy is to have access to sufficient unencumbered cash and cash equivalents at each quarter-end to cover maturities and other forecasted debt redemptions, net interest payments and net tax payments for the following 18-month period, and to provide sufficient collateral to satisfy transactions subject to Section 23A of the Federal Reserve Act. As of March 31, 2021, the Parent was in compliance with this policy.

We monitor and control liquidity exposures and funding needs within and across significant legal entities, branches, currencies and business lines,
taking into account, among other factors, any applicable restrictions on the transfer of liquidity among entities.

BNY Mellon also manages potential intraday liquidity risks. We monitor and manage intraday liquidity against existing and expected intraday liquid resources (such as cash balances, remaining intraday credit capacity, intraday contingency funding and available collateral) to enable BNY Mellon to meet its intraday obligations under normal and reasonably severe stressed conditions.

We define available funds for internal liquidity management purposes as cash and due from banks, interest-bearing deposits with the Federal Reserve and other central banks, interest-bearing deposits with banks and federal funds sold and securities purchased under resale agreements. The following table presents our total available funds at period end and on an average basis.

Available fundsMarch 31, 2021Dec. 31, 2020Average
(dollars in millions)1Q214Q201Q20
Cash and due from banks$5,991 $6,252 $5,720 $4,993 $4,595 
Interest-bearing deposits with the Federal Reserve and other central banks125,524 141,775 125,930 112,274 80,403 
Interest-bearing deposits with banks23,763 17,300 21,313 19,281 17,081 
Federal funds sold and securities purchased under resale agreements28,263 30,907 29,186 28,389 34,109 
Total available funds$183,541 $196,234 $182,149 $164,937 $136,188 
Total available funds as a percentage of total assets39 %42 %40 %38 %35 %


Total available funds were $183.5 billion at March 31, 2021, compared with $196.2 billion at Dec. 31, 2020. The decrease was primarily due to lower interest-bearing deposits with the Federal Reserve and other central banks.

Average non-core sources of funds, such as federal funds purchased and securities sold under repurchase agreements, trading liabilities, commercial paper and other borrowed funds, were $17.8 billion for both the first three months of 2021 and the first three months of 2020.

Average foreign deposits, primarily from our European-based Investment Services business, were $116.6 billion for the first three months of 2021, compared with $97.7 billion for the first three months of 2020. Average interest-bearing domestic deposits were $128.5 billion for the first three months of 2021 and $99.9 billion for the first three months of 2020.
The increase primarily reflects increased client activity.

Average payables to customers and broker-dealers were $17.7 billion for the first three months of 2021 and $16.4 billion for the first three months of 2020. Payables to customers and broker-dealers are driven by customer trading activity and market volatility.

Average long-term debt was $26.2 billion for the first three months of 2021 and $27.2 billion for the first three months of 2020.

Average noninterest-bearing deposits increased to $83.4 billion for the first three months of 2021 from $60.6 billion for the first three months of 2020, primarily reflecting client activity.

A significant reduction in our Investment Services business would reduce our access to deposits. See
BNY Mellon 31

“Asset/liability management” for additional factors that could impact our deposit balances.

Sources of liquidity

The Parent’s major sources of liquidity are access to the debt and equity markets, dividends from its subsidiaries, and cash on hand and cash otherwise
made available in business-as-usual circumstances to the Parent through a committed credit facility with our intermediate holding company (“IHC”).

Our ability to access the capital markets on favorable terms, or at all, is partially dependent on our credit ratings, which are as follows:


Credit ratings at March 31, 2021
  Moody’sS&PFitchDBRS
Parent: 
Long-term senior debtA1AAA-AA
Subordinated debtA2A-AAA (low)
Preferred stockBaa1BBBBBB+A
Outlook – ParentStableStableStableStable
The Bank of New York Mellon:
Long-term senior debtAa2AA-AAAA (high)
Subordinated debtNRANRNR
Long-term depositsAa1AA-AA+AA (high)
Short-term depositsP1A-1+F1+R-1 (high)
Commercial paperP1A-1+F1+R-1 (high)
BNY Mellon, N.A.:
Long-term senior debtAa2(a)AA-
AA 
(a)AA (high)
Long-term depositsAa1AA-AA+AA (high)
Short-term depositsP1A-1+F1+R-1 (high)
Outlook – BanksStableStableStableStable
(a)    Represents senior debt issuer default rating.
NR – Not rated.


Long-term debt totaled $25.4 billion at March 31, 2021 and $26.0 billion at Dec. 31, 2020. A redemption of $1.0 billion, a maturity of $500 million and a decrease in the fair value of hedged long-term debt were partially offset by issuances of $1.2 billion. The Parent has $2.75 billion of long-term debt that will mature in the remainder of 2021.

In April 2021, the Parent redeemed $1.25 billion of the outstanding 2.050% senior notes due May 2021 at par plus accrued and unpaid interest.

In April 2021, the Parent issued $600 million of fixed rate senior notes maturing in 2024 at an annual interest rate of 0.50%, $500 million of fixed rate senior notes maturing in 2028 at an annual interest rate of 1.65% and $400 million of floating rate senior notes maturing in 2024 at an annual interest rate of the compounded secured overnight financing rate (“SOFR”) plus 26 basis points.

The Bank of New York Mellon may issue notes and CDs. At March 31, 2021 and Dec. 31, 2020, $30 million of notes were outstanding. There were no CDs outstanding at March 31, 2021 and $100 million outstanding at Dec. 31, 2020.

The Bank of New York Mellon also issues commercial paper that matures within 397 days from the date of issue and is not redeemable prior to maturity or subject to voluntary prepayment. There was no commercial paper outstanding at March 31, 2021 and Dec. 31, 2020. The average commercial paper outstanding was $1.6 billion for the first three months of 2020.

Subsequent to March 31, 2021, our U.S. bank subsidiaries could declare dividends to the Parent of approximately $1.9 billion, without the need for a regulatory waiver. In addition, at March 31, 2021, non-bank subsidiaries of the Parent had liquid assets of approximately $3.6 billion. Restrictions on our ability to obtain funds from our subsidiaries are
32 BNY Mellon

discussed in more detail in “Supervision and Regulation – Capital Planning and Stress Testing – Payment of Dividends, Stock Repurchases and Other Capital Distributions” and in Note 19 of the Notes to Consolidated Financial Statements, both in our 2020 Annual Report.

Pershing LLC has uncommitted lines of credit in place for liquidity purposes which are guaranteed by the Parent. Pershing LLC has two separate uncommitted lines of credit amounting to $350 million in aggregate. There were no borrowings under these lines in the first quarter of 2021. Pershing Limited, an indirect UK-based subsidiary of BNY Mellon, has two separate uncommitted lines of credit amounting to $267 million in aggregate. Average borrowings under these lines were $71 million, in aggregate, in the first quarter of 2021.

The double leverage ratio is the ratio of our equity investment in subsidiaries divided by our consolidated Parent company equity, which includes our noncumulative perpetual preferred stock. In short, the double leverage ratio measures the extent to which equity in subsidiaries is financed by Parent company debt. As the double leverage ratio increases, this can reflect greater demands on a company’s cash flows in order to service interest payments and debt maturities. BNY Mellon’s double leverage ratio is managed in a range considering the high level of unencumbered available liquid assets held in its principal subsidiaries (such as central bank deposit placements and government securities), the Company’s cash generating fee-based business model, with fee revenue representing 83% of total revenue in the first quarter of 2021, and the dividend capacity of our banking subsidiaries. Our double leverage ratio was 115.7% at March 31, 2021 and 114.3% at Dec. 31, 2020, and within the range targeted by management.

Uses of funds

The Parent’s major uses of funds are repurchases of common stock, payment of dividends, principal and interest payments on its borrowings, acquisitions and additional investments in its subsidiaries.

In February 2021, a quarterly dividend of $0.31 per common share was paid to common shareholders. Our common stock dividend payout ratio was 32% for the first quarter of 2021.

In the first quarter of 2021, we repurchased 16.8 million common shares at an average price of $41.68 per common share, for a total cost of $699 million.

See “Recent regulatory developments” for additional information on the modified restrictions on common stock repurchases and common stock dividends applicable to the first and second quarters of 2021. Also see “Supervision and Regulation – Capital Planning and Stress Testing – Payment of Dividends, Stock Repurchases and Other Capital Distributions” in our 2020 Annual Report for additional information related to the 2020 CCAR.

Liquidity coverage ratio (“LCR”)

U.S. regulators have established an LCR that requires certain banking organizations, including BNY Mellon, to maintain a minimum amount of unencumbered high-quality liquid assets (“HQLA”) sufficient to withstand the net cash outflow under a hypothetical standardized acute liquidity stress scenario for a 30-day time horizon.

The following table presents BNY Mellon’s consolidated HQLA at March 31, 2021, and the average HQLA and average LCR for the first quarter of 2021.

Consolidated HQLA and LCRMarch 31, 2021
(dollars in billions)
Securities (a)
$120 
Cash (b)
126 
Total consolidated HQLA (c)
$246 
Total consolidated HQLA – average (c)
$243 
Average LCR110 %
(a)    Primarily includes securities of U.S. government-sponsored enterprises, U.S. Treasury, sovereign securities, U.S. agency and investment-grade corporate debt.
(b)    Primarily includes cash on deposit with central banks.
(c)    Consolidated HQLA presented before adjustments. After haircuts and the impact of trapped liquidity, consolidated HQLA totaled $182 billion at March 31, 2021 and averaged $176 billion for the first quarter of 2021.


BNY Mellon and each of our affected domestic bank subsidiaries were compliant with the U.S. LCR requirements of at least 100% throughout the first quarter of 2021.
BNY Mellon 33

Statement of cash flows

The following summarizes the activity reflected on the consolidated statement of cash flows. While this information may be helpful to highlight certain macro trends and business strategies, the cash flow analysis may not be as relevant when analyzing changes in our net earnings and net assets. We believe that in addition to the traditional cash flow analysis, the discussion related to liquidity and dividends and asset/liability management herein may provide more useful context in evaluating our liquidity position and related activity.

Net cash used for operating activities was $3.2 billion in the three months ended March 31, 2021, compared with $1.7 billion in the three months ended March 31, 2020. In the three months ended March 31, 2021 cash flows used for operations primarily resulted from changes in trading assets and liabilities and change in accruals and other, net, partially offset by earnings. In the three months ended March 31, 2020, cash flows used for operations primarily resulted from changes in accruals and other, net, partially offset by earnings and changes in trading assets and liabilities.

Net cash provided by investing activities was $4.7 billion in the three months ended March 31, 2021,
compared with net cash used for investing activities of $78.6 billion in the three months ended March 31, 2020. In the three months ended March 31, 2021, net cash provided by investing activities primarily reflects changes in interest-bearing deposits with the Federal Reserve and other central banks, partially offset by changes in interest-bearing deposits with banks and net change in loans. In the three months ended March 31, 2020, net cash used for investing activities primarily reflects changes in interest-bearing deposits with the Federal Reserve and other central banks and net changes in securities, loans and interest-bearing deposits with banks.

Net cash used for financing activities was $1.5 billion in the three months ended March 31, 2021, compared with net cash provided by financing activities of $82.9 billion in the three months ended March 31, 2020. In the three months ended March 31, 2021, net cash used for financing activities primarily reflects changes in deposits, repayments of long-term debt and changes in payables to customers and broker-dealers, partially offset by changes in federal funds purchased and securities sold under repurchased agreements. In the three months ended March 31, 2020, net cash provided by financing activities primarily reflects changes in deposits.

Capital

Capital data
(dollars in millions, except per share amounts; common shares in thousands)
March 31, 2021Dec. 31, 2020
Average common equity to average assets8.8 %9.3 %
At period end:
BNY Mellon shareholders’ equity to total assets ratio9.7 %9.8 %
BNY Mellon common shareholders’ equity to total assets ratio8.7 %8.8 %
Total BNY Mellon shareholders’ equity$44,954 $45,801 
Total BNY Mellon common shareholders’ equity$40,413 $41,260 
BNY Mellon tangible common shareholders’ equity – Non-GAAP (a)
$21,779 $22,563 
Book value per common share$46.16 $46.53 
Tangible book value per common share – Non-GAAP (a)
$24.88 $25.44 
Closing stock price per common share$47.29 $42.44 
Market capitalization$41,401 $37,634 
Common shares outstanding875,481 886,764 
Cash dividends per common share$0.31 $0.31 
Common dividend payout ratio32 %39 %
Common dividend yield2.7 %2.9 %
(a)    See “Supplemental information – Explanation of GAAP and Non-GAAP financial measures” beginning on page 42 for a reconciliation of GAAP to Non-GAAP.


34 BNY Mellon

The Bank of New York Mellon Corporation total shareholders’ equity decreased to $45.0 billion at March 31, 2021 from $45.8 billion at Dec. 31, 2020. The decrease primarily reflects unrealized losses on securities available-for-sale, common stock repurchases and dividends, partially offset by earnings.

The unrealized gain (after-tax) on our available-for-sale securities portfolio, net of hedges, included in accumulated other comprehensive income was $776 million at March 31, 2021, compared with $1.5 billion at Dec. 31, 2020. The decrease in the unrealized gain, net of tax, was primarily driven by higher market interest rates.

In the first quarter of 2021, we repurchased 16.8 million common shares at an average price of $41.68 per common share for a total of $699 million under the current program.

In December 2020, the Federal Reserve released the results of the second round of CCAR stress tests during 2020 and extended the restriction on common stock dividends and open market common stock repurchases applicable to participating CCAR BHCs, including us, to the first quarter of 2021, with certain modifications. In March 2021, the Federal Reserve extended these restrictions through the second quarter of 2021. Under the modified restrictions, we are authorized to conduct open market common stock repurchases in an amount up to approximately $600 million in the second quarter of 2021. See “Recent regulatory developments” for additional information on the restrictions on capital distributions.
Capital adequacy

Regulators establish certain levels of capital for BHCs and banks, including BNY Mellon and our bank subsidiaries, in accordance with established quantitative measurements. For the Parent to maintain its status as a financial holding company (“FHC”), our U.S. bank subsidiaries and BNY Mellon must, among other things, qualify as “well capitalized.” As of March 31, 2021 and Dec. 31, 2020, BNY Mellon and our U.S. bank subsidiaries were “well capitalized.” Failure to satisfy regulatory standards, including “well capitalized” status or capital adequacy rules more generally, could result in limitations on our activities and adversely affect our financial condition. See the discussion of these matters in “Supervision and Regulation – Regulated Entities of BNY Mellon and Ancillary Regulatory Requirements” and “Risk Factors – Operational Risk – Failure to satisfy regulatory standards, including “well capitalized” and “well managed” status or capital adequacy and liquidity rules more generally, could result in limitations on our activities and adversely affect our business and financial condition,” both of which are in our 2020 Annual Report.

The U.S. banking agencies’ capital rules are based on the framework adopted by the Basel Committee on Banking Supervision (“BCBS”), as amended from time to time. For additional information on these capital requirements, see “Supervision and Regulation” in our 2020 Annual Report.

BNY Mellon 35

The table below presents our consolidated and largest bank subsidiary regulatory capital ratios.

Consolidated and largest bank subsidiary regulatory capital ratios
March 31, 2021Dec. 31, 2020
Well capitalizedMinimum requiredCapital
ratios		Capital
ratios
(a)
Consolidated regulatory capital ratios: (b)
Advanced Approaches:
CET1 ratioN/A(c)8.5 %12.6 %13.1 %
Tier 1 capital ratio 6 %10 15.3 15.8 
Total capital ratio 10 12 16.1 16.7 
Standardized Approach:
CET1 ratioN/A(c)8.5 %12.6 %13.4 %
Tier 1 capital ratio 6 %10 15.2 16.1 
Total capital ratio 10 12 16.2 17.1 
Tier 1 leverage ratioN/A(c)4 5.8 6.3 
SLR (d)(e)
N/A(c)5 8.1 8.6 
The Bank of New York Mellon regulatory capital ratios: (b)
Advanced Approaches:
CET1 ratio6.5 %7 %16.8 %17.1 %
Tier 1 capital ratio8 8.5 16.8 17.1 
Total capital ratio10 10.5 17.0 17.3 
Tier 1 leverage ratio5 4 6.1 6.4 
SLR (d)
6 3 8.2 8.5 
(a)    Minimum requirements for March 31, 2021 include minimum thresholds plus currently applicable buffers. The U.S. global systemically important banks (“G-SIB”) surcharge of 1.5% is subject to change. The countercyclical capital buffer is currently set to 0%. The stress capital buffer (“SCB”) requirement is 2.5%, equal to the regulatory minimum for Standardized Approach capital ratios.
(b)    For our CET1, Tier 1 capital and Total capital ratios, our effective capital ratios under U.S. capital rules are the lower of the ratios as calculated under the Standardized and Advanced Approaches. The Tier 1 leverage ratio is based on Tier 1 capital and quarterly average total assets.
(c)    The Federal Reserve’s regulations do not establish well capitalized thresholds for these measures for BHCs.
(d)    The SLR is based on Tier 1 capital and total leverage exposure, which includes certain off-balance sheet exposures.
(e)    The consolidated SLR at March 31, 2021 and Dec. 31, 2020 reflects the temporary exclusion of U.S. Treasury securities from total leverage exposure which increased our consolidated SLR by 68 basis points and 72 basis points, respectively. The temporary exclusion ceased to apply beginning April 1, 2021.


Our CET1 ratio was 12.6% at March 31, 2021 determined under the Standardized Approach and was 13.1% at Dec. 31, 2020 under the Advanced Approaches. The decrease primarily reflects unrealized losses on securities available-for-sale, capital deployed through common stock repurchases and dividends and an increase in RWAs under the Standardized Approach, partially offset by capital generated through earnings.

Capital ratios vary depending on the size of the balance sheet at period-end and the levels and types of investments in assets. The balance sheet size fluctuates from period to period based on levels of customer and market activity. In general, when servicing clients are more actively trading securities, deposit balances and the balance sheet as a whole are higher. In addition, when markets experience significant volatility or stress, our balance sheet size may increase considerably as client deposit levels increase.
Our capital ratios are necessarily subject to, among other things, anticipated compliance with all necessary enhancements to model calibration, approval by regulators of certain models used as part of RWA calculations, other refinements, further implementation guidance from regulators, market practices and standards and any changes BNY Mellon may make to its businesses. As a consequence of these factors, our capital ratios may materially change, and may be volatile over time and from period to period.

Under the Advanced Approaches, our operational loss risk model is informed by external losses, including fines and penalties levied against institutions in the financial services industry, particularly those that relate to businesses in which we operate, and as a result external losses have impacted and could in the future impact the amount of capital that we are required to hold.

36 BNY Mellon

The following table presents our capital components and RWAs.

Capital components and risk-weighted assetsMarch 31, 2021Dec. 31, 2020
(in millions)
CET1:
Common shareholders’ equity$40,413 $41,260 
Adjustments for:
Goodwill and intangible assets (a)
(18,634)(18,697)
Net pension fund assets(321)(319)
Equity method investments(307)(306)
Deferred tax assets(53)(54)
Other(8)(9)
Total CET121,090 21,875 
Other Tier 1 capital:
Preferred stock4,541 4,541 
Other(97)(106)
Total Tier 1 capital$25,534 $26,310 
Tier 2 capital:
Subordinated debt$1,248 $1,248 
Allowance for credit losses409 490 
Other(1)(10)
Total Tier 2 capital – Standardized Approach1,656 1,728 
Excess of expected credit losses127 247 
Less: Allowance for credit losses409 490 
Total Tier 2 capital – Advanced Approaches$1,374 $1,485 
Total capital:
Standardized Approach$27,190 $28,038 
Advanced Approaches$26,908 $27,795 
Risk-weighted assets:
Standardized Approach$167,510 $163,848 
Advanced Approaches:
Credit Risk$99,398 $98,262 
Market Risk3,599 4,226 
Operational Risk64,038 63,938 
Total Advanced Approaches$167,035 $166,426 
Average assets for Tier 1 leverage ratio$440,968 $417,982 
Total leverage exposure for SLR$314,334 $304,823 
(a)    Reduced by deferred tax liabilities associated with intangible assets and tax-deductible goodwill.
The table below presents the factors that impacted CET1 capital.

CET1 generation1Q21
(in millions)
CET1 – Beginning of period$21,875 
Net income applicable to common shareholders of The Bank of New York Mellon Corporation858 
Goodwill and intangible assets, net of related deferred tax liabilities63 
Gross CET1 generated921 
Capital deployed:
Common stock dividends (a)
(277)
Common stock repurchases(699)
Total capital deployed(976)
Other comprehensive income:
Unrealized loss on assets available-for-sale(703)
Foreign currency translation(150)
Unrealized loss on cash flow hedges(3)
Defined benefit plans22 
Total other comprehensive income(834)
Additional paid-in capital (b)
105 
Other additions (deductions):
Net pension fund assets(2)
Embedded goodwill(1)
Deferred tax assets1 
Other1 
Total other deductions(1)
Net CET1 deployed(785)
CET1 – End of period$21,090 
(a)    Includes dividend-equivalents on share-based awards.
(b)    Primarily related to stock awards, the exercise of stock options and stock issued for employee benefit plans.


The following table shows the impact on the consolidated capital ratios at March 31, 2021 of a $100 million increase or decrease in common equity, or a $1 billion increase or decrease in RWAs, quarterly average assets or total leverage exposure.

Sensitivity of consolidated capital ratios at March 31, 2021
 Increase or decrease of
(in basis points)$100 million
in common 
equity		$1 billion in RWA, quarterly average assets or total leverage exposure
CET1:
Standardized Approach
6bps8bps
Advanced Approaches
68
Tier 1 capital:
Standardized Approach
69
Advanced Approaches
69
Total capital:
Standardized Approach
610
Advanced Approaches
610
Tier 1 leverage21
SLR
33

BNY Mellon 37

Effective April 1, 2020 and lasting through March 31, 2021, BHCs were permitted to temporarily exclude U.S. Treasury securities from total leverage exposure used in the SLR calculation. This temporary exclusion increased our consolidated SLR by 68 basis points at March 31, 2021 and 72 basis points at Dec. 31, 2020. The temporary exclusion also impacted the TLAC and LTD calculations. BNY Mellon and The Bank of New York Mellon, as custody banks, will continue to be able to exclude certain central bank placements from the total leverage exposure used in the SLR calculation, consistent with the amendments to the SLR finalized by the U.S. banking agencies in 2019 pursuant to the Economic Growth, Regulatory Relief, and Consumer Protection Act. See “Recent regulatory developments” for additional information.

Stress capital buffer

In August 2020, the Federal Reserve announced that BNY Mellon’s SCB requirement would be 2.5%, equal to the regulatory floor, effective as of Oct. 1, 2020. The SCB replaces the current 2.5% capital conservation buffer for Standardized Approach capital ratios for CCAR BHCs. The SCB does not apply to bank subsidiaries, which remain subject to the static 2.5% capital conservation buffer.

The SCB final rule generally eliminates the requirement for prior approval of common stock repurchases in excess of the distributions in a firm’s capital plan, provided that such distributions are consistent with applicable capital requirements and buffers, including the SCB. In conjunction with the release of the 2020 CCAR results, the Federal Reserve imposed restrictions on capital distributions as described earlier in “Capital” and “Recent regulatory developments.”

Total Loss-Absorbing Capacity (“TLAC”)

The final TLAC rule establishing external TLAC, external long-term debt (“LTD”) and related requirements for U.S. G-SIBs, including BNY Mellon, at the top-tier holding company level became effective on Jan. 1, 2019. The following summarizes the minimum requirements for BNY Mellon’s external TLAC and external LTD ratios, plus currently applicable buffers.
As a % of RWAs (a)
As a % of total leverage exposure
Eligible external TLAC ratios
Regulatory minimum of 18% plus a buffer (b) equal to the sum of 2.5%, the method 1 G-SIB surcharge (currently 1%), and the countercyclical capital buffer, if any
Regulatory minimum of 7.5% plus a buffer (c) equal to 2%
Eligible external LTD ratiosRegulatory minimum of 6% plus the greater of the method 1 or method 2 G-SIB surcharge (currently 1.5%)4.5%
(a)    RWA is the greater of Standardized and Advanced Approaches.
(b)    Buffer to be met using only CET1.
(c)    Buffer to be met using only Tier 1 capital.


External TLAC consists of the Parent’s Tier 1 capital and eligible unsecured LTD issued by it that has a remaining term to maturity of at least one year and satisfies certain other conditions. Eligible LTD consists of the unpaid principal balance of eligible unsecured debt securities, subject to haircuts for amounts due to be paid within two years, that satisfy certain other conditions. Debt issued prior to Dec. 31, 2016 has been permanently grandfathered to the extent these instruments otherwise would be ineligible only due to containing impermissible acceleration rights or being governed by foreign law.

The following table presents our external TLAC and external LTD ratios.

TLAC and LTD ratiosMarch 31, 2021
Minimum
required		Minimum ratios
with buffers
Ratios
Eligible external TLAC:
As a percentage of RWA
18.0 %21.5 %27.5 %
As a percentage of total leverage exposure
7.5 %9.5 %14.6 %
Eligible external LTD:
As a percentage of RWA7.5 %N/A11.4 %
As a percentage of total leverage exposure
4.5 %N/A6.1 %
N/A – Not applicable.


If BNY Mellon maintains risk-based ratio or leverage TLAC measures above the minimum required level, but with a risk-based ratio or leverage below the minimum level with buffers, we will face constraints on dividends, equity repurchases and discretionary executive compensation based on the amount of the shortfall and eligible retained income.
38 BNY Mellon

Trading activities and risk management

Our trading activities are focused on acting as a market-maker for our customers, facilitating customer trades and risk-mitigating hedging in compliance with the Volcker Rule. The risk from market-making activities for customers is managed by our traders and limited in total exposure through a system of position limits, value-at-risk (“VaR”) methodology and other market sensitivity measures. VaR is the potential loss in value due to adverse market movements over a defined time horizon with a specified confidence level. The calculation of our VaR used by management and presented below assumes a one-day holding period, utilizes a 99% confidence level and incorporates non-linear product characteristics. VaR facilitates comparisons across portfolios of different risk characteristics. VaR also captures the diversification of aggregated risk at the firm-wide level.

VaR represents a key risk management measure and it is important to note the inherent limitations to VaR, which include:
•VaR does not estimate potential losses over longer time horizons where moves may be extreme;
•VaR does not take account of potential variability of market liquidity; and
•Previous moves in market risk factors may not produce accurate predictions of all future market moves.

See Note 16 of the Notes to Consolidated Financial Statements for additional information on the VaR methodology.

The following tables indicate the calculated VaR amounts for the trading portfolio for the designated periods using the historical simulation VaR model.

VaR (a)
1Q21March 31, 2021
(in millions)AverageMinimumMaximum
Interest rate$2.1 $1.6 $2.7 $2.5 
Foreign exchange2.7 2.2 3.9 3.0 
Equity0.1 0.1 0.9 0.1 
Credit1.8 1.3 2.8 2.2 
Diversification(3.5)N/MN/M(4.3)
Overall portfolio3.2 2.5 4.9 3.5 

VaR (a)
4Q20Dec. 31, 2020
(in millions)AverageMinimumMaximum
Interest rate$2.2 $1.8 $3.0 $1.8 
Foreign exchange2.5 1.9 3.6 3.0 
Equity0.1 — 0.7 0.7 
Credit1.8 1.2 2.7 2.1 
Diversification(3.1)N/MN/M(3.7)
Overall portfolio3.5 2.3 4.7 3.9 

VaR (a)
1Q20March 31, 2020
(in millions)AverageMinimumMaximum
Interest rate$4.9 $3.2 $11.3 $5.1 
Foreign exchange3.1 1.7 6.3 4.5 
Equity1.4 0.8 2.3 0.9 
Credit3.4 1.2 12.1 9.8 
Diversification(6.4)N/MN/M(9.9)
Overall portfolio6.4 3.5 14.3 10.4 
(a)    VaR exposure does not include the impact of the Company’s consolidated investment management funds and seed capital investments.
N/M – Because the minimum and maximum may occur on different days for different risk components, it is not meaningful to compute a minimum and maximum portfolio diversification effect.


The interest rate component of VaR represents instruments whose values are predominantly driven by interest rate levels. These instruments include, but are not limited to, U.S. Treasury securities, swaps, swaptions, forward rate agreements, exchange-traded futures and options, and other interest rate derivative products.

The foreign exchange component of VaR represents instruments whose values predominantly vary with the level or volatility of currency exchange rates or interest rates. These instruments include, but are not limited to, currency balances, spot and forward transactions, currency options and other currency derivative products.

The equity component of VaR consists of instruments that represent an ownership interest in the form of domestic and foreign common stock or other equity-linked instruments. These instruments include, but are not limited to, common stock, exchange-traded funds, preferred stock, listed equity options (puts and calls), OTC equity options, equity total return swaps, equity index futures and other equity derivative products.

The credit component of VaR represents instruments whose values are predominantly driven by credit spread levels, i.e., idiosyncratic default risk. These instruments include, but are not limited to, securities
BNY Mellon 39

with exposures from corporate and municipal credit spreads.

The diversification component of VaR is the risk reduction benefit that occurs when combining portfolios and offsetting positions, and from the correlated behavior of risk factor movements.

During the first quarter of 2021, interest rate risk generated 31% of average gross VaR, foreign exchange risk generated 40% of average gross VaR, equity risk generated 2% of average gross VaR and credit risk generated 27% of average gross VaR. During the first quarter of 2021, our daily trading loss did not exceed our calculated VaR amount of the overall portfolio.

The following table of total daily trading revenue or loss illustrates the number of trading days in which our trading revenue or loss fell within particular ranges during the past five quarters.

Distribution of trading revenue (loss) (a)
Quarter ended
(dollars in millions)March 31, 2021Dec. 31, 2020Sept. 30, 2020June 30, 2020March 31, 2020
Revenue range:Number of days
Less than $(2.5)— 2 4 6 — 
$(2.5) – $06 12 10 12 3 
$0 – $2.517 11 23 17 19 
$2.5 – $5.021 26 16 15 19 
More than $5.017 11 12 14 21 
(a)    Trading revenue (loss) includes realized and unrealized gains and losses primarily related to spot and forward foreign exchange transactions, derivatives and securities trades for our customers and excludes any associated commissions, underwriting fees and net interest revenue.


Trading assets include debt and equity instruments and derivative assets, primarily interest rate and foreign exchange contracts, not designated as hedging instruments. Trading assets were $16.9 billion at March 31, 2021 and $15.3 billion at Dec. 31, 2020.

Trading liabilities include debt and equity instruments and derivative liabilities, primarily interest rate and foreign exchange contracts, not designated as hedging instruments. Trading liabilities were $4.6 billion at March 31, 2021 and $6.0 billion at Dec. 31, 2020.

Under our fair value methodology for derivative contracts, an initial “risk-neutral” valuation is
performed on each position assuming time-discounting based on a AA credit curve. In addition, we consider credit risk in arriving at the fair value of our derivatives.

We reflect external credit ratings as well as observable credit default swap spreads for both ourselves and our counterparties when measuring the fair value of our derivative positions. Accordingly, the valuation of our derivative positions is sensitive to the current changes in our own credit spreads, as well as those of our counterparties.

At March 31, 2021, our OTC derivative assets, including those in hedging relationships, of $3.5 billion included a credit valuation adjustment (“CVA”) deduction of $24 million. Our OTC derivative liabilities, including those in hedging relationships, of $2.9 billion included a debit valuation adjustment (“DVA”) of $2 million related to our own credit spread. Net of hedges, the CVA increased $1 million and the DVA decreased by less than $1 million in the first quarter of 2021, which decreased other trading revenue by $1 million. The net impact increased other trading revenue by less than $1 million in the fourth quarter of 2020 and increased other trading revenue by $4 million in the first quarter of 2020.

The table below summarizes the distribution of credit ratings for our foreign exchange and interest rate derivative counterparties over the past five quarters, which indicates the level of counterparty credit associated with these trading activities. Significant changes in counterparty credit ratings could alter the level of credit risk faced by BNY Mellon.

Foreign exchange and other trading counterparty risk rating profile (a)
Quarter ended
March 31, 2021Dec. 31, 2020Sept. 30, 2020June 30, 2020March 31, 2020
Rating:
AAA to AA-45 %46 %54 %56 %56 %
A+ to A-26 28 20 18 24 
BBB+ to BBB-22 18 17 18 14 
BB+ and
lower (b)
7 8 9 8 6 
Total100 %100 %100 %100 %100 %
(a)    Represents credit rating agency equivalent of internal credit ratings.
(b)    Non-investment grade.


40 BNY Mellon

Asset/liability management

Our diversified business activities include processing securities, accepting deposits, investing in securities, lending, raising money as needed to fund assets and other transactions. The market risks from these activities include interest rate risk and foreign exchange risk. Our primary market risk is exposure to movements in U.S. dollar interest rates and certain foreign currency interest rates. We actively manage interest rate sensitivity and use earnings simulation and discounted cash flow models to identify interest rate exposures.

An earnings simulation model is the primary tool used to assess changes in pre-tax net interest revenue. The model incorporates management’s assumptions regarding interest rates, market spreads, changes in the prepayment behavior of loans and securities and the impact of derivative financial instruments used for interest rate risk management purposes. These assumptions have been developed through a combination of historical analysis and future expected pricing behavior and are inherently uncertain. Actual results may differ materially from projected results due to timing, magnitude and frequency of interest rate changes, and changes in market conditions and management’s strategies, among other factors.

In the table below, we use the earnings simulation model to run various interest rate ramp scenarios from a baseline scenario. The interest rate ramp scenarios examine the impact of large interest rate movements. In each scenario, all currencies’ interest rates are shifted higher or lower. Typically, the baseline scenario uses the average deposit balances of the last month of the quarter. However, during the months of December 2020 and March 2020, we experienced a significant increase in deposits and a corresponding increase in central bank placements. To normalize the analysis, we used the fourth and first quarter 2020 averages, respectively, for these balances. The 100 basis point ramp scenario assumes rates change 25 basis points above or below the yield curve in each of the next four quarters and the 200 basis point ramp scenario assumes a 50 basis point per quarter change. Interest rate sensitivity is quantified by calculating the change in pre-tax net interest revenue between the scenarios over a 12-month measurement period. The net interest revenue sensitivity methodology assumes static deposit levels
and also assumes that no management actions will be taken to mitigate the effects of interest rate changes.

The following table shows net interest revenue sensitivity for BNY Mellon.

Estimated changes in net interest revenue
(in millions)
March 31, 2021Dec. 31, 2020March 31, 2020
Up 200 bps parallel rate ramp vs. baseline (a)
$1,024 $826 $557 
Up 100 bps parallel rate ramp vs. baseline (a)
551 449 334 
Down 100 bps parallel rate ramp vs. baseline (a)
384 411 100 
Long-term up 50 bps, short-term unchanged (b)
120 125 166 
Long-term down 50 bps, short-term unchanged (b)
(116)(144)(158)
(a)    In the parallel rate ramp, both short-term and long-term rates move in four equal quarterly increments.
(b)    Long-term is equal to or greater than one year.


The increases in the scenarios compared with Dec. 31, 2020 and March 31, 2020 are primarily driven by increased deposits.

While the net interest revenue sensitivity scenarios calculations assume static deposit balances to facilitate consistent period-over-period comparisons, it is likely that a portion of the recent monetary policy-driven deposit inflows would run-off in rising rate environments, such as the up 100 bps and up 200 bps parallel ramps. Noninterest-bearing deposits are particularly sensitive to changes in short-term rates.

To illustrate the net interest revenue sensitivity to deposit runoff, we note that a $5 billion instantaneous reduction of U.S. dollar denominated noninterest-bearing deposits would reduce the net interest revenue sensitivity results in the ramp up 100 basis point and 200 basis point scenarios in the table above by approximately $30 million and approximately $65 million, respectively. The impact would be smaller if the runoff was assumed to be a mixture of interest-bearing and noninterest-bearing deposits.

For a discussion of factors impacting the growth or contraction of deposits, see “Risk Factors – Our business, financial condition and results of operations could be adversely affected if we do not effectively manage our liquidity,” in our 2020 Annual Report.

BNY Mellon 41

Supplemental information – Explanation of GAAP and Non-GAAP financial measures

BNY Mellon has included in this Form 10-Q certain Non-GAAP financial measures on a tangible basis as a supplement to GAAP information, which exclude goodwill and intangible assets, net of deferred tax liabilities. We believe that the return on tangible common equity is additional useful information for investors because it presents a measure of those assets that can generate income, and the tangible book value per common share is additional useful information because it presents the level of tangible assets in relation to shares of common stock outstanding.

The presentation of the growth rates of investment management and performance fees on a constant currency basis permits investors to assess the significance of changes in foreign currency exchange rates. Growth rates on a constant currency basis were
determined by applying the current period foreign currency exchange rates to the prior period revenue. We believe that this presentation, as a supplement to GAAP information, gives investors a clearer picture of the related revenue results without the variability caused by fluctuations in foreign currency exchange rates.

BNY Mellon has also included the adjusted pre-tax operating margin – Non-GAAP, which is the pre-tax operating margin for the Investment and Wealth Management business, net of distribution and servicing expense that was passed to third parties who distribute or service our managed funds. We believe that this measure is useful when evaluating the performance of the Investment and Wealth Management business relative to industry competitors.

The following table presents the reconciliation of the return on common equity and tangible common equity.

Return on common equity and tangible common equity reconciliation1Q214Q201Q20
(dollars in millions)
Net income applicable to common shareholders of The Bank of New York Mellon Corporation – GAAP$858 $702 $944 
Add:  Amortization of intangible assets24 26 26 
Less: Tax impact of amortization of intangible assets6 6 6 
Adjusted net income applicable to common shareholders of The Bank of New York Mellon Corporation, excluding amortization of intangible assets – Non-GAAP$876 $722 $964 
Average common shareholders’ equity$40,720 $40,712 $37,664 
Less: Average goodwill17,494 17,411 17,311 
Average intangible assets3,000 3,019 3,089 
Add: Deferred tax liability – tax deductible goodwill1,153 1,144 1,109 
  Deferred tax liability – intangible assets665 667 666 
Average tangible common shareholders’ equity – Non-GAAP$22,044 $22,093 $19,039 
Return on common shareholders’ equity – GAAP
8.5 %6.9 %10.1 %
Return on tangible common shareholders’ equity – Non-GAAP 16.1 %13.0 %20.4 %


42 BNY Mellon

The following table presents the reconciliation of book value and tangible book value per common share.

Book value and tangible book value per common share reconciliationMarch 31, 2021Dec. 31, 2020March 31, 2020
(dollars in millions, except per share amounts and unless otherwise noted)
BNY Mellon shareholders’ equity at period end – GAAP$44,954 $45,801 $41,145 
Less: Preferred stock4,541 4,541 3,542 
BNY Mellon common shareholders’ equity at period end – GAAP40,413 41,260 37,603 
Less: Goodwill17,469 17,496 17,240 
Intangible assets2,983 3,012 3,070 
Add: Deferred tax liability – tax deductible goodwill1,153 1,144 1,109 
Deferred tax liability – intangible assets665 667 666 
BNY Mellon tangible common shareholders’ equity at period end – Non-GAAP
$21,779 $22,563 $19,068 
Period-end common shares outstanding (in thousands)
875,481 886,764 885,443 
Book value per common share – GAAP$46.16 $46.53 $42.47 
Tangible book value per common share – Non-GAAP$24.88 $25.44 $21.53 


The following table presents the impact of changes in foreign currency exchange rates on our consolidated investment management and performance fees.

Constant currency reconciliation – Consolidated1Q211Q201Q21 vs.
(dollars in millions)1Q20
Investment management and performance fees – GAAP$890 $862 3 %
Impact of changes in foreign currency exchange rates— 23 
Adjusted investment management and performance fees – Non-GAAP$890 $885 1 %


The following table presents the impact of changes in foreign currency exchange rates on investment management and performance fees reported in the Investment and Wealth Management business.

Constant currency reconciliation – Investment and Wealth Management business
1Q21 vs.
(dollars in millions)1Q211Q201Q20
Investment management and performance fees – GAAP
$890 $862 3 %
Impact of changes in foreign currency exchange rates— 23 
Adjusted investment management and performance fees – Non-GAAP$890 $885 1 %


The following table presents the reconciliation of the pre-tax operating margin for the Investment and Wealth Management business.

Pre-tax operating margin reconciliation – Investment and Wealth Management business
(dollars in millions)1Q214Q203Q202Q201Q20
Income before income taxes – GAAP$278 $311 $245 $221 $194 
Total revenue – GAAP$991 $990 $918 $886 $898 
Less: Distribution and servicing expense
75 76 85 86 91 
Adjusted total revenue, net of distribution and servicing expense – Non-GAAP$916 $914 $833 $800 $807 
Pre-tax operating margin – GAAP (a)
28 %32 %27 %25 %22 %
Adjusted pre-tax operating margin, net of distribution and servicing expense – Non-GAAP (a)
30 %34 %29 %28 %24 %
(a)    Income before taxes divided by total revenue.

BNY Mellon 43

Recent regulatory developments

For a summary of additional regulatory matters relevant to our operations, see “Supervision and Regulation” in our 2020 Annual Report. The following discussions summarize certain regulatory, legislative and other developments that may affect BNY Mellon.

End of Temporary Restrictions on Capital Distributions

On March 25, 2021, the Federal Reserve announced that the temporary restrictions on the dividends and share repurchases of certain BHCs that are subject to CCAR currently in effect will end after June 30, 2021 for the CCAR BHCs that remain above all of their minimum risk-based capital requirements after completion of the current round of stress tests. For the first quarter of 2021, CCAR BHCs, such as BNY Mellon, were generally authorized to repurchase stock in connection with employee benefit plans; pay dividends and make share repurchases that, in the aggregate, do not exceed an amount equal to the firm’s average net income for the four preceding quarters, provided that common stock dividends would not be increased; and redeem and make scheduled payments on additional Tier 1 and Tier 2 capital instruments. The Federal Reserve has announced that these restrictions will remain in place for the second quarter of 2021. The Federal Reserve has also announced that after June 30, 2021, the CCAR BHCs that are no longer subject to these temporary restrictions will continue to be subject to the normal constraints under the SCB framework. For additional information regarding the SCB framework, capital planning and stress testing, see “Supervision and Regulation – Capital Planning and Stress Testing” in our 2020 Annual Report.

Expiration of Certain Temporary Relief Measures and Facilities

On March 19, 2021, the Federal Reserve announced that the temporary exclusions of on-balance sheet amounts of U.S. Treasury securities from the SLR calculations for certain BHCs and depository institutions which were put in place by the U.S. banking agencies in 2020 expired as scheduled on March 31, 2021. BNY Mellon and The Bank of New York Mellon, as custody banks, will continue to be able to exclude certain central bank placements from the total leverage exposure used in the SLR calculation, consistent with the amendments to the
SLR finalized by the U.S. banking agencies in 2019 pursuant to the Economic Growth, Regulatory Relief, and Consumer Protection Act.

Also on March 31, 2021, the MMLF program, which was designed to provide indirect liquidity to money market mutual funds, expired as scheduled. For additional information regarding these and other temporary measures, see “Supervision and Regulation – Pandemic-Related Measures” in our 2020 Annual Report.

Other matters

On March 5, 2021, the administrator of LIBOR announced that it would cease the publication of non-U.S. dollar London Interbank Offered Rate (“LIBOR”) settings and one-week and two-month U.S. dollar LIBOR settings on Dec. 31, 2021 and would cease the publication of the other U.S. dollar LIBOR settings on June 30, 2023. On the same day, the UK Financial Conduct Authority (“FCA”) made a related announcement regarding when LIBOR settings will cease to be provided by any administrator or no longer be representative. The International Swaps and Derivatives Association (“ISDA”) also announced that the FCA’s announcement was an index cessation event under its fallbacks protocol for all LIBOR settings and that consequently, the fallback spread adjustment was fixed as of the date of the announcement.

In April 2021, New York adopted legislation that provides a statutory fallback mechanism to replace LIBOR with a benchmark rate based on SOFR for New York-law governed contracts that reference LIBOR and either have no fallback provisions or provisions that are based on LIBOR. The New York legislation also has a safe harbor regarding the selection and use of that SOFR-based benchmark rate.

The U.S. bank regulators have issued guidance strongly encouraging banking organizations to cease using U.S. dollar LIBOR as a reference rate in new contracts as soon as practicable and in any event by Dec. 31, 2021. We are continuing to work to facilitate an orderly transition from interbank offered rates, including LIBOR, to alternative reference rates for us and our clients.

44 BNY Mellon

Website information

Our website is www.bnymellon.com. We currently make available the following information under the Investor Relations portion of our website. With respect to filings with the SEC, we post such information as soon as reasonably practicable after we electronically file such materials with, or furnish them to, the SEC.
•All of our SEC filings, including annual reports on Form 10-K, quarterly reports on Form 10-Q, current reports on Form 8-K and all amendments to these reports, as well as proxy statements and SEC Forms 3, 4 and 5;
•Our earnings materials and selected management conference calls and presentations;
•Other regulatory disclosures, including: Pillar 3 Disclosures (and Market Risk Disclosure contained therein); Liquidity Coverage Ratio Disclosures; Federal Financial Institutions Examination Council – Consolidated Reports of Condition and Income for a Bank With Domestic and Foreign Offices; Consolidated Financial Statements for Bank Holding Companies; and the Dodd-Frank Act Stress Test Results for BNY Mellon and The Bank of New York Mellon; and
•Our Corporate Governance Guidelines, Amended and Restated By-laws, Directors’ Code of Conduct and the Charters of the Audit, Finance, Corporate Governance, Nominating and Social Responsibility, Human Resources and Compensation, Risk and Technology Committees of our Board of Directors.

We may use our website, our Twitter account (@BNYMellon) and other social media channels as additional means of disclosing information to the public. The information disclosed through those channels may be considered to be material. The contents of our website or social media channels referenced herein are not incorporated by reference into this Quarterly Report on Form 10-Q.
BNY Mellon 45
The Bank of New York Mellon Corporation (and its subsidiaries)
Consolidated Income Statement (unaudited)

Quarter ended
March 31, 2021Dec. 31, 2020March 31, 2020
(in millions)
Fee and other revenue
Investment services fees:
Asset servicing fees$1,199 $1,138 $1,159 
Clearing services fees455 418 470 
Issuer services fees245 257 263 
Treasury services fees157 156 149 
Total investment services fees2,056 1,969 2,041 
Investment management and performance fees890 884 862 
Foreign exchange revenue (a)
231 187 245 
Financing-related fees51 46 59 
Distribution and servicing29 28 31 
Total fee revenue (a)
3,257 3,114 3,238 
Investment and other income (a)
9 43 47 
Net securities gains— 6 9 
Total other revenue (a)
9 49 56 
Total fee and other revenue (a)
3,266 3,163 3,294 
Net interest revenue
Interest revenue738 776 1,570 
Interest expense83 96 756 
Net interest revenue655 680 814 
Total revenue3,921 3,843 4,108 
Provision for credit losses(83)15 169 
Noninterest expense
Staff1,602 1,554 1,482 
Software and equipment362 359 326 
Professional, legal and other purchased services343 381 330 
Sub-custodian and clearing124 116 105 
Net occupancy123 173 135 
Distribution and servicing74 75 91 
Bank assessment charges34 24 35 
Amortization of intangible assets24 26 26 
Business development19 26 42 
Other146 191 140 
Total noninterest expense2,851 2,925 2,712 
Income
Income before income taxes1,153 903 1,227 
Provision for income taxes221 148 265 
Net income932 755 962 
Net (income) loss attributable to noncontrolling interests related to consolidated investment management funds(5)(5)18 
Net income applicable to shareholders of The Bank of New York Mellon Corporation927 750 980 
Preferred stock dividends(69)(48)(36)
Net income applicable to common shareholders of The Bank of New York Mellon Corporation$858 $702 $944 
(a)    In the first quarter of 2021, we reclassified certain items within total revenue on the consolidated income statement and reclassified prior periods to be comparable with the current period presentation. See Note 1 of the Notes to Consolidated Financial Statements for additional information.
46 BNY Mellon
The Bank of New York Mellon Corporation (and its subsidiaries)
Consolidated Income Statement (unaudited) (continued)

Net income applicable to common shareholders of The Bank of New York Mellon Corporation used for the earnings per share calculationQuarter ended
(in millions)March 31, 2021Dec. 31, 2020March 31, 2020
Net income applicable to common shareholders of The Bank of New York Mellon Corporation$858 $702 $944 
Less: Earnings allocated to participating securities1 1 3 
Net income applicable to common shareholders of The Bank of New York Mellon Corporation after required adjustment for the calculation of basic and diluted earnings per common share$857 $701 $941 


Average common shares and equivalents outstanding of The Bank of New York Mellon CorporationQuarter ended
(in thousands)March 31, 2021Dec. 31, 2020March 31, 2020
Basic882,558 889,928 894,122 
Common stock equivalents3,824 2,654 3,941 
Less: Participating securities(727)(736)(1,374)
Diluted885,655 891,846 896,689 
Anti-dilutive securities (a)
4,133 1,493 2,584 
(a)    Represents stock options, restricted stock, restricted stock units and participating securities outstanding but not included in the computation of diluted average common shares because their effect would be anti-dilutive.


Earnings per share applicable to common shareholders of The Bank of New York Mellon CorporationQuarter ended
(in dollars)March 31, 2021Dec. 31, 2020March 31, 2020
Basic$0.97 $0.79 $1.05 
Diluted$0.97 $0.79 $1.05 


See accompanying unaudited Notes to Consolidated Financial Statements.
BNY Mellon 47
The Bank of New York Mellon Corporation (and its subsidiaries)
Consolidated Comprehensive Income Statement (unaudited)

Quarter ended
(in millions)March 31, 2021Dec. 31, 2020March 31, 2020
Net income$932 $755 $962 
Other comprehensive income (loss), net of tax:
Foreign currency translation adjustments(150)431 (369)
Unrealized gain (loss) on assets available-for-sale:
Unrealized (loss) gain arising during the period(703)33 183 
Reclassification adjustment— (5)(7)
Total unrealized (loss) gain on assets available-for-sale(703)28 176 
Defined benefit plans:
Net (loss) arising during the period— (107)— 
Amortization of prior service credit, net loss and initial obligation included in net periodic benefit cost22 20 18 
Total defined benefit plans22 (87)18 
Net unrealized (loss) gain on cash flow hedges(3)4 (11)
Total other comprehensive (loss) income, net of tax (a)
(834)376 (186)
Total comprehensive income98 1,131 776 
Net (income) loss attributable to noncontrolling interests(5)(5)18 
Other comprehensive (income) loss attributable to noncontrolling interests— (2)2 
Comprehensive income applicable to shareholders of The Bank of New York Mellon Corporation$93 $1,124 $796 
(a)    Other comprehensive (loss) income attributable to The Bank of New York Mellon Corporation shareholders was $(834) million for the quarter ended March 31, 2021, $374 million for the quarter ended Dec. 31, 2020 and $(184) million for the quarter ended March 31, 2020.


See accompanying unaudited Notes to Consolidated Financial Statements.
48 BNY Mellon
The Bank of New York Mellon Corporation (and its subsidiaries)
Consolidated Balance Sheet (unaudited)

March 31, 2021Dec. 31, 2020
(dollars in millions, except per share amounts)
Assets
Cash and due from banks, net of allowance for credit losses of $3 and $4
$5,991 $6,252 
Interest-bearing deposits with the Federal Reserve and other central banks125,524 141,775 
Interest-bearing deposits with banks, net of allowance for credit losses of $2 and $3 (includes restricted of $3,379 and $3,167)
23,763 17,300 
Federal funds sold and securities purchased under resale agreements28,263 30,907 
Securities:
Held-to-maturity, at amortized cost, net of allowance for credit losses of less than $1 and less than $1 (fair value of $48,489 and $49,224)
48,032 47,946 
Available-for-sale, at fair value (amortized cost of $106,156 and $105,141, net of allowance for credit losses of $10 and $11)
107,812 108,495 
Total securities155,844 156,441 
Trading assets16,884 15,272 
Loans60,732 56,469 
Allowance for credit losses(327)(358)
Net loans60,405 56,111 
Premises and equipment3,521 3,602 
Accrued interest receivable485 510 
Goodwill17,469 17,496 
Intangible assets2,983 3,012 
Other assets, net of allowance for credit losses on accounts receivable of $4 and $4 (includes $1,159 and $1,009, at fair value) (a)
23,852 20,955 
Total assets $464,984 $469,633 
Liabilities
Deposits:
Noninterest-bearing (principally U.S. offices)$95,306 $83,854 
Interest-bearing deposits in U.S. offices132,558 133,479 
Interest-bearing deposits in non-U.S. offices108,904 124,212 
Total deposits336,768 341,545 
Federal funds purchased and securities sold under repurchase agreements15,150 11,305 
Trading liabilities4,566 6,031 
Payables to customers and broker-dealers23,827 25,085 
Other borrowed funds348 350 
Accrued taxes and other expenses
4,916 5,696 
Other liabilities (including allowance for credit losses on lending-related commitments of $73 and $121, also includes $441 and $1,110, at fair value) (a)
8,656 7,517 
Long-term debt (includes $400 and $400, at fair value)
25,350 25,984 
Total liabilities 419,581 423,513 
Temporary equity
Redeemable noncontrolling interests187 176 
Permanent equity
Preferred stock – par value $0.01 per share; authorized 100,000,000 shares; issued 45,826 and 45,826 shares
4,541 4,541 
Common stock – par value $0.01 per share; authorized 3,500,000,000 shares; issued 1,387,789,904 and 1,382,306,327 shares
14 14 
Additional paid-in capital27,928 27,823 
Retained earnings 34,822 34,241 
Accumulated other comprehensive loss, net of tax(1,819)(985)
Less: Treasury stock of 512,309,057 and 495,542,796 common shares, at cost
(20,532)(19,833)
Total The Bank of New York Mellon Corporation shareholders’ equity 44,954 45,801 
Nonredeemable noncontrolling interests of consolidated investment management funds262 143 
Total permanent equity 45,216 45,944 
Total liabilities, temporary equity and permanent equity $464,984 $469,633 
(a)    In the first quarter of 2021, we reclassified the assets and liabilities of consolidated investment management funds, at fair value, to other assets and other liabilities, respectively. Prior periods have been reclassified. See Note 1 of the Notes to Consolidated Financial Statements for additional information.


See accompanying unaudited Notes to Consolidated Financial Statements.
BNY Mellon 49
The Bank of New York Mellon Corporation (and its subsidiaries)
Consolidated Statement of Cash Flows (unaudited)

Three months ended March 31,
(in millions)20212020
Operating activities
Net income$932 $962 
Net (income) attributable to noncontrolling interests(5)18 
Net income applicable to shareholders of The Bank of New York Mellon Corporation927 980 
Adjustments to reconcile net income to net cash provided by (used for) operating activities:
Provision for credit losses (a)
(83)169 
Pension plan contributions
(7)(6)
Depreciation and amortization
466 354 
Deferred tax (benefit)
275 (300)
Net securities (gains)— (9)
Change in trading assets and liabilities(3,074)2,419 
Change in accruals and other, net(1,678)(5,292)
Net cash (used for) operating activities(3,174)(1,685)
Investing activities
Change in interest-bearing deposits with banks(6,385)(6,066)
Change in interest-bearing deposits with the Federal Reserve and other central banks13,940 (52,370)
Purchases of securities held-to-maturity(3,425)(5,151)
Paydowns of securities held-to-maturity2,969 1,503 
Maturities of securities held-to-maturity161 1,310 
Purchases of securities available-for-sale(12,247)(22,222)
Sales of securities available-for-sale3,209 3,107 
Paydowns of securities available-for-sale3,498 2,042 
Maturities of securities available-for-sale3,878 4,727 
Net change in loans(4,254)(7,626)
Sales of loans and other real estate1 1 
Change in federal funds sold and securities purchased under resale agreements2,630 2,739 
Net change in seed capital investments(38)18 
Purchases of premises and equipment/capitalized software(220)(264)
Dispositions, net of cash8 — 
Other, net953 (349)
Net cash provided by (used for) investing activities4,678 (78,601)
Financing activities
Change in deposits(2,922)79,678 
Change in federal funds purchased and securities sold under repurchase agreements3,936 1,775 
Change in payables to customers and broker-dealers(1,229)5,329 
Change in other borrowed funds5 961 
Change in commercial paper— (2,838)
Net proceeds from the issuance of long-term debt1,196 998 
Repayments of long-term debt(1,500)(1,750)
Proceeds from the exercise of stock options26 30 
Issuance of common stock3 3 
Treasury stock acquired(699)(985)
Common cash dividends paid(277)(282)
Preferred cash dividends paid(69)(36)
Other, net10 (3)
Net cash (used for) provided by financing activities(1,520)82,880 
Effect of exchange rate changes on cash(33)(56)
Change in cash and due from banks and restricted cash
Change in cash and due from banks and restricted cash (49)2,538 
Cash and due from banks and restricted cash at beginning of period9,419 7,267 
Cash and due from banks and restricted cash at end of period$9,370 $9,805 
Cash and due from banks and restricted cash
Cash and due from banks at end of period (unrestricted cash)$5,991 $5,091 
Restricted cash at end of period3,379 4,714 
Cash and due from banks and restricted cash at end of period$9,370 $9,805 
Supplemental disclosures
Interest paid$126 $851 
Income taxes paid122 185 
Income taxes refunded4 10 


See accompanying unaudited Notes to Consolidated Financial Statements.
50 BNY Mellon
The Bank of New York Mellon Corporation (and its subsidiaries)
Consolidated Statement of Changes in Equity (unaudited)

The Bank of New York Mellon Corporation shareholdersNonredeemable
noncontrolling
interests of
consolidated
investment
management
funds		Total
permanent
equity		Redeemable
non-
controlling
interests/
temporary
equity
(in millions, except per
share amount)		Preferred stockCommon
stock		Additional
paid-in
capital		Retained
earnings		Accumulated other comprehensive (loss), net
of tax		Treasury
stock
Balance at Dec. 31, 2020$4,541 $14 $27,823 $34,241 $(985)$(19,833)$143 $45,944 (a)$176 
Shares issued to shareholders of noncontrolling interests— — — — — — — — 23 
Redemption of subsidiary shares from noncontrolling interests— — — — — — — — (30)
Other net changes in noncontrolling interests— — (33)— — — 114 81 18 
Net income— — — 927 — — 5 932 — 
Other comprehensive income— — — — (834)— — (834)— 
Dividends:
Common stock at $0.31 per
  share (b)
— — — (277)— — — (277)— 
Preferred stock— — — (69)— — — (69)— 
Repurchase of common stock— — — — — (699)— (699)— 
Common stock issued under employee benefit plans— — 5 — — — — 5 — 
Stock awards and options exercised— — 133 — — — — 133 — 
Balance at March 31, 2021$4,541 $14 $27,928 $34,822 $(1,819)$(20,532)$262 $45,216 (a)$187 
(a)Includes total The Bank of New York Mellon Corporation common shareholders’ equity of $41,260 million at Dec. 31, 2020 and $40,413 million at March 31, 2021.
(b)    Includes dividend-equivalents on share-based awards.


The Bank of New York Mellon Corporation shareholdersNonredeemable
noncontrolling
interests of
consolidated
investment
management
funds		Total
permanent
equity		Redeemable
non-
controlling
interests/
temporary
equity
(in millions, except per
share amount)		Preferred stockCommon
stock		Additional
paid-in
capital		Retained
earnings		Accumulated other comprehensive (loss), net
of tax		Treasury
stock
Balance at Sept. 30, 2020$4,532 $14 $27,741 $33,821 $(1,359)$(19,832)$251 $45,168 (a)$179 
Shares issued to shareholders of noncontrolling interests
— — — — — — — — 25 
Redemption of subsidiary shares from noncontrolling interests
— — — — — — — — (14)
Other net changes in noncontrolling interests
— — 17 — — — (113)(96)(16)
Net income— — — 750 — — 5 755 — 
Other comprehensive income— — — — 370 — — 370 2 
Dividends:
Common stock at $0.31 per
  share
— — — (278)— — — (278)— 
Preferred stock— — — (33)— — — (33)— 
Repurchase of common stock— — — — — (1)— (1)— 
Common stock issued under employee benefit plans— — 5 — — — — 5 — 
Preferred stock redemption(583)— — — — — — (583)— 
Preferred stock issued577 — — — — — — 577 — 
Stock awards and options exercised— — 60 — — — — 60 — 
Amortization of preferred stock discount15 — — (15)— — — — — 
Other— — — (4)4 — — — — 
Balance at Dec. 31, 2020$4,541 $14 $27,823 $34,241 $(985)$(19,833)$143 $45,944 (a)$176 
(a)Includes total The Bank of New York Mellon Corporation common shareholders’ equity of $40,385 million at Sept. 30, 2020 and $41,260 million at Dec. 31, 2020.
BNY Mellon 51
The Bank of New York Mellon Corporation (and its subsidiaries)
Consolidated Statement of Changes in Equity (unaudited) (continued) 

The Bank of New York Mellon Corporation shareholdersNonredeemable
noncontrolling
interests of
consolidated
investment
management
funds		Total
permanent
equity		Redeemable
non-
controlling
interests/
temporary
equity
(in millions, except per
share amount)		Preferred stockCommon
stock		Additional
paid-in
capital		Retained
earnings		Accumulated other comprehensive (loss), net
of tax		Treasury
stock
Balance at Dec. 31, 2019$3,542 $14 $27,515 $31,894 $(2,638)$(18,844)$102 $41,585 (a)$143 
Impact of adopting ASU 2016-13, Financial Instruments – Credit Losses
— — — 45 (5)— — 40 — 
Adjusted balance at Jan. 1, 20193,542 14 27,515 31,939 (2,643)(18,844)102 41,625 143 
Shares issued to shareholders of noncontrolling interests
— — — — — — — — 17 
Redemption of subsidiary shares from noncontrolling interests
— — — — — — — — (16)
Other net changes in noncontrolling interests
— — (5)— — — 10 5 (2)
Net income— — — 980 — — (18)962 — 
Other comprehensive income
— — — — (184)— — (184)(2)
Dividends:
Common stock at $0.31 per
  share
— — — (282)— — — (282)— 
Preferred stock— — — (36)— — — (36)— 
Repurchase of common stock— — — — — (985)— (985)— 
Common stock issued under employee benefit plans
— — 9 — — — — 9 — 
Stock awards and options exercised
— — 125 — — — — 125 — 
Balance at March 31, 2020$3,542 $14 $27,644 $32,601 $(2,827)$(19,829)$94 $41,239 (a)$140 
(a)    Includes total The Bank of New York Mellon Corporation common shareholders’ equity of $37,941 million at Dec. 31, 2019 and $37,603 million at March 31, 2020.


See accompanying unaudited Notes to Consolidated Financial Statements.
52 BNY Mellon
Notes to Consolidated Financial Statements
Note 1–Basis of presentation

In this Quarterly Report on Form 10-Q, references to “our,” “we,” “us,” “BNY Mellon,” the “Company” and similar terms refer to The Bank of New York Mellon Corporation and its consolidated subsidiaries. The term “Parent” refers to The Bank of New York Mellon Corporation but not to its subsidiaries.

Basis of presentation

The accounting and financial reporting policies of BNY Mellon, a global financial services company, conform to U.S. generally accepted accounting principles (“GAAP”) and prevailing industry practices. For information on our significant accounting and reporting policies, see Note 1 in our 2020 Annual Report.

The accompanying consolidated financial statements are unaudited. In the opinion of management, all adjustments necessary for a fair presentation of financial position, results of operations and cash flows for the periods presented have been made. These financial statements should be read in conjunction with our 2020 Annual Report.

In order to combine items of a similar nature within total revenue and to simplify our income statement presentation, in the first quarter of 2021, we made the following reporting changes. The reclassifications had no impact on consolidated total revenue or total revenue for the business segments. Prior periods were reclassified to be comparable with the current period presentation.
•Other trading revenue was reclassified from foreign exchange and other trading revenue to investment and other income.
•Foreign exchange and other trading revenue was renamed foreign exchange revenue.
•The impact of foreign currency remeasurement was reclassified from investment and other income to foreign exchange revenue.
•Income (loss) from consolidated investment management funds was reclassified to investment and other income.
•Investment and other income was reclassified from fee revenue to other revenue. Other revenue includes investment and other income and net securities gains (losses).

In addition, the assets and liabilities of consolidated investment management funds were reclassified to other assets and other liabilities, respectively, on the consolidated balance sheet. The reclassifications had no impact on total assets or total liabilities. Prior periods were reclassified to be comparable with the current period presentation.

The table below summarizes the effects of the reclassifications on the consolidated income statement.

Consolidated income statement reclassificationsQuarter ended
Dec. 31, 2020March 31, 2020
(in millions)
Before reclassifications
Foreign exchange and other trading revenue$167 $319 
Total fee revenue$3,116 $3,323 
Investment and other income$22 $11 
Income (loss) from consolidated investment management funds$41 $(38)
After reclassifications
Foreign exchange revenue$187 $245 
Total fee revenue$3,114 $3,238 
Investment and other income$43 $47 


The table below summarizes the effects of the reclassifications on the consolidated balance sheet.

Consolidated balance sheet reclassificationsDec. 31, 2020
(in millions)
Before reclassifications
Other assets$20,468 
Assets of consolidated investment management funds, at fair value$487 
Other liabilities$7,514 
Liabilities of consolidated investment management funds, at fair value$3 
After reclassifications
Other assets$20,955 
Other liabilities$7,517 


BNY Mellon 53
Notes to Consolidated Financial Statements (continued)
The table below summarizes the effects of the reclassifications on the business segments.

Business segment reclassifications
(in millions)4Q203Q202Q201Q20
Investment Services business
Before reclassifications
Foreign exchange and other trading revenue$180 $146 $178 $261 
Other revenue$94 $100 $145 $146 
After reclassifications
Foreign exchange revenue$163 $126 $164 $228 
Other revenue$111 $120 $159 $179 
Other segment
Before reclassifications
Fee (loss) revenue$(23)$11 $29 $21 
Net securities gains$6 $9 $9 $9 
After reclassifications
Fee revenue$11 $7 $10 $6 
Other (loss) revenue$(28)$13 $28 $24 


Certain additional immaterial reclassifications have been made to prior periods to place them on a basis comparable with the current period presentation.

Use of estimates

The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates based upon assumptions about future economic and market conditions which affect reported amounts and related disclosures in our financial statements. Although our current estimates contemplate current conditions and how we expect them to change in the future, it is reasonably possible that actual conditions could be worse than anticipated in those estimates, which could materially affect our results of operations and financial condition.

Note 2–Acquisitions and dispositions

In the fourth quarter of 2020, BNY Mellon entered into agreements to sell two legal entities, one of which closed in the first quarter of 2021. The remaining transaction is expected to close in the second quarter of 2021. BNY Mellon recorded a total after-tax loss of $34 million on these transactions in the fourth quarter of 2020.

Note 3–Securities

The following tables present the amortized cost, the gross unrealized gains and losses and the fair value of securities at March 31, 2021 and Dec. 31, 2020.

Securities at March 31, 2021Gross
unrealized		Fair
value
Amortized cost
(in millions)GainsLosses
Available-for-sale:
U.S. Treasury$27,474 $730 $276 $27,928 
Agency residential mortgage-backed securities (“RMBS”)19,501 405 60 19,846 
Sovereign debt/sovereign guaranteed13,453 141 34 13,560 
Agency commercial mortgage-backed securities (“MBS”)8,797 446 27 9,216 
Supranational7,414 44 20 7,438 
Foreign covered bonds6,491 55 4 6,542 
Collateralized loan obligations (“CLOs”)4,751 7 4 4,754 
Non-agency commercial MBS2,907 80 28 2,959 
U.S. government agencies2,823 113 17 2,919 
Foreign government agencies2,678 24 4 2,698 
State and political subdivisions2,650 19 35 2,634 
Other asset-backed securities (“ABS”)2,617 20 9 2,628 
Non-agency RMBS (a)
2,310 156 15 2,451 
Corporate bonds2,289 32 83 2,238 
Other debt securities1 — — 1 
Total securities available-for-sale (b)(c)
$106,156 $2,272 $616 $107,812 
Held-to-maturity:
Agency RMBS$38,606 $728 $346 $38,988 
U.S. Treasury2,938 72 — 3,010 
Agency commercial MBS2,687 69 30 2,726 
U.S. government agencies2,675 1 68 2,608 
Sovereign debt/sovereign guaranteed1,001 30 2 1,029 
Non-agency RMBS55 3 — 58 
Supranational55 — — 55 
State and political subdivisions15 1 1 15 
Total securities held-to-maturity$48,032 $904 $447 $48,489 
Total securities$154,188 $3,176 $1,063 $156,301 
(a)    Includes $451 million that was included in the former Grantor Trust.
(b)    The amortized cost of available-for-sale securities is net of the allowance for credit loss of $10 million. The allowance for credit loss primarily relates to CLOs.
(c)    Includes gross unrealized gains of $72 million and gross unrealized losses of $39 million recorded in accumulated other comprehensive income related to securities that were transferred from available-for-sale to held-to-maturity. The unrealized gains are primarily related to agency commercial MBS and losses are primarily related to agency RMBS and will be amortized into net interest revenue over the contractual lives of the securities.
54 BNY Mellon
Notes to Consolidated Financial Statements (continued)
Securities at Dec. 31, 2020Gross
unrealized
Amortized costFair
value
(in millions)GainsLosses
Available-for-sale:
U.S. Treasury$23,557 $1,358 $21 $24,894 
Agency RMBS21,919 479 51 22,347 
Sovereign debt/sovereign guaranteed
12,202 190 1 12,391 
Agency commercial MBS
8,605 625 2 9,228 
Supranational7,086 75 1 7,160 
Foreign covered bonds
6,658 68 1 6,725 
CLOs4,706 7 10 4,703 
Foreign government agencies
4,086 49 — 4,135 
U.S. government agencies
3,680 174 1 3,853 
Other ABS
3,135 32 3 3,164 
Non-agency commercial MBS
2,864 159 6 3,017 
Non-agency RMBS (a)
2,178 157 9 2,326 
State and political subdivisions
2,270 39 1 2,308 
Corporate bonds1,945 50 1 1,994 
Commercial paper/certificates of deposit (“CDs”)249 — — 249 
Other debt securities1 — — 1 
Total securities available-for-sale (b)(c)
$105,141 $3,462 $108 $108,495 
Held-to-maturity:
Agency RMBS$38,355 $1,055 $14 $39,396 
U.S. Treasury2,938 90 — 3,028 
U.S. government agencies
2,816 4 6 2,814 
Agency commercial MBS
2,659 105 2 2,762 
Sovereign debt/sovereign guaranteed
1,050 42 — 1,092 
Non-agency RMBS58 3 — 61 
Supranational
55 — — 55 
State and political subdivisions
15 1 — 16 
Total securities held-to-maturity
$47,946 $1,300 $22 $49,224 
Total securities$153,087 $4,762 $130 $157,719 
(a)    Includes $487 million that was included in the former Grantor Trust.
(b)    The amortized cost of available-for-sale securities is net of the allowance for credit loss of $11 million. The allowance for credit loss primarily relates to CLOs.
(c)    Includes gross unrealized gains of $75 million and gross unrealized losses of $44 million recorded in accumulated other comprehensive income related to securities that were transferred from available-for-sale to held-to-maturity. The unrealized gains are primarily related to agency commercial MBS 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 and losses, on a gross basis.

Net securities gains (losses)
(in millions)1Q214Q201Q20
Realized gross gains$12 $8 $12 
Realized gross losses(12)(2)(3)
Total net securities gains$— $6 $9 


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

Net securities gains (losses)
(in millions)1Q214Q201Q20
U.S. Treasury$(4)$1 $5 
Other4 5 4 
Total net securities gains$— $6 $9 


Allowance for credit losses – Securities

The allowance for credit losses related to securities was $10 million at March 31, 2021 and $11 million at Dec. 31, 2020, and primarily relates to the available-for-sale CLO portfolio.

Credit quality indicators – Securities

At March 31, 2021, the gross unrealized losses on the securities portfolio were primarily attributable to an increase in credit spreads 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, $39 million of the unrealized losses at March 31, 2021 and $44 million at Dec. 31, 2020 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 securities portfolio in 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.

BNY Mellon 55
Notes to Consolidated Financial Statements (continued)
The following tables show the aggregate fair value of available-for-sale 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 without an allowance for credit losses.

Available-for-sale securities in an unrealized loss position without an allowance for credit losses at March 31, 2021 (a)
Less than 12 months12 months or moreTotal
Fair
value		Unrealized
losses		Fair
value		Unrealized
losses		Fair
value		Unrealized
losses
(in millions)
Agency RMBS$1,452 $22 $604 $38 $2,056 $60 
U.S. Treasury9,032 276 — — 9,032 276 
Sovereign debt/sovereign guaranteed3,751 34 190 — 3,941 34 
Agency commercial MBS1,164 26 233 1 1,397 27 
Foreign covered bonds849 4 14 — 863 4 
Supranational1,818 20 133 — 1,951 20 
CLOs749 1 451 3 1,200 4 
Foreign government agencies698 4 — — 698 4 
U.S. government agencies829 17 — — 829 17 
Other ABS1,031 8 138 1 1,169 9 
Non-agency commercial MBS998 27 104 1 1,102 28 
Non-agency RMBS (b)
1,114 11 263 4 1,377 15 
State and political subdivisions1,420 35 2 — 1,422 35 
Corporate bonds1,559 83 — — 1,559 83 
Total securities available-for-sale (c)
$26,464 $568 $2,132 $48 $28,596 $616 
(a)    Includes $10.0 billion of securities with an unrealized loss of greater than $1 million.
(b)    Includes $3 million of securities with an unrealized loss of less than $1 million for less than 12 months and $9 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.
(c)    Includes gross unrealized losses of $39 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.


Available-for-sale securities in an unrealized loss position without an allowance for credit losses at Dec. 31, 2020 (a)
Less than 12 months12 months or moreTotal
Fair
value		Unrealized
losses		Fair
value		Unrealized
losses		Fair
value		Unrealized
losses
(in millions)
Available-for-sale:
Agency RMBS$850 $4 $1,965 $47 $2,815 $51 
U.S. Treasury4,253 21 — — 4,253 21 
Sovereign debt/sovereign guaranteed1,349 1 135 — 1,484 1 
Agency commercial MBS440 1 266 1 706 2 
Foreign covered bonds468 1 90 — 558 1 
Supranational1,041 1 132 — 1,173 1 
CLOs1,849 6 579 4 2,428 10 
U.S. government agencies160 1 — — 160 1 
Other ABS449 2 226 1 675 3 
Non-agency commercial MBS468 4 170 2 638 6 
Non-agency RMBS (b)
973 3 103 6 1,076 9 
State and political subdivisions273 1 2 — 275 1 
Corporate bonds282 1 — — 282 1 
Total securities available-for-sale (c)
$12,855 $47 $3,668 $61 $16,523 $108 
(a)    Includes $1.6 billion of securities with an unrealized loss of greater than $1 million.
(b)    Includes $16 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.
(c)    Includes gross unrealized losses of $44 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.

56 BNY Mellon
Notes to Consolidated Financial Statements (continued)
The following tables show the credit quality of the held-to-maturity securities. We have included certain credit ratings information because the information can indicate the degree of credit risk to which we are exposed. Significant changes in ratings classifications could indicate increased credit risk for us and could be accompanied by an increase in the allowance for credit losses and/or a reduction in the fair value of our securities portfolio.

Held-to-maturity securities portfolio at March 31, 2021
Ratings (a)
Net unrealized gainBB+
and
lower		A1+/A2/SP-1
(dollars in millions)Amortized
cost		AAA/
AA-		A+/
A-		BBB+/
BBB-		Not
rated
Agency RMBS
$38,606 $382 100 %— %— %— %— %— %
U.S. Treasury2,938 72 100 — — — — — 
U.S. government agencies
2,675 (67)100 — — — — — 
Agency commercial MBS
2,687 39 100 — — — — — 
Sovereign debt/sovereign guaranteed (b)
1,001 28 100 — — — — — 
Non-agency RMBS55 3 28 56 1 14 — 1 
Supranational55 — 100 — — — — — 
State and political subdivisions
15 — 6 2 5 — — 87 
Total held-to-maturity securities
$48,032 $457 100 %— %— %— %— %— %
(a)    Represents ratings by Standard & Poor’s (“S&P”) or the equivalent.
(b)    Primarily consists of exposure to France, UK and Germany.


Held-to-maturity securities portfolio at Dec. 31, 2020
Ratings (a)
Net unrealized gainBB+
and
lower		A1+/A2/SP-1
(dollars in millions)Amortized
cost		AAA/
AA-		A+/
A-		BBB+/
BBB-		Not
rated
Agency RMBS$38,355 $1,041 100 %— %— %— %— %— %
U.S. Treasury2,938 90 100 — — — — — 
U.S. government agencies2,816 (2)100 — — — — — 
Agency commercial MBS2,659 103 100 — — — — — 
Sovereign debt/sovereign guaranteed (b)
1,050 42 98 — — — 2 — 
Non-agency RMBS58 3 28 55 2 14 — 1 
Supranational55 — 100 — — — — — 
State and political subdivisions15 1 6 2 6 — — 86 
Total held-to-maturity securities$47,946 $1,278 100 %— %— %— %— %— %
(a)    Represents ratings by Standard & Poor’s (“S&P”) or the equivalent.
(b)    Primarily consists of exposure to France, UK and Germany.


BNY Mellon 57
Notes to Consolidated Financial Statements (continued)
Maturity distribution

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 March 31, 2021
U.S. TreasuryU.S. government
agencies		State and political
subdivisions		Other bonds, notes and debenturesMortgage/
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$3,637 1.36 %$— — %$702 1.27 %$9,028 0.46 %$— — %$13,367 
Over 1 through 5 years11,763 1.11 1,382 0.86 531 2.72 18,095 0.56 — — 31,771 
Over 5 through 10 years9,784 1.34 1,400 2.38 1,079 1.50 5,181 0.77 — — 17,444 
Over 10 years2,744 3.11 137 1.98 322 2.24 173 0.72 — — 3,376 
Mortgage-backed securities— — — — — — — — 34,472 2.18 34,472 
Asset-backed securities— — — — — — — — 7,382 1.55 7,382 
Total$27,928 1.42 %$2,919 1.64 %$2,634 1.77 %$32,477 0.57 %$41,854 2.07 %$107,812 
Securities held-to-maturity:
One year or less$1,429 2.03 %$— — %$— — %$48 0.23 %$— — %$1,477 
Over 1 through 5 years1,509 1.93 880 0.68 2 5.62 925 0.69 — — 3,316 
Over 5 through 10 years— — 1,530 1.07 — — 83 0.60 — — 1,613 
Over 10 years— — 265 2.18 13 4.76 — — — — 278 
Mortgage-backed securities— — — — — — — — 41,348 2.38 41,348 
Total$2,938 1.98 %$2,675 1.05 %$15 4.90 %$1,056 0.66 %$41,348 2.38 %$48,032 
(a)Yields are based upon the amortized cost of securities.


Pledged assets

At March 31, 2021, BNY Mellon had pledged assets of $142 billion, including $113 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 March 31, 2021 included $124 billion of securities, $11 billion of loans, $6 billion of trading assets and $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, 2020, BNY Mellon had pledged assets of $141 billion, including $113 billion pledged as collateral for potential borrowing at the Federal Reserve Discount Window and $5 billion pledged as collateral for borrowing at the Federal Home Loan Bank. The components of the assets pledged at Dec. 31, 2020 included $124 billion of securities, $11 billion of loans, $6 billion of trading assets and less than $1 billion of interest-bearing deposits with banks.
At March 31, 2021 and Dec. 31, 2020, pledged assets included $20 billion and $18 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 March 31, 2021 and Dec. 31, 2020, the market value of the securities received that can be sold or repledged was $95 billion and $121 billion, respectively. We routinely sell or repledge these securities through delivery to third parties. As of March 31, 2021 and Dec. 31, 2020, the market value of securities collateral sold or repledged was $58 billion and $84 billion, respectively.

Restricted cash and securities

Cash and securities may be segregated under federal and other regulations or requirements. At both March 31, 2021 and Dec. 31, 2020, cash segregated under federal and other regulations or requirements was $3 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 $4 billion at March 31, 2021 and $6 billion at Dec. 31, 2020. Restricted securities were sourced from securities purchased
58 BNY Mellon
Notes to Consolidated Financial Statements (continued)
under resale agreements and are included in federal funds sold and securities purchased under resale agreements on the consolidated balance sheet.

Note 4–Loans and asset quality

Loans

The table below provides the details of our loan portfolio.

LoansMarch 31, 2021Dec. 31, 2020
(in millions)
Domestic:
Commercial$1,428 $1,356 
Commercial real estate5,876 6,056 
Financial institutions4,431 4,495 
Lease financings399 431 
Wealth management loans and mortgages
16,460 16,211 
Other residential mortgages364 389 
Overdrafts954 651 
Other1,780 1,823 
Margin loans15,514 13,141 
Total domestic47,206 44,553 
Foreign:
Commercial16 73 
Commercial real estate6 — 
Financial institutions6,531 6,750 
Lease financings561 559 
Wealth management loans and mortgages
123 146 
Other (primarily overdrafts)3,910 2,113 
Margin loans2,379 2,275 
Total foreign13,526 11,916 
Total loans (a)
$60,732 $56,469 
(a)    Net of unearned income of $265 million at March 31, 2021 and $274 million at Dec. 31, 2020 primarily related to domestic and foreign lease financings.

Our loan portfolio consists of three portfolio segments: commercial, lease financings and mortgages. We manage our portfolio at the class level, which consists of six classes of financing receivables: commercial, commercial real estate, financial institutions, lease financings, wealth
management loans and mortgages and other residential mortgages.

The following tables are presented for each class of financing receivables and provide additional information about our credit risks.

Allowance for credit losses

Activity in the allowance for credit losses on loans and lending-related commitments is presented below. This does not include activity in the allowance for credit losses related to other financial instruments, including cash and due from banks, interest-bearing deposits with banks, federal funds sold and securities purchased under resale agreements, held-to-maturity securities, available-for-sale securities and accounts receivable.

Allowance for credit losses activity for the quarter ended March 31, 2021
Wealth management loans and mortgagesOther
residential
mortgages
(in millions)CommercialCommercial
real estate		Financial
institutions		Lease
financings		Total
Beginning balance$16 $430 $10 $2 $8 $13 $479 
Charge-offs— — — — (1)— (1)
Recoveries— — — — — 2 2 
Net (charge-offs) recoveries— — — — (1)2 1 
Provision (a)
(5)(65)(3)— (1)(6)(80)
Ending balance (b)
$11 $365 $7 $2 $6 $9 $400 
Allowance for:
Loan losses$4 $303 $4 $2 $5 $9 $327 
Lending-related commitments7 62 3 — 1 — 73 
Individually evaluated for impairment:
Loan balance (c)
$— $26 $— $— $18 $1 $45 
Allowance for loan losses— 5 — — — — 5 
(a)    Does not include the provision for credit losses benefit related to other financial instruments of $3 million for the first quarter 2021.
(b)    Includes $3 million of allowance for credit losses related to foreign loans, primarily financial institutions.
(c)    Includes collateral dependent loans of $45 million with $59 million of collateral at fair value.

BNY Mellon 59
Notes to Consolidated Financial Statements (continued)
Allowance for credit losses activity for the quarter ended Dec. 31, 2020
Wealth management loans and mortgagesOther
residential
mortgages
(in millions)CommercialCommercial
real estate		Financial
institutions		Lease
financings		Total
Beginning balance$27 $386 $11 $3 $15 $18 $460 
Charge-offs— — — — — (1)(1)
Recoveries— — — — — 1 1 
Net (charge-offs) recoveries— — — — — — — 
Provision (a)
(11)44 (1)(1)(7)(5)19 
Ending balance (b)
$16 $430 $10 $2 $8 $13 $479 
Allowance for:
Loan losses$6 $324 $6 $2 $7 $13 $358 
Lending-related commitments10 106 4 — 1 — 121 
Individually evaluated for impairment:
Loan balance$— $— $— $— $20 (c)$— $20 
Allowance for loan losses— — — — — — — 
(a)    Does not include the provision for credit losses benefit related to other financial instruments of $4 million for the fourth quarter 2020.
(b)    Includes $6 million of allowance for credit losses related to foreign loans, primarily financial institutions.
(c)    Includes collateral dependent loans of $20 million with $30 million of collateral at fair value.


Allowance for credit losses activity for the quarter ended March 31, 2020
Wealth management loans and mortgagesOther
residential
mortgages		ForeignTotal
(in millions)CommercialCommercial
real estate		Financial
institutions		Lease
financings		(a)
Balance at Dec. 31, 2019$60 $76 $20 $3 $20 $13 $24 $216 
Impact of adopting ASU 2016-13(43)14 (6)— (12)2 (24)(69)
Balance at Jan. 1, 202017 90 14 3 8 15 — 147 
Charge-offs— — — — — — — — 
Recoveries— — — — — — — — 
Net (charge-offs) recoveries— — — — — — — — 
Provision (b)
9 118 4 10 1 (1)— 141 
Ending balance (c)
$26 $208 $18 $13 $9 $14 $— $288 
Allowance for:
Loan losses$13 $83 $10 $13 $7 $14 $— $140 
Lending-related commitments13 125 8 — 2 — — 148 
Individually evaluated for impairment:
Loan balance$— $— $— $— $18 (d)$— $— $18 
Allowance for loan losses— — — — — — — — 
(a)    The allowance related to foreign exposure has been reclassified to financial institutions ($10 million), commercial ($10 million) and lease financings ($4 million).
(b)    Does not include the provision for credit losses related to other financial instruments of $28 million for the first quarter 2020.
(c)    Includes $12 million of allowance for credit losses related to foreign loans, primarily financial institutions.
(d)    Includes collateral dependent loans of $18 million with $26 million of collateral at fair value.


60 BNY Mellon
Notes to Consolidated Financial Statements (continued)
Nonperforming assets

The table below presents our nonperforming assets.

Nonperforming assetsMarch 31, 2021Dec. 31, 2020
Recorded investmentRecorded investment
With an
allowance		Without an allowanceWith an
allowance		Without an allowance
(in millions)TotalTotal
Nonperforming loans:
Other residential mortgages$55 $1 $56 $57 $— $57 
Wealth management loans and mortgages
10 18 28 10 20 30 
Commercial real estate26 — 26 1 — 1 
Total nonperforming loans91 19 110 68 20 88 
Other assets owned— 2 2 — 1 1 
Total nonperforming assets
$91 $21 $112 $68 $21 $89 


At March 31, 2021, undrawn commitments to borrowers whose loans were classified as nonaccrual or reduced rate were not material.

Past due loans

The table below presents our past due loans.

Past due loans and still accruing interestMarch 31, 2021Dec. 31, 2020
 Days past dueTotal
past due		Days past dueTotal
past due
(in millions)30-5960-89≥9030-5960-89≥90
Wealth management loans and mortgages$56 $— $— $56 $54 $1 $— $55 
Financial institutions11 8 — 19 11 — — 11 
Other residential mortgages7 — — 7 3 1 — 4 
Commercial real estate4 — — 4 19 16 — 35 
Total past due loans$78 $8 $— $86 $87 $18 $— $105 


Loan modifications

Due to the coronavirus pandemic, there have been two forms of relief provided for classifying loans as TDRs: The Coronavirus Aid, Relief, and Economic Security Act (the “CARES Act”), the relevant provisions of which were extended by the Consolidated Appropriations Act, 2021, and the Interagency Guidance. See Note 1 of the Notes to Consolidated Financial Statements in our 2020 Annual Report for additional details on the CARES Act, Consolidated Appropriations Act, 2021, and Interagency Guidance. Financial institutions may account for eligible loan modifications either under the CARES Act or the Interagency Guidance. The Company has elected to apply both the CARES Act and the Interagency Guidance, as applicable, in
providing borrowers with loan modification relief in response to the coronavirus pandemic. We modified loans of $6 million in the first quarter of 2021, less than $1 million in the first quarter of 2020 and $16 million in the fourth quarter of 2020. Nearly all of the modifications were short-term loan payment forbearances or modified principal and/or interest payments. These loans were primarily residential mortgage and commercial real estate loans. We also modified $14 million of commercial real estate loans in the first quarter of 2021 by providing payment modifications and an extension of maturity. We did not identify any of the modifications as TDRs. At March 31, 2021, the unpaid principal balance of the loans modified under the CARES Act or Interagency Guidance was $91 million.
BNY Mellon 61
Notes to Consolidated Financial Statements (continued)
Credit quality indicators

Our credit strategy is to focus on investment-grade clients that are active users of our non-credit services. Each customer is assigned an internal credit rating, which is mapped to an external rating agency grade equivalent, if possible, based upon a number of dimensions, which are continually evaluated and may change over time.

The tables below provide information about the credit profile of the loan portfolio by the period of origination.

Credit profile of the loan portfolioMarch 31, 2021
Revolving loans
Originated, at amortized costAmortized costConverted to term loans – Amortized costAccrued
interest
receivable
(in millions)1Q212020201920182017Prior to 2017
Total (a)
Commercial:
Investment grade$392 $20 $— $— $208 $57 $589 $— $1,266 
Non-investment grade98 23 — — — — 57 — 178 
Total commercial490 43 — — 208 57 646 — 1,444 $1 
Commercial real estate:
Investment grade892 457 818 175 319 542 123 — 3,326 
Non-investment grade525 179 591 439 117 471 208 26 2,556 
Total commercial real estate1,417 636 1,409 614 436 1,013 331 26 5,882 8 
Financial institutions:
Investment grade409 159 — — — 97 8,582 — 9,247 
Non-investment grade43 20 — — — — 1,652 — 1,715 
Total financial institutions452 179 — — — 97 10,234 — 10,962 14 
Wealth management loans and mortgages:
Investment grade7 16 77 5 150 171 8,070 — 8,496 
Non-investment grade— — — — — — 58 — 58 
Wealth management mortgages437 1,089 982 616 1,113 3,750 42 — 8,029 
Total wealth management loans and mortgages
444 1,105 1,059 621 1,263 3,921 8,170 — 16,583 27 
Lease financings5 100 17 13 7 818 — — 960 — 
Other residential mortgages— — — — — 364 — — 364 1 
Other loans— — — — — — 1,842 — 1,842 1 
Margin loans3,265 2,800 — — — — 11,828 — 17,893 8 
Total loans$6,073 $4,863 $2,485 $1,248 $1,914 $6,270 $33,051 $26 $55,930 $60 
(a)    Excludes overdrafts of $4,802 million. Overdrafts occur on a daily basis primarily in the custody and securities clearance business and are generally repaid within two business days.

62 BNY Mellon
Notes to Consolidated Financial Statements (continued)
Credit profile of the loan portfolioDec. 31, 2020
Revolving loans
Originated, at amortized costAmortized costConverted to term loans – Amortized costAccrued
interest
receivable
(in millions)20202019201820172016Prior to 2016
Total (a)
Commercial:
Investment grade$128 $18 $71 $420 $57 $— $493 $— $1,187 
Non-investment grade142 — 6 — — — 94 — 242 
Total commercial270 18 77 420 57 — 587 — 1,429 $2 
Commercial real estate:
Investment grade778 1,010 458 543 312 346 127 — 3,574 
Non-investment grade285 619 643 159 376 144 229 27 2,482 
Total commercial real estate1,063 1,629 1,101 702 688 490 356 27 6,056 8 
Financial institutions:
Investment grade132 146 47 125 13 156 8,760 — 9,379 
Non-investment grade84 36 — — — — 1,746 — 1,866 
Total financial institutions216 182 47 125 13 156 10,506 — 11,245 12 
Wealth management loans and mortgages:
Investment grade18 85 11 147 59 112 7,786 — 8,218 
Non-investment grade— — — — — — 54 — 54 
Wealth management mortgages1,117 1,044 637 1,188 1,515 2,546 38 — 8,085 
Total wealth management loans and mortgages1,135 1,129 648 1,335 1,574 2,658 7,878 — 16,357 27 
Lease financings116 18 14 9 20 813 — — 990 — 
Other residential mortgages— — — — — 389 — — 389 1 
Other loans— — — — — — 1,904 — 1,904 1 
Margin loans4,614 — — — — — 10,802 — 15,416 8 
Total loans$7,414 $2,976 $1,887 $2,591 $2,352 $4,506 $32,033 $27 $53,786 $59 
(a)    Excludes overdrafts of $2,683 million. Overdrafts occur on a daily basis primarily in the custody and securities clearance business and are generally repaid within two business days.


Commercial

The commercial loan portfolio is divided into investment grade and non-investment grade categories based on the assigned internal credit ratings, which are generally consistent with those of the public rating agencies. Customers with ratings consistent with BBB- (S&P)/Baa3 (Moody’s) or better are considered to be investment grade. Those clients with ratings lower than this threshold are considered to be non-investment grade.

Commercial real estate

Our income-producing commercial real estate facilities are focused on experienced owners and are structured with moderate leverage based on existing cash flows. Our commercial real estate lending activities also include construction and renovation facilities.

Financial institutions

Financial institution exposures are high quality, with 96% of the exposures meeting the investment grade
equivalent criteria of our internal credit rating classification at March 31, 2021. In addition, 73% of the financial institutions exposure is secured. For example, securities industry clients and asset managers often borrow against marketable securities held in custody. The exposure to financial institutions is generally short term, with 89% expiring within one year.

Wealth management loans and mortgages

Wealth management non-mortgage loans are not typically rated by external rating agencies. A majority of the wealth management loans are secured by the customers’ investment management accounts or custody accounts. Eligible assets pledged for these loans are typically investment grade fixed-income securities, equities and/or mutual funds. Internal ratings for this portion of the wealth management portfolio, therefore, would equate to investment grade external ratings. Wealth management loans are provided to select customers based on the pledge of other types of assets, including business assets, fixed assets or a modest amount of commercial real estate. For the loans collateralized by other assets, the credit
BNY Mellon 63
Notes to Consolidated Financial Statements (continued)
quality of the obligor is carefully analyzed, but we do not consider this portfolio of loans to be investment grade.

Credit quality indicators for wealth management mortgages are not correlated to external ratings. Wealth management mortgages are typically loans to high-net-worth individuals, which are secured primarily by residential property. These loans are primarily interest-only, adjustable rate mortgages with a weighted-average loan-to-value ratio of 62% at origination. Delinquency rate is a key indicator of credit quality in the wealth management portfolio. At March 31, 2021, less than 1% of the mortgages were past due.

At March 31, 2021, the wealth management mortgage portfolio consisted of the following geographic concentrations: California – 22%; New York – 16%; Massachusetts – 10%; Florida – 8%; and other – 44%.

Lease financing

At March 31, 2021, the lease financings portfolio consisted of exposures backed by well-diversified assets, primarily large-ticket transportation equipment and real estate. The largest component of our lease residual value exposure is freight-related rail cars. Assets are both domestic and foreign-based, with primary concentrations in the U.S. and Germany.

Other residential mortgages

The other residential mortgage portfolio primarily consists of 1-4 family residential mortgage loans and totaled $364 million at March 31, 2021 and $389
million at Dec. 31, 2020. These loans are not typically correlated to external ratings. Included in this portfolio at March 31, 2021 were $63 million of mortgage loans purchased in 2005, 2006 and the first quarter of 2007.

Overdrafts

Overdrafts primarily relate to custody and securities clearance clients and totaled $4.8 billion at March 31, 2021 and $2.7 billion at Dec. 31, 2020. Overdrafts occur on a daily basis and are generally repaid within two business days.

Other loans

Other loans primarily include loans to consumers that are fully collateralized with equities, mutual funds and fixed-income securities.

Margin loans

We had $17.9 billion of secured margin loans at March 31, 2021, compared with $15.4 billion at Dec. 31, 2020. Margin loans are collateralized with marketable securities, and borrowers are required to maintain a daily collateral margin in excess of 100% of the value of the loan. We have rarely suffered a loss on these types of loans.

Reverse repurchase agreements

Reverse repurchase agreements at March 31, 2021 were fully secured with high quality collateral. As a result, there was no allowance for credit losses related to these assets at March 31, 2021.

Note 5–Goodwill and intangible assets

Goodwill

The tables below provide a breakdown of goodwill by business.

Goodwill by business

(in millions)
Investment
Services		Investment
and Wealth
Management		OtherConsolidated
Balance at Dec. 31, 2020$8,456 $9,040 $— $17,496 
Dispositions— (5)— (5)
Foreign currency translation(28)6 — (22)
Balance at March 31, 2021$8,428 $9,041 $— $17,469 


64 BNY Mellon
Notes to Consolidated Financial Statements (continued)
Goodwill by business

(in millions)
Investment
Services		Investment
and Wealth
Management		OtherConsolidated
Balance at Dec. 31, 2019$8,332 $9,007 $47 $17,386 
Foreign currency translation(43)(103)— (146)
Other (a)
47 — (47)— 
Balance at March 31, 2020$8,336 $8,904 $— $17,240 
(a)    Reflects the transfer of goodwill associated with Capital Markets business.


Intangible assets

The tables below provide a breakdown of intangible assets by business.

Intangible assets – net carrying amount by business

(in millions)
Investment
Services		Investment and Wealth ManagementOtherConsolidated
Balance at Dec. 31, 2020$608 $1,555 $849 $3,012 
Disposition— (6)— (6)
Amortization(17)(7)— (24)
Foreign currency translation(1)2 — 1 
Balance at March 31, 2021$590 $1,544 $849 $2,983 


Intangible assets – net carrying amount by business
(in millions)
Investment
Services		Investment and Wealth ManagementOtherConsolidated
Balance at Dec. 31, 2019$678 $1,580 $849 $3,107 
Amortization(18)(8)— (26)
Foreign currency translation(1)(10)— (11)
Balance at March 31, 2020$659 $1,562 $849 $3,070 


The table below provides a breakdown of intangible assets by type.

Intangible assetsMarch 31, 2021Dec. 31, 2020
(in millions)Gross
carrying
amount		Accumulated
amortization		Net
carrying
amount		Remaining
weighted-
average
amortization
period		Gross
carrying
amount		Accumulated
amortization		Net
carrying
amount
Subject to amortization: (a)
Customer contracts—Investment Services$1,431 $(1,212)$219 10 years$1,435 $(1,199)$236 
Customer relationships—Investment and Wealth Management697 (567)130 9 years705 (564)141 
Other59 (17)42 14 years59 (15)44 
Total subject to amortization2,187 (1,796)391 10 years2,199 (1,778)421 
Not subject to amortization: (b)
Tradename1,295 N/A1,295 N/A1,295 N/A1,295 
Customer relationships1,297 N/A1,297 N/A1,296 N/A1,296 
Total not subject to amortization2,592 N/A2,592 N/A2,591 N/A2,591 
Total intangible assets$4,779 $(1,796)$2,983 N/A$4,790 $(1,778)$3,012 
(a)    Excludes fully amortized intangible assets.
(b)    Intangible assets not subject to amortization have an indefinite life.
N/A – Not applicable.


BNY Mellon 65
Notes to Consolidated Financial Statements (continued)
Estimated annual amortization expense for current intangibles for the next five years is as follows:

For the year ended
Dec. 31,
Estimated amortization expense
(in millions)
2021$81 
202263 
202353 
202445 
202538 


Impairment testing

The goodwill impairment test is performed at least annually at the reporting unit level. Intangible assets not subject to amortization are tested for impairment annually or more often if events or circumstances indicate they may be impaired.


Note 6–Other assets

The following table provides the components of other assets presented on the consolidated balance sheet.

Other assetsMarch 31, 2021Dec. 31, 2020
(in millions)
Corporate/bank-owned life insurance$5,325 $5,301 
Accounts receivable4,390 3,619 
Fails to deliver3,042 1,371 
Software1,905 1,884 
Prepaid pension assets1,602 1,556 
Equity in a joint venture and other investments1,283 1,259 
Renewable energy investments1,134 1,206 
Qualified affordable housing project investments1,113 1,145 
Income taxes receivable807 599 
Prepaid expense540 477 
Assets of consolidated investment management funds (a)
508 487 
Federal Reserve Bank stock480 479 
Seed capital263 215 
Fair value of hedging derivatives85 19 
Other (b)
1,375 1,338 
Total other assets (a)
$23,852 $20,955 
(a)    In the first quarter of 2021, we reclassified the assets of consolidated investment management funds, at fair value, to other assets on the consolidated balance sheet. Prior periods have been reclassified. See Note 1 for additional information.
(b)    At March 31, 2021 and Dec. 31, 2020, other assets include $8 million and $7 million, respectively, of Federal Home Loan Bank stock, at cost.

Non-readily marketable equity securities

Non-readily marketable equity securities do not have readily determinable fair values. These investments are valued using a measurement alternative where the investments are carried at cost, less any impairment, and plus or minus changes resulting from observable price changes in orderly transactions for an identical or similar investment of the same issuer. The observable price changes are recorded in investment and other income on the consolidated income statement. Our non-readily marketable equity securities totaled $137 million at March 31, 2021 and $129 million at Dec. 31, 2020 and are included in equity in a joint venture and other investments in the table above.

The following table presents the adjustments on the non-readily marketable equity securities.

Adjustments on non-readily marketable equity securitiesLife-to-date
(in millions)1Q214Q201Q20
Upward adjustments$— $11 $4 $53 
Downward adjustments— — — (4)
Net adjustments$— $11 $4 $49 


Qualified affordable housing project investments

We invest in affordable housing projects primarily to satisfy the Company’s requirements under the Community Reinvestment Act. Our total investment in qualified affordable housing projects totaled $1.1 billion at March 31, 2021 and Dec. 31, 2020. Commitments to fund future investments in qualified affordable housing projects totaled $493 million at March 31, 2021 and $514 million at Dec. 31, 2020 and are recorded in other liabilities on the consolidated balance sheet. A summary of the commitments to fund future investments is as follows: 2021 – $186 million; 2022 – $106 million; 2023 – $144 million; 2024 – $31 million; 2025 – $1 million; and 2026 and thereafter – $25 million.

Tax credits and other tax benefits recognized were $38 million in the first quarter of 2021, $26 million in the fourth quarter of 2020, $38 million in the first quarter of 2020.

Amortization expense included in the provision for income taxes was $32 million in the first quarter of 2021, $21 million in the fourth quarter of 2020 and $31 million in the first quarter of 2020.
66 BNY Mellon
Notes to Consolidated Financial Statements (continued)
Investments valued using net asset value (“NAV”) per share

In our Investment and Wealth Management business, we make seed capital investments in certain funds we manage. We also hold private equity investments, specifically small business investment companies
(“SBICs”), which are compliant with the Volcker Rule, and certain other corporate investments. Seed capital, private equity and other corporate investments are included in other assets on the consolidated balance sheet. The fair value of certain of these investments was estimated using the NAV per share for our ownership interest in the funds.


The table below presents information on our investments valued using NAV.

Investments valued using NAVMarch 31, 2021Dec. 31, 2020
(in millions)Fair valueUnfunded 
commitments		Fair valueUnfunded
commitments
Seed capital (a)
$53 $20 $52 $22 
Private equity investments (SBICs) (b)
110 54 102 52 
Other (c)
43 — 47 — 
Total$206 $74 $201 $74 
(a)    Primarily includes leveraged loans and structured credit funds, which are generally not redeemable. Distributions from such investments will be received as the underlying investments in the funds, which have lives of three to 11 years at both March 31, 2021 and Dec. 31, 2020, are liquidated.
(b)    Private equity investments include Volcker Rule-compliant investments in SBICs that invest in various sectors of the economy. Private equity investments do not have redemption rights. Distributions from such investments will be received as the underlying investments in the private equity investments, which have a life of 10 years, are liquidated.
(c)    Primarily includes investments in funds that relate to deferred compensation arrangements with employees. Investments in funds can be redeemed on a monthly to quarterly basis with redemption notice periods of up to 95 days.


Note 7–Contract revenue

Fee and other revenue in Investment Services and Investment and Wealth Management is primarily variable, based on levels of assets under custody and/or administration, assets under management and the level of client-driven transactions, as specified in fee schedules. See Note 10 of the Notes to Consolidated Financial Statements in our 2020 Annual Report for information on the nature of our services and revenue recognition. See Note 24 of the Notes to Consolidated Financial Statements in our 2020 Annual Report for additional information on our principal businesses, Investment Services and
Investment and Wealth Management, and the primary services provided.

Disaggregation of contract revenue

Contract revenue is included in fee and other revenue on the consolidated income statement. The following table presents fee and other revenue, disaggregated by type, related to contracts with customers for each business segment. Business segment data has been determined on an internal management basis of accounting, rather than GAAP, which is used for consolidated financial reporting.

BNY Mellon 67
Notes to Consolidated Financial Statements (continued)
Disaggregation of contract revenue by business segment
Quarter ended
March 31, 2021Dec. 31, 2020March 31, 2020
(in millions)ISIWMOtherTotalISIWMOtherTotalISIWMOtherTotal
Fee and other revenue – contract revenue:
Investment services fees:
Asset servicing fees$1,175 $25 $(18)$1,182 $1,115 $22 $(14)$1,123 $1,127 $23 $(11)$1,139 
Clearing services fees455 — — 455 418 — — 418 470 — — 470 
Issuer services fees245 — — 245 257 — — 257 263 — — 263 
Treasury services fees159 — 1 160 156 — 1 157 149 — — 149 
Total investment services
fees
2,034 25 (17)2,042 1,946 22 (13)1,955 2,009 23 (11)2,021 
Investment management and performance fees4 883 (5)882 4 881 (5)880 5 862 (4)863 
Financing-related fees20 — — 20 13 — — 13 28 — — 28 
Distribution and servicing1 28 — 29 (1)29 — 28 (12)43 — 31 
Investment and other income36 (11)— 25 48 (24)— 24 72 (50)— 22 
Total fee and other revenue – contract revenue2,095 925 (22)2,998 2,010 908 (18)2,900 2,102 878 (15)2,965 
Fee and other revenue – not in scope of Accounting Standards Codification (“ASC”) 606 (a)(b)
250 18 (5)263 225 32 1 258 334 (32)45 347 
Total fee and other revenue$2,345 $943 $(27)$3,261 $2,235 $940 $(17)$3,158 $2,436 $846 $30 $3,312 
(a)    Primarily includes asset servicing fees, foreign exchange revenue, financing-related fees, investment and other income (loss) and net securities gains (losses), all of which are accounted for using other accounting guidance.
(b)    The Investment and Wealth Management business segment includes income (loss) attributable to noncontrolling interests related to consolidated investment management funds of $5 million in the first quarter of 2021, $5 million in the fourth quarter of 2020 and $(18) million in the first quarter of 2020.
IS – Investment Services segment.
IWM – Investment and Wealth Management segment.


Contract balances

Our clients are billed based on fee schedules that are agreed upon in each customer contract. Receivables from customers were $3.0 billion at March 31, 2021 and $2.4 billion at Dec. 31, 2020.

Contract assets represent accrued revenues that have not yet been billed to the customers due to certain contractual terms other than the passage of time and were $68 million at March 31, 2021 and $32 million at Dec. 31, 2020. Accrued revenues recorded as contract assets are usually billed on an annual basis.

Both receivables from customers and contract assets are included in other assets on the consolidated balance sheet.

Contract liabilities represent payments received in advance of providing services under certain contracts and were $184 million at March 31, 2021 and $167 million at Dec. 31, 2020. Contract liabilities are included in other liabilities on the consolidated balance sheet. Revenue recognized in the first quarter
of 2021 relating to contract liabilities as of Dec. 31, 2020 was $49 million.

Changes in contract assets and liabilities primarily relate to either party’s performance under the contracts.

Contract costs

Incremental costs for obtaining contracts that are deemed recoverable are capitalized as contract costs. Such costs result from the payment of sales incentives, primarily in the Wealth Management business, and totaled $72 million at March 31, 2021 and $73 million at Dec. 31, 2020. Capitalized sales incentives are amortized based on the transfer of goods or services to which the assets relate and typically average nine years. The amortization of capitalized sales incentives, which is primarily included in staff expense on the consolidated income statement, totaled $5 million in the first quarter of 2021, first quarter of 2020 and fourth quarter of 2020.

Costs to fulfill a contract are capitalized when they relate directly to an existing contract or a specific
68 BNY Mellon
Notes to Consolidated Financial Statements (continued)
anticipated contract, generate or enhance resources that will be used to fulfill performance obligations, and are recoverable. Such costs generally represent set-up costs, which include any direct cost incurred at the inception of a contract which enables the fulfillment of the performance obligation, and totaled $17 million at March 31, 2021 and $15 million at Dec. 31, 2020. These capitalized costs are amortized on a straight-line basis over the expected contract period, which generally ranges from seven to nine years. The amortization is included in professional, legal and other purchased services and other expenses on the consolidated income statement and totaled less than $1 million in the first quarter of 2021 and $1 million in the first quarter of 2020 and fourth quarter of 2020.

Unsatisfied performance obligations

We do not have any unsatisfied performance obligations other than those that are subject to a practical expedient election under ASC 606, Revenue From Contracts With Customers. The practical expedient election applies to (i) contracts with an original expected length of one year or less, and (ii) contracts for which we recognize revenue at the amount to which we have the right to invoice for services performed.


Note 8–Net interest revenue

The following table provides the components of net interest revenue presented on the consolidated income statement.

Net interest revenueQuarter ended
(in millions)March 31, 2021Dec. 31, 2020March 31, 2020
Interest revenue
Deposits with the Federal Reserve and other central banks$(16)$(13)$80 
Deposits with banks14 16 58 
Federal funds sold and securities purchased under resale agreements32 40 396 
Margin loans45 43 87 
Non-margin loans185 193 309 
Securities:
Taxable450 469 594 
Exempt from federal income taxes9 9 6 
Total securities459 478 600 
Trading securities19 19 40 
Total interest revenue738 776 1,570 
Interest expense
Deposits(37)(33)240 
Federal funds purchased and securities sold under repurchase agreements(3)1 275 
Trading liabilities3 4 7 
Other borrowed funds2 2 4 
Commercial paper— — 6 
Customer payables(1)(1)30 
Long-term debt119 123 194 
Total interest expense83 96 756 
Net interest revenue655 680 814 
Provision for credit losses(83)15 169 
Net interest revenue after provision for credit losses$738 $665 $645 


Note 9–Employee benefit plans

The components of net periodic benefit (credit) cost are presented below. The service cost component is reflected in staff expense, whereas the remaining components are reflected in other expense.

Net periodic benefit (credit) cost
Quarter ended
March 31, 2021March 31, 2020
(in millions)Domestic pension benefitsForeign pension benefitsHealth care benefitsDomestic pension benefitsForeign pension benefitsHealth care benefits
Service cost$— $4 $— $— $3 $— 
Interest cost34 6 1 39 7 1 
Expected return on assets(75)(9)(2)(80)(10)(1)
Other25 4 — 22 3 (1)
Net periodic benefit (credit) cost
$(16)$5 $(1)$(19)$3 $(1)

BNY Mellon 69
Notes to Consolidated Financial Statements (continued)
Note 10–Income taxes

BNY Mellon recorded an income tax provision of $221 million (19.2% effective tax rate) in the first quarter of 2021, $265 million (21.6% effective tax rate) in the first quarter of 2020 and $148 million (16.4% effective tax rate) in the fourth quarter of 2020.

Our total tax reserves as of March 31, 2021 were $121 million compared with $119 million at Dec. 31, 2020. If these tax reserves were unnecessary, $121 million would affect the effective tax rate in future periods. We recognize accrued interest and penalties, if applicable, related to income taxes in income tax expense. Included in the balance sheet at March 31, 2021 is accrued interest, where applicable, of $33 million. The additional tax expense related to interest for the three months ended March 31, 2021 was $2 million, compared with $4 million for the three months ended March 31, 2020.

It is reasonably possible the total reserve for uncertain tax positions could decrease within the next 12 months by approximately $7 million as a result of adjustments related to tax years that are still subject to examination.

Our federal income tax returns are closed to examination through 2016. Our New York State and New York City income tax returns are closed to examination through 2012. Our UK income tax returns are closed to examination through 2016.
Note 11–Variable interest entities and securitization

We have variable interests in variable interest entities (“VIEs”), which include investments in retail, institutional and alternative investment funds, including CLO structures in which we provide asset management services, some of which are consolidated.

We earn management fees from these funds as well as performance fees in certain funds and may also provide start-up capital for new funds. The funds are primarily financed by our customers’ investments in the funds’ equity or debt.

Additionally, we invest in qualified affordable housing and renewable energy projects, which are designed to generate a return primarily through the realization of tax credits. The projects, which are structured as limited partnerships and limited liability companies, are also VIEs, but are not consolidated.

The following table presents the incremental assets and liabilities included in the consolidated balance sheet as of March 31, 2021 and Dec. 31, 2020. The net assets of any consolidated VIE are solely available to settle the liabilities of the VIE and to settle any investors’ ownership liquidation requests, including any seed capital we invested in the VIE.


Consolidated investmentsMarch 31, 2021Dec. 31, 2020
(in millions)Investment
Management
funds		SecuritizationTotal
consolidated
investments		Investment
Management
funds		SecuritizationTotal
consolidated
investments
Trading assets$483 $400 $883 $482 $400 $882 
Other assets25 — 25 5 — 5 
Total assets$508 (a)$400 $908 $487 (b)$400 $887 
Other liabilities$10 $400 $410 $3 $400 $403 
Total liabilities$10 (a)$400 $410 $3 (b)$400 $403 
Nonredeemable noncontrolling interests$262 (a)$— $262 $143 (b)$— $143 
(a)    Includes voting model entities (“VMEs”) with assets of $196 million, liabilities of $1 million and nonredeemable noncontrolling interests of $55 million.
(b)    Includes VMEs with assets of $314 million, liabilities of $3 million and nonredeemable noncontrolling interests of $76 million.


We have not provided financial or other support that was not otherwise contractually required to be provided to our VIEs. Additionally, creditors of any consolidated VIEs do not have any recourse to the general credit of BNY Mellon.


70 BNY Mellon
Notes to Consolidated Financial Statements (continued)
Non-consolidated VIEs

As of March 31, 2021 and Dec. 31, 2020, the following assets and liabilities related to the VIEs where we are not the primary beneficiary were included in our consolidated balance sheets and primarily related to accounting for our investments in
qualified affordable housing and renewable energy projects.

The maximum loss exposure indicated in the following table relates solely to our investments in, and unfunded commitments to, the VIEs.

Non-consolidated VIEsMarch 31, 2021Dec. 31, 2020
(in millions)AssetsLiabilitiesMaximum
loss exposure		AssetsLiabilitiesMaximum
loss exposure
Securities – Available-for-sale (a)
$212 $— $212 $217 $— $217 
Other2,450 493 2,959 2,565 514 3,096 
(a)    Includes investments in the Company’s sponsored CLOs.


Note 12–Preferred stock

The Parent has 100 million authorized shares of preferred stock with a par value of $0.01 per share. The following table summarizes the Parent’s preferred stock issued and outstanding at March 31, 2021 and Dec. 31, 2020.

Preferred stock summary (a)
Total shares issued and outstanding
Carrying value (b)
(in millions)
March 31, 2021Dec. 31, 2020March 31, 2021Dec. 31, 2020
Per annum dividend rate
Series A
Greater of (i) three-month LIBOR plus 0.565% for the related distribution period or (ii) 4.000%
5,001 5,001 $500 $500 
Series D
4.500% to but excluding June 20, 2023, then a floating rate equal to the three-month LIBOR plus 2.46%
5,000 5,000 494 494 
Series E
4.950% to but excluding June 20, 2020, then a floating rate equal to the three-month LIBOR plus 3.42%
10,000 10,000 990 990 
Series F
4.625% to but excluding Sept. 20, 2026, then a floating rate equal to the three-month LIBOR plus 3.131%
10,000 10,000 990 990 
Series G
4.700% to but excluding Sept. 20, 2025, then a floating rate equal to the five-year treasury rate plus 4.358%
10,000 10,000 990 990 
Series H
3.700% to but excluding March 20, 2026, then a floating rate equal to the five-year treasury rate plus 3.352%
5,825 5,825 577 577 
Total45,826 45,826 $4,541 $4,541 
(a)    All outstanding preferred stock is noncumulative perpetual preferred stock with a liquidation preference of $100,000 per share.
(b)    The carrying value of the Series D, Series E, Series F, Series G and Series H preferred stock is recorded net of issuance costs.


The table below presents the dividends paid on the Parent’s preferred stock.

Preferred dividends paid
(dollars in millions, except per share amounts)Depositary shares
per share		1Q214Q201Q20
Per shareTotal
dividend		Per shareTotal
dividend		Per shareTotal
dividend
Series A100 (a)$1,011.11 $5 $1,011.11 $5 $1,011.11 $5 
Series C4,000 N/AN/A1,300.00 23 (b)1,300.00 8 
Series D100 N/A— 2,250.00 11 N/A— 
Series E100 924.82 9 921.98 9 N/A— 
Series F100 2,312.50 23 N/A— 2,312.50 23 
Series G100 2,350.00 24 N/A— N/A— 
Series H100 1,408.06 8 N/A— N/A— 
Total$69 $48 $36 
(a)    Represents Normal Preferred Capital Securities.
(b)    Includes deferred fees of approximately $15 million related to the redemption of the Series C preferred stock.
N/A – Not applicable.

BNY Mellon 71
Notes to Consolidated Financial Statements (continued)
In December 2020, all of the outstanding shares of the Series C preferred stock were redeemed.

All of the outstanding shares of the Series A preferred stock are owned by Mellon Capital IV, a 100% owned finance subsidiary of the Parent, which will pass through any dividend on the Series A preferred stock to the holders of its Normal Preferred Capital Securities. The Parent’s obligations under the trust and other agreements relating to Mellon Capital IV
have the effect of providing a full and unconditional guarantee, on a subordinated basis, of payments due on the Normal Preferred Capital Securities. No other subsidiary of the Parent guarantees the securities of Mellon Capital IV.

For additional information on the preferred stock, see Note 15 of the Notes to Consolidated Financial Statements in our 2020 Annual Report.


Note 13–Other comprehensive income (loss)
Components of other comprehensive income (loss)Quarter ended
March 31, 2021Dec. 31, 2020March 31, 2020
(in millions)Pre-tax
amount		Tax
(expense)
benefit		After-tax
amount		Pre-tax
amount		Tax
(expense)
benefit		After-tax
amount		Pre-tax
amount		Tax
(expense)
benefit		After-tax
amount
Foreign currency translation:
Foreign currency translation adjustments arising during the period (a)
$(127)$(23)$(150)$340 $91 $431 $(265)$(104)$(369)
Total foreign currency translation(127)(23)(150)340 91 431 (265)(104)(369)
Unrealized (loss) gain on assets available-for-sale:
Unrealized (loss) gain arising during period(926)223 (703)44 (11)33 243 (60)183 
Reclassification adjustment (b)
— — — (6)1 (5)(9)2 (7)
Net unrealized (loss) gain on assets available-for-sale(926)223 (703)38 (10)28 234 (58)176 
Defined benefit plans:
Net (loss) arising during the period— — — (138)31 (107)— — — 
Amortization of prior service credit, net loss and initial obligation included in net periodic benefit cost (b)
28 (6)22 23 (3)20 24 (6)18 
Total defined benefit plans28 (6)22 (115)28 (87)24 (6)18 
Unrealized (loss) gain on cash flow hedges:
Unrealized hedge gain (loss) arising during period1 — 1 6 (2)4 (13)3 (10)
Reclassification of net loss (gain) to net income:
FX contracts – staff expense(5)1 (4)(1)1 — (1)— (1)
Total reclassifications to net income(5)1 (4)(1)1 — (1)— (1)
Net unrealized (loss) gain on cash flow hedges(4)1 (3)5 (1)4 (14)3 (11)
Total other comprehensive (loss) income$(1,029)$195 $(834)$268 $108 $376 $(21)$(165)$(186)
(a)    Includes the impact of hedges of net investments in foreign subsidiaries. See Note 16 for additional information.
(b)    The reclassification adjustment related to the unrealized gain (loss) on assets available-for-sale is recorded as net securities gains on the consolidated income statement. The amortization of prior service credit, net loss and initial obligation included in net periodic benefit cost is recorded as other expense on the consolidated income statement.


Note 14–Fair value measurement

Fair value is defined as the price that would be received to sell an asset, or paid to transfer a liability, in an orderly transaction between market participants at the measurement date. A three-level hierarchy for fair value measurements is utilized based upon the transparency of inputs to the valuation of an asset or liability as of the measurement date. BNY Mellon’s own creditworthiness is considered when valuing liabilities. See Note 20 of the Notes to Consolidated Financial Statements in our 2020 Annual Report for
information on how we determine fair value and the fair value hierarchy.

The following tables present the financial instruments carried at fair value at March 31, 2021 and Dec. 31, 2020, by caption on the consolidated balance sheet and by the three-level valuation hierarchy. We have included credit ratings information in certain of the tables because the information indicates the degree of credit risk to which we are exposed, and significant changes in ratings classifications could result in increased risk for us.
72 BNY Mellon
Notes to Consolidated Financial Statements (continued)
Assets and liabilities measured at fair value on a recurring basis at March 31, 2021
Total carrying
value
(dollars in millions)Level 1Level 2Level 3
Netting (a)
Assets:
Available-for-sale securities:
U.S. Treasury$27,928 $— $— $— $27,928 
Agency RMBS— 19,846 — — 19,846 
Sovereign debt/sovereign guaranteed5,941 7,619 — — 13,560 
Agency commercial MBS— 9,216 — — 9,216 
Supranational— 7,438 — — 7,438 
Foreign covered bonds— 6,542 — — 6,542 
CLOs— 4,754 — — 4,754 
Non-agency commercial MBS— 2,959 — — 2,959 
U.S. government agencies— 2,919 — — 2,919 
Foreign government agencies— 2,698 — — 2,698 
State and political subdivisions— 2,634 — — 2,634 
Other ABS— 2,628 — — 2,628 
Non-agency RMBS (b)
— 2,451 — — 2,451 
Corporate bonds— 2,238 — — 2,238 
Other debt securities— 1 — — 1 
Total available-for-sale securities33,869 73,943 — — 107,812 
Trading assets:
Debt instruments2,777 3,225 — — 6,002 
Equity instruments (c)
7,495 — — — 7,495 
Derivative assets not designated as hedging:
Interest rate6 3,344 — (1,496)1,854 
Foreign exchange— 6,940 — (5,418)1,522 
Equity and other contracts1 82 — (72)11 
Total derivative assets not designated as hedging7 10,366 — (6,986)3,387 
Total trading assets10,279 13,591 — (6,986)16,884 
Other assets:
Derivative assets designated as hedging:
Foreign exchange— 85 — — 85 
Total derivative assets designated as hedging— 85 — — 85 
Other assets (d)
453 415 — — 868 
Assets measured at NAV (d)
206 
Total assets$44,601 $88,034 $— $(6,986)$125,855 
Percentage of total assets prior to netting34 %66 %— %
Liabilities:
Trading liabilities:
Debt instruments$2,010 $25 $— $— $2,035 
Equity instruments52 — — — 52 
Derivative liabilities not designated as hedging:
Interest rate2 2,925 — (1,925)1,002 
Foreign exchange— 6,266 — (4,796)1,470 
Equity and other contracts1 22 — (16)7 
Total derivative liabilities not designated as hedging3 9,213 — (6,737)2,479 
Total trading liabilities2,065 9,238 — (6,737)4,566 
Long-term debt (c)
— 400 — — 400 
Other liabilities – derivative liabilities designated as hedging:
Interest rate— 282 — — 282 
Foreign exchange— 149 — — 149 
Total other liabilities – derivative liabilities designated as hedging— 431 — — 431 
Other liabilities 1 9 — — 10 
Total liabilities$2,066 $10,078 $— $(6,737)$5,407 
Percentage of total liabilities prior to netting17 %83 %— %
(a)    ASC 815, Derivatives and Hedging, permits the netting of derivative receivables and derivative payables under legally enforceable master netting agreements and permits the netting of cash collateral. Netting is applicable to derivatives not designated as hedging instruments included in trading assets or trading liabilities and derivatives designated as hedging instruments included in other assets or other liabilities. Netting is allocated to the derivative products based on the net fair value of each product.
(b)    Includes $451 million in Level 2 that was included in the former Grantor Trust.
(c)    Includes certain interests in securitizations.
(d)    Includes seed capital, private equity investments and other assets.
BNY Mellon 73
Notes to Consolidated Financial Statements (continued)
Assets measured at fair value on a recurring basis at Dec. 31, 2020
Total carrying
value
(dollars in millions)Level 1Level 2Level 3
Netting (a)
Assets:
Available-for-sale securities:
U.S. Treasury$24,894 $— $— $— $24,894 
Agency RMBS— 22,347 — — 22,347 
Sovereign debt/sovereign guaranteed5,909 6,482 — — 12,391 
Agency commercial MBS— 9,228 — — 9,228 
Supranational— 7,160 — — 7,160 
Foreign covered bonds— 6,725 — — 6,725 
CLOs— 4,703 — — 4,703 
Foreign government agencies— 4,135 — — 4,135 
U.S. government agencies— 3,853 — — 3,853 
Other ABS— 3,164 — — 3,164 
Non-agency commercial MBS— 3,017 — — 3,017 
Non-agency RMBS (b)
— 2,326 — — 2,326 
State and political subdivisions— 2,308 — — 2,308 
Corporate bonds— 1,994 — — 1,994 
Commercial paper/CDs— 249 — — 249 
Other debt securities— 1 — — 1 
Total available-for-sale securities30,803 77,692 — — 108,495 
Trading assets:
Debt instruments1,803 3,868 — — 5,671 
Equity instruments (c)
5,775 — — — 5,775 
Derivative assets not designated as hedging:
Interest rate5 4,477 — (1,952)2,530 
Foreign exchange— 7,688 — (6,392)1,296 
Equity and other contracts— 2 — (2)— 
Total derivative assets not designated as hedging5 12,167 — (8,346)3,826 
Total trading assets7,583 16,035 — (8,346)15,272 
Other assets:
Derivative assets designated as hedging:
Foreign exchange— 19 — — 19 
Total derivative assets designated as hedging— 19 — — 19 
Other assets (d)(e)
504 285 — — 789 
Assets measured at NAV (d)
201 
Total assets$38,890 $94,031 $— $(8,346)$124,776 
Percentage of total assets prior to netting
29 %71 %— %

74 BNY Mellon
Notes to Consolidated Financial Statements (continued)
Liabilities measured at fair value on a recurring basis at Dec. 31, 2020
Total carrying
value
(dollars in millions)Level 1Level 2Level 3
Netting (a)
Liabilities:
Trading liabilities:
Debt instruments$2,287 $35 $— $— $2,322 
Equity instruments11 — — — 11 
Derivative liabilities not designated as hedging:
Interest rate2 3,878 — (2,348)1,532 
Foreign exchange— 7,622 — (5,484)2,138 
Equity and other contracts7 34 — (13)28 
Total derivative liabilities not designated as hedging9 11,534 — (7,845)3,698 
Total trading liabilities2,307 11,569 — (7,845)6,031 
Long-term debt (c)
— 400 — — 400 
Other liabilities – derivative liabilities designated as hedging:
Interest rate— 666 — — 666 
Foreign exchange— 441 — — 441 
Total other liabilities – derivative liabilities designated as hedging— 1,107 — — 1,107 
Other liabilities (e)
1 2 — — 3 
Total liabilities$2,308 $13,078 $— $(7,845)$7,541 
Percentage of total liabilities prior to netting15 %85 %— %
(a)    ASC 815, Derivatives and Hedging, permits the netting of derivative receivables and derivative payables under legally enforceable master netting agreements and permits the netting of cash collateral. Netting is applicable to derivatives not designated as hedging instruments included in trading assets or trading liabilities and derivatives designated as hedging instruments included in other assets or other liabilities. Netting is allocated to the derivative products based on the net fair value of each product.
(b)    Includes $487 million in Level 2 that was included in the former Grantor Trust.
(c)    Includes certain interests in securitizations.
(d)    Includes seed capital, private equity investments and other assets.
(e)    In the first quarter of 2021, we reclassified the assets and liabilities of consolidated investment management funds, at fair value, to other assets and other liabilities, respectively, on the consolidated balance sheet. The reclassifications had no impact on total assets or total liabilities. Prior periods were reclassified to be comparable with the current period presentation. See Note 1 for additional information.
BNY Mellon 75
Notes to Consolidated Financial Statements (continued)
Details of certain available-for-sale securities measured at fair value on a recurring basis
March 31, 2021Dec. 31, 2020
Total
carrying
value
Ratings (a)
Total
carrying value
Ratings (a)
AAA/
AA-		A+/
A-		BBB+/
BBB-		BB+ and
lower		AAA/
AA-		A+/
A-		BBB+/
BBB-		BB+ and
lower
(dollars in millions)(b)(b)
Non-agency RMBS (c), originated in:
2008-2021$1,727 100 %— %— %— %$1,548 100 %— %— %— %
2007166 12 3 — 85 179 12 3 — 85 
2006223 — 23 — 77 237 — 23 — 77 
2005208 3 — 7 90 227 3 — 7 90 
2004 and earlier127 18 9 6 67 135 19 10 11 60 
Total non-agency RMBS$2,451 72 %3 %1 %24 %$2,326 69 %3 %1 %27 %
Non-agency commercial MBS originated in:
2009-2021$2,959 99 %1 %— %— %$3,017 99 %1 %— %— %
Foreign covered bonds:
Canada$2,354 100 %— %— %— %$2,552 100 %— %— %— %
UK1,299 100 — — — 1,259 100 — — — 
Australia900 100 — — — 951 100 — — — 
Norway715 100 — — — 703 100 — — — 
Germany500 100 — — — 494 100 — — — 
Other774 100 — — — 766 100 — — — 
Total foreign covered bonds$6,542 100 %— %— %— %$6,725 100 %— %— %— %
Sovereign debt/sovereign guaranteed:
Germany$3,504 100 %— %— %— %$2,222 100 %— %— %— %
Italy1,827 — — 100 — 2,010 — — 100 — 
France1,826 100 — — — 1,697 100 — — — 
Spain1,383 — 7 93 — 1,920 — 5 95 — 
Singapore1,040 100 — — — 984 100 — — — 
UK1,015 100 — — — 1,089 100 — — — 
Canada660 100 — — — 572 100 — — — 
Netherlands487 100 — — — 491 100 — — — 
Hong Kong455 100 — — — 29 100 — — — 
Japan 429 — 100 — — 408 — 100 — — 
Austria251 100 — — — 256 100 — — — 
Ireland240 — 100 — — 252 — 100 — — 
Other (d)
443 76 — — 24 461 73 — — 27 
Total sovereign debt/sovereign guaranteed$13,560 71 %5 %23 %1 %$12,391 62 %6 %31 %1 %
Foreign government agencies:
Netherlands$796 100 %— %— %— %$847 100 %— %— %— %
Canada547 77 23 — — 511 75 25 — — 
France310 100 — — — 305 100 — — — 
Sweden305 100 — — — 281 100 — — — 
Finland224 100 — — — 225 100 — — — 
Germany49 100 — — — 1,473 100 — — — 
Other467 79 21 — — 493 80 20 — — 
Total foreign government agencies$2,698 92 %8 %— %— %$4,135 95 %5 %— %— %
(a)    Represents ratings by S&P or the equivalent.
(b)    At March 31, 2021 and Dec. 31, 2020, sovereign debt/sovereign guaranteed securities were included in Level 1 and Level 2 in the valuation hierarchy. All other assets in the table are Level 2 assets in the valuation hierarchy.
(c)    Includes $451 million at March 31, 2021 and $487 million at Dec. 31, 2020 that were included in the former Grantor Trust.
(d)    Includes non-investment grade sovereign debt/sovereign guaranteed securities related to Brazil of $108 million at March 31, 2021 and $125 million at Dec. 31, 2020.



76 BNY Mellon
Notes to Consolidated Financial Statements (continued)
Assets and liabilities measured at fair value on a nonrecurring basis

Under certain circumstances, we make adjustments to the fair value of our assets, liabilities and unfunded lending-related commitments, although they are not measured at fair value on an ongoing basis. Examples would be the recording of an impairment of
an asset and non-readily marketable equity securities carried at cost with upward or downward adjustments.

The following table presents the financial instruments carried on the consolidated balance sheet by caption and level in the fair value hierarchy as of March 31, 2021 and Dec. 31, 2020.

Assets measured at fair value on a nonrecurring basis
March 31, 2021Dec. 31, 2020
Total carrying
value		Total carrying
value
(in millions)Level 1Level 2Level 3Level 1Level 2Level 3
Loans (a)
$— $47 $— $47 $— $48 $— $48 
Other assets (b)(c)
— 138 41 179 — 131 — 131 
Total assets at fair value on a nonrecurring basis$— $185 $41 $226 $— $179 $— $179 
(a)    The fair value of these loans decreased less than $1 million in both the first quarter of 2021 and the fourth quarter of 2020, based on the fair value of the underlying collateral, as required by guidance in ASC 326, Financial Instruments – Credit Losses, with an offset to the allowance for credit losses.
(b)    Includes non-readily marketable equity securities carried at cost with upward or downward adjustments and other assets received in satisfaction of debt.
(c)    The level 3 other assets relate to a renewable energy equity method investment. The Company recognized an other-than-temporary impairment of $39 million the first quarter of 2021, which was derived by preparing a discounted cash flow using unobservable inputs and was primarily driven by revised projections of future operating results and realizability of tax credits. The development of these expectations requires management review and judgment.


Estimated fair value of financial instruments

The following tables present the estimated fair value and the carrying amount of financial instruments not carried at fair value on the consolidated balance sheet at March 31, 2021 and Dec. 31, 2020, by caption on the consolidated balance sheet and by the valuation hierarchy.

Summary of financial instrumentsMarch 31, 2021
(in millions)Level 1Level 2Level 3Total
estimated
fair value		Carrying
amount
Assets:
Interest-bearing deposits with the Federal Reserve and other central banks
$— $125,524 $— $125,524 $125,524 
Interest-bearing deposits with banks— 23,772 — 23,772 23,763 
Federal funds sold and securities purchased under resale agreements— 28,263 — 28,263 28,263 
Securities held-to-maturity4,039 44,450 — 48,489 48,032 
Loans (a)
— 59,741 — 59,741 59,445 
Other financial assets5,991 1,142 — 7,133 7,133 
Total$10,030 $282,892 $— $292,922 $292,160 
Liabilities:
Noninterest-bearing deposits$— $95,306 $— $95,306 $95,306 
Interest-bearing deposits— 240,778 — 240,778 241,462 
Federal funds purchased and securities sold under repurchase agreements— 15,150 — 15,150 15,150 
Payables to customers and broker-dealers— 23,827 — 23,827 23,827 
Borrowings— 518 — 518 518 
Long-term debt— 26,107 — 26,107 24,950 
Total$— $401,686 $— $401,686 $401,213 
(a)    Does not include the leasing portfolio.

BNY Mellon 77
Notes to Consolidated Financial Statements (continued)
Summary of financial instrumentsDec. 31, 2020
(in millions)Level 1Level 2Level 3Total estimated
fair value		Carrying
amount
Assets:
Interest-bearing deposits with the Federal Reserve and other central banks
$— $141,775 $— $141,775 $141,775 
Interest-bearing deposits with banks— 17,310 — 17,310 17,300 
Federal funds sold and securities purchased under resale agreements— 30,907 — 30,907 30,907 
Securities held-to-maturity4,120 45,104 — 49,224 47,946 
Loans (a)
— 53,586 — 53,586 55,121 
Other financial assets6,252 1,160 — 7,412 7,412 
Total$10,372 $289,842 $— $300,214 $300,461 
Liabilities:
Noninterest-bearing deposits$— $83,854 $— $83,854 $83,854 
Interest-bearing deposits— 257,287 — 257,287 257,691 
Federal funds purchased and securities sold under repurchase agreements— 11,305 — 11,305 11,305 
Payables to customers and broker-dealers— 25,085 — 25,085 25,085 
Borrowings— 563 — 563 563 
Long-term debt— 27,306 — 27,306 25,584 
Total$— $405,400 $— $405,400 $404,082 
(a)    Does not include the leasing portfolio.


Note 15–Fair value option

We elected fair value as an alternative measurement for selected financial assets and liabilities that are not otherwise required to be measured at fair value, including the assets and liabilities of consolidated investment management funds and certain long-term debt. The following table presents the assets and liabilities of consolidated investment management funds, at fair value.

Assets and liabilities of consolidated investment
management funds, at fair value
March 31, 2021Dec. 31, 2020
(in millions)
Assets of consolidated investment management funds:
Trading assets$483 $482 
Other assets25 5 
Total assets of consolidated investment management funds$508 $487 
Liabilities of consolidated investment management funds:
Other liabilities10 3 
Total liabilities of consolidated investment management funds$10 $3 


BNY Mellon values the assets and liabilities of its consolidated investment management funds using quoted prices for identical assets or liabilities in active markets or observable inputs such as quoted
prices for similar assets or liabilities. Quoted prices for either identical or similar assets or liabilities in inactive markets may also be used. Accordingly, fair value best reflects the interests BNY Mellon holds in the economic performance of the consolidated investment management funds. Changes in the value of the assets and liabilities are recorded as income (loss) from consolidated investment management funds, which is included in investment and other income in the consolidated income statement.

We have elected the fair value option on $240 million of long-term debt. The fair value of this long-term debt was $400 million at March 31, 2021 and $400 million at Dec. 31, 2020. The long-term debt is valued using observable market inputs and is included in Level 2 of the valuation hierarchy.

The following table presents the changes in fair value of long-term debt recorded in other trading revenue which is included in investment and other income in the consolidated income statement.

Change in fair value of long-term debt (a)
(in millions)1Q214Q201Q20
Investment and other income – other trading revenue
$— $— $(10)
(a)    The changes in fair value are approximately offset by an economic hedge included in other trading revenue.


78 BNY Mellon
Notes to Consolidated Financial Statements (continued)
Note 16–Derivative instruments

We use derivatives to manage exposure to market risk, including interest rate risk, equity price risk and foreign currency risk, as well as credit risk. Our trading activities are focused on acting as a market-maker for our customers and facilitating customer trades in compliance with the Volcker Rule.

The notional amounts for derivative financial instruments express the dollar volume of the transactions; however, credit risk is much smaller. We perform credit reviews and enter into netting agreements and collateral arrangements to minimize the credit risk of derivative financial instruments. We enter into offsetting positions to reduce exposure to foreign currency, interest rate and equity price risk.

Use of derivative financial instruments involves reliance on counterparties. Failure of a counterparty to honor its obligation under a derivative contract is a risk we assume whenever we engage in a derivative contract. There were no counterparty default losses recorded in the first quarter of 2021.

Hedging derivatives

We utilize interest rate swap agreements to manage our exposure to interest rate fluctuations. We enter into fair value hedges as an interest rate risk management strategy to reduce fair value variability by converting certain fixed rate interest payments associated with available-for-sale securities and long-term debt to floating interest rates. We also utilize interest rate swaps and forward exchange contracts as cash flow hedges to manage our exposure to interest rate and foreign exchange rate changes.

The available-for-sale securities hedged consist of U.S. Treasury, agency and non-agency commercial MBS, sovereign debt/sovereign guaranteed, corporate bonds and foreign covered bonds. At March 31, 2021, $20.6 billion par value of available-for-sale securities were hedged with interest rate swaps designated as fair value hedges that had notional values of $20.6 billion.

The fixed rate long-term debt instruments hedged generally have original maturities of five to 30 years. In fair value hedging relationships, fixed rate debt is hedged with “receive fixed rate, pay variable rate” swaps. At March 31, 2021, $15.1 billion par value of debt was hedged with interest rate swaps designated
as fair value hedges that had notional values of $15.1 billion.

In addition, we utilize forward foreign exchange contracts as hedges to mitigate foreign exchange exposures. We use forward foreign exchange contracts as cash flow hedges to convert certain forecasted non-U.S. dollar revenue and expenses into U.S. dollars. We use forward foreign exchange contracts with maturities of 15 months or less as cash flow hedges to hedge our foreign exchange exposure to currencies such as Indian rupee, British pound, Euro, Hong Kong dollar, Polish zloty and Singapore dollar used in revenue and expense transactions for entities that have the U.S. dollar as their functional currency. As of March 31, 2021, the hedged forecasted foreign currency transactions and designated forward foreign exchange contract hedges were $353 million (notional), with a pre-tax gain of $7 million recorded in accumulated OCI. This gain will be reclassified to earnings over the next 12 months.

We also utilize forward foreign exchange contracts as fair value hedges of the foreign exchange risk associated with available-for-sale securities. Forward points are designated as an excluded component and amortized into earnings over the hedge period. The unamortized derivative value associated with the excluded component is recognized in accumulated OCI. At March 31, 2021, $145 million par value of available-for-sale securities was hedged with foreign currency forward contracts that had a notional value of $145 million.

Forward foreign exchange contracts are also used to hedge the value of our net investments in foreign subsidiaries. These forward foreign exchange contracts have maturities of less than one year. The derivatives employed are designated as hedges of changes in value of our foreign investments due to exchange rates. The change in fair market value of these forward foreign exchange contracts is reported within foreign currency translation adjustments in shareholders’ equity, net of tax. At March 31, 2021, forward foreign exchange contracts with notional amounts totaling $8.3 billion were designated as net investment hedges.

In addition to forward foreign exchange contracts, we also designate non-derivative financial instruments as hedges of our net investments in foreign subsidiaries. Those non-derivative financial instruments
BNY Mellon 79
Notes to Consolidated Financial Statements (continued)
designated as hedges of our net investments in foreign subsidiaries were all long-term liabilities of
BNY Mellon and, at March 31, 2021, had a combined U.S. dollar equivalent carrying value of $179 million.

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
(in millions)Location of
gains (losses)		1Q214Q201Q20
Interest rate fair value hedges of available-for-sale securities
DerivativeInterest revenue$791 $237 $(1,033)
Hedged itemInterest revenue(785)(232)1,011 
Interest rate fair value hedges of long-term debt
DerivativeInterest expense(353)(106)714 
Hedged itemInterest expense351 105 (708)
Foreign exchange fair value hedges of available-for-sale securities
Derivative (a)
Foreign exchange revenue8 2 (7)
Hedged itemForeign exchange revenue(7)(2)7 
Cash flow hedges of forecasted FX exposures
Gain reclassified from OCI into incomeStaff expense5 1 1 
Gain (loss) recognized in the consolidated income statement due to fair value and cash flow hedging relationships$10 $5 $(15)
(a)    Includes gains of less than $1 million in the first quarter of 2021, fourth quarter of 2020 and first quarter of 2020 associated with the amortization of the excluded component. At March 31, 2021 and Dec. 31, 2020, the remaining accumulated OCI balance associated with the excluded component was de minimis.


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)
Derivatives in net investment hedging relationshipsGain or (loss) recognized in accumulated OCI on derivativesLocation of gain or (loss) reclassified from accumulated OCI into income Gain or (loss) reclassified from accumulated OCI into income
1Q214Q201Q201Q214Q201Q20
FX contracts$82 $(387)$437 Net interest revenue$— $— $— 


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

Hedged items in fair value hedging relationshipsCarrying amount of hedged
asset or liability
Hedge accounting basis adjustment increase (decrease) (a)
(in millions)March 31, 2021Dec. 31, 2020March 31, 2021Dec. 31, 2020
Available-for-sale securities (b)(c)
$20,571 $17,536 $634 $1,428 
Long-term debt$15,635 $14,784 $450 $783 
(a)    Includes $168 million and $177 million of basis adjustment increases on discontinued hedges associated with available-for-sale securities at March 31, 2021 and Dec. 31, 2020, respectively, and $99 million and $118 million of basis adjustment decreases on discontinued hedges associated with long-term debt at March 31, 2021 and Dec. 31, 2020, 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 $145 million at March 31, 2021 and $148 million at Dec. 31, 2020.
(c)    Carrying amount represents the amortized cost.
80 BNY Mellon
Notes to Consolidated Financial Statements (continued)
The following table summarizes the notional amount and carrying values of our total derivative portfolio.

Impact of derivative instruments on the balance sheetNotional valueAsset derivatives
fair value		Liability derivatives
fair value
March 31, 2021Dec. 31, 2020March 31, 2021Dec. 31, 2020March 31, 2021Dec. 31, 2020
(in millions)
Derivatives designated as hedging instruments: (a)(b)
Interest rate contracts$35,689 $31,360 $— $— $282 $666 
Foreign exchange contracts8,803 8,706 85 19 149 441 
Total derivatives designated as hedging instruments  $85 $19 $431 $1,107 
Derivatives not designated as hedging instruments: (b)(c)
Interest rate contracts$221,043 $198,865 $3,350 $4,482 $2,927 $3,880 
Foreign exchange contracts913,156 813,003 6,940 7,688 6,266 7,622 
Equity contracts6,709 5,142 83 2 19 37 
Credit contracts165 165 — — 4 4 
Total derivatives not designated as hedging instruments$10,373 $12,172 $9,216 $11,543 
Total derivatives fair value (d)
$10,458 $12,191 $9,647 $12,650 
Effect of master netting agreements (e)
(6,986)(8,346)(6,737)(7,845)
Fair value after effect of master netting agreements$3,472 $3,845 $2,910 $4,805 
(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 results in 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 $1,231 million and $982 million, respectively, at March 31, 2021, and $1,552 million and $1,051 million, respectively, at Dec. 31, 2020.


Trading activities (including trading derivatives)

Our trading activities are focused on acting as a market-maker for our customers, facilitating customer trades and risk-mitigating economic hedging in compliance with the Volcker Rule. The change in the fair value of the derivatives utilized in our trading activities is recorded in foreign exchange revenue and investment and other income on the consolidated income statement.

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

Foreign exchange revenue and other trading revenue
(in millions)1Q214Q201Q20
Foreign exchange revenue (a)
$231 $187 $245 
Other trading (loss) revenue (a)
(7)(31)66 
(a)    In the first quarter of 2021, we reclassified certain items within total revenue on the consolidated income statement and reclassified prior periods to be comparable with the current period presentation. See Note 1 for additional information.



Foreign exchange revenue includes income from purchasing and selling foreign currencies, currency forwards, futures and options as well as foreign currency remeasurement. Other trading revenue reflects results from trading in cash instruments, including fixed income and equity securities, and trading and economic hedging activity with non-foreign exchange derivatives.

We also use derivative financial instruments as risk-mitigating economic hedges, which are not formally designated as accounting hedges. This includes hedging the foreign currency, interest rate or market risks inherent in some of our balance sheet exposures, such as seed capital investments and deposits, as well as certain investment management fee revenue streams. We also use total return swaps to economically hedge obligations arising from the Company’s deferred compensation plan whereby the participants defer compensation and earn a return linked to the performance of investments they select. The gains or losses on these total return swaps are recorded in staff expense on the consolidated income statement and were a gain of $10 million in the first quarter of 2021, a loss of $41 million in the first
BNY Mellon 81
Notes to Consolidated Financial Statements (continued)
quarter of 2020 and a gain of $23 million in the fourth quarter of 2020.

We manage trading risk through a system of position limits, a value-at-risk (“VaR”) methodology based on historical simulation and other market sensitivity measures. Risk is monitored and reported to senior management by a separate unit, independent from trading, on a daily basis. Based on certain assumptions, the VaR methodology is designed to capture the potential overnight pre-tax dollar loss from adverse changes in fair values of all trading positions. The calculation assumes a one-day holding period, utilizes a 99% confidence level and incorporates non-linear product characteristics. The VaR model is one of several statistical models used to develop economic capital results, which are allocated to lines of business for computing risk-adjusted performance.

VaR methodology does not evaluate risk attributable to extraordinary financial, economic or other occurrences. As a result, the risk assessment process includes a number of stress scenarios based upon the risk factors in the portfolio and management’s assessment of market conditions. Additional stress scenarios based upon historical market events are also performed. Stress tests may incorporate the impact of reduced market liquidity and the breakdown of historically observed correlations and extreme scenarios. VaR and other statistical measures, stress testing and sensitivity analysis are incorporated into other risk management materials.

Counterparty credit risk and collateral

We assess the credit risk of our counterparties through regular examination of their financial statements, confidential communication with the management of those counterparties and regular monitoring of publicly available credit rating information. This and other information is used to develop proprietary credit rating metrics used to assess credit quality.

Collateral requirements are determined after a comprehensive review of the credit quality of each counterparty. Collateral is generally held or pledged in the form of cash and/or highly liquid government securities. Collateral requirements are monitored and adjusted daily.

Additional disclosures concerning derivative financial instruments are provided in Note 14.
Disclosure of contingent features in over-the-counter (“OTC”) derivative instruments

Certain OTC derivative contracts and/or collateral agreements contain credit risk-contingent features triggered upon a rating downgrade in which the counterparty has the right to request additional collateral or the right to terminate the contracts in a net liability position.

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.

March 31, 2021Dec. 31, 2020
(in millions)
Aggregate fair value of OTC derivatives in net liability positions (a)
$3,785 $5,235 
Collateral posted$4,325 $5,568 
(a)    Before consideration of cash collateral.


The aggregate fair value of OTC derivative contracts containing credit risk-contingent features can fluctuate from quarter to quarter due to changes in market conditions, composition of counterparty trades, new business or changes to the contingent features.

The Bank of New York Mellon, our largest banking subsidiary, enters into the substantial majority of our OTC derivative contracts and/or collateral agreements. As such, the contingent features may be triggered if The Bank of New York Mellon’s long-term issuer rating were downgraded.

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)
March 31, 2021Dec. 31, 2020
(in millions)
If The Bank of New York Mellon’s rating changed to: (b)
A3/A-$73 $79 
Baa2/BBB$333 $813 
Ba1/BB+$1,829 $2,859 
(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 ratings by Moody’s/S&P.


82 BNY Mellon
Notes to Consolidated Financial Statements (continued)
If The Bank of New York Mellon’s debt rating had fallen below investment grade on March 31, 2021 and Dec. 31, 2020, existing collateral arrangements would
have required us to post additional collateral of $54 million and $41 million, respectively.



Offsetting assets and liabilities

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 March 31, 2021
Gross assets recognizedGross amounts offset in the balance sheet Net assets recognized in the balance sheetGross amounts not offset in the balance sheet
(in millions)(a)Financial instrumentsCash collateral receivedNet amount
Derivatives subject to netting arrangements:
Interest rate contracts$2,280 $1,496 $784 $206 $— $578 
Foreign exchange contracts6,600 5,418 1,182 66 — 1,116 
Equity and other contracts83 72 11 — — 11 
Total derivatives subject to netting arrangements
8,963 6,986 1,977 272 — 1,705 
Total derivatives not subject to netting arrangements
1,495 — 1,495 — — 1,495 
Total derivatives10,458 6,986 3,472 272 — 3,200 
Reverse repurchase agreements50,722 33,544 (b)17,178 17,150 — 28 
Securities borrowing11,085 — 11,085 10,624 — 461 
Total$72,265 $40,530 $31,735 $28,046 $— $3,689 
(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 Fixed Income Clearing Corporation (“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, 2020
Gross assets recognizedGross 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 instrumentsCash collateral receivedNet amount
Derivatives subject to netting arrangements:
Interest rate contracts$2,972 $1,952 $1,020 $311 $— $709 
Foreign exchange contracts7,128 6,392 736 146 — 590 
Equity and other contracts2 2 — — — — 
Total derivatives subject to netting arrangements
10,102 8,346 1,756 457 — 1,299 
Total derivatives not subject to netting arrangements
2,089 — 2,089 — — 2,089 
Total derivatives12,191 8,346 3,845 457 — 3,388 
Reverse repurchase agreements78,828 59,561 (b)19,267 19,252 — 15 
Securities borrowing11,640 — 11,640 11,166 — 474 
Total$102,659 $67,907 $34,752 $30,875 $— $3,877 
(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.

BNY Mellon 83
Notes to Consolidated Financial Statements (continued)
Offsetting of derivative liabilities and financial liabilities at March 31, 2021Net liabilities recognized in the balance sheet
Gross liabilities recognizedGross amounts offset in the balance sheet Gross amounts not offset in the balance sheet
(in millions)(a)Financial instrumentsCash collateral pledgedNet amount
Derivatives subject to netting arrangements:
Interest rate contracts$3,168 $1,925 $1,243 $1,168 $— $75 
Foreign exchange contracts5,810 4,796 1,014 173 — 841 
Equity and other contracts19 16 3 — — 3 
Total derivatives subject to netting arrangements
8,997 6,737 2,260 1,341 — 919 
Total derivatives not subject to netting arrangements
650 — 650 — — 650 
Total derivatives9,647 6,737 2,910 1,341 — 1,569 
Repurchase agreements47,516 33,544 (b)13,972 13,968 1 3 
Securities lending1,178 — 1,178 1,153 — 25 
Total$58,341 $40,281 $18,060 $16,462 $1 $1,597 
(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, 2020Net liabilities recognized
in the
balance sheet
Gross liabilities recognizedGross amounts offset in the balance sheet Gross amounts not offset in the balance sheet
(in millions)(a)Financial instrumentsCash collateral pledgedNet amount
Derivatives subject to netting arrangements:
Interest rate contracts$4,533 $2,348 $2,185 $2,115 $— $70 
Foreign exchange contracts7,280 5,484 1,796 143 — 1,653 
Equity and other contracts37 13 24 7 — 17 
Total derivatives subject to netting arrangements
11,850 7,845 4,005 2,265 — 1,740 
Total derivatives not subject to netting arrangements
800 — 800 — — 800 
Total derivatives12,650 7,845 4,805 2,265 — 2,540 
Repurchase agreements69,831 59,561 (b)10,270 10,270 — — 
Securities lending1,035 — 1,035 983 — 52 
Total$83,516 $67,406 $16,110 $13,518 $— $2,592 
(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.



84 BNY Mellon
Notes to Consolidated Financial Statements (continued)
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
March 31, 2021Dec. 31, 2020
Remaining contractual maturityTotalRemaining contractual maturityTotal
(in millions)Overnight and continuousUp to 30 days30 days or moreOvernight and continuousUp to 30 days30 days or more
Repurchase agreements:
U.S. Treasury$38,425 $46 $— $38,471 $62,381 $— $— $62,381 
Agency RMBS2,518 — 2 2,520 3,117 — 80 3,197 
Corporate bonds243 131 1,555 1,929 190 218 1,436 1,844 
Sovereign debt/sovereign guaranteed74 — 1,879 1,953 — — — — 
State and political subdivisions31 70 780 881 66 40 864 970 
U.S. government agencies632 — — 632 425 — — 425 
Other debt securities23 48 92 163 7 21 138 166 
Equity securities— 51 916 967 — 21 827 848 
Total $41,946 $346 $5,224 $47,516 $66,186 $300 $3,345 $69,831 
Securities lending:
Agency RMBS$172 $— $— $172 $161 $— $— $161 
Other debt securities68 — — 68 52 — — 52 
Equity securities938 — — 938 822 — — 822 
Total $1,178 $— $— $1,178 $1,035 $— $— $1,035 
Total secured borrowings$43,124 $346 $5,224 $48,694 $67,221 $300 $3,345 $70,866 


BNY Mellon’s repurchase agreements and securities lending transactions primarily encounter risk associated with liquidity. We are required to pledge collateral based on predetermined terms within the agreements. If we were to experience a decline in the fair value of the collateral pledged for these transactions, we could be required to provide additional collateral to the counterparty, therefore decreasing the amount of assets available for other liquidity needs that may arise. BNY Mellon also offers tri-party collateral agency services in the tri-party repo market where we are exposed to credit risk. In order to mitigate this risk, we require dealers to fully secure intraday credit.


Note 17–Commitments and contingent liabilities

Off-balance sheet arrangements

In the normal course of business, various commitments and contingent liabilities are outstanding that are not reflected in the accompanying consolidated balance sheets.

Our significant trading and off-balance sheet risks are securities, foreign currency and interest rate risk management products, commercial lending commitments, letters of credit and securities lending indemnifications. We assume these risks to reduce interest rate and foreign currency risks, to provide customers with the ability to meet credit and liquidity needs and to hedge foreign currency and interest rate risks. These items involve, to varying degrees, credit, foreign currency and interest rate risks not recognized on the balance sheet. Our off-balance sheet risks are managed and monitored in manners similar to those used for on-balance sheet risks.

BNY Mellon 85
Notes to Consolidated Financial Statements (continued)
The following table presents a summary of our off-balance sheet credit risks.

Off-balance sheet credit risksMarch 31, 2021Dec. 31, 2020
(in millions)
Lending commitments$47,758 $47,577 
Standby letters of credit (“SBLC”) (a)
2,295 2,265 
Commercial letters of credit51 60 
Securities lending
indemnifications (b)(c)
479,719 469,121 
(a)Net of participations totaling $155 million at March 31, 2021 and $154 million at Dec. 31, 2020.
(b)Excludes the indemnification for securities for which BNY Mellon acts as an agent on behalf of CIBC Mellon clients, which totaled $60 billion at March 31, 2021 and $62 billion at Dec. 31, 2020.
(c)Includes cash collateral, invested in indemnified repurchase agreements, held by us as securities lending agent of $42 billion at March 31, 2021 and $41 billion at Dec. 31, 2020.


The total potential loss on undrawn lending commitments, standby and commercial letters of credit, and securities lending indemnifications is equal to the total notional amount if drawn upon, which does not consider the value of any collateral.

Since many of the lending commitments are expected to expire without being drawn upon, the total amount does not necessarily represent future cash requirements. A summary of lending commitment maturities is as follows: $30.5 billion in less than one year, $16.3 billion in one to five years and $954 million over five years.

SBLCs principally support obligations of corporate clients and were collateralized with cash and securities of $191 million at March 31, 2021 and $194 million at Dec. 31, 2020. At March 31, 2021, $1.6 billion of the SBLCs will expire within one year, $730 million in one to five years and none over five years.

We must recognize, at the inception of an SBLC and foreign and other guarantees, a liability for the fair value of the obligation undertaken in issuing the guarantee. The fair value of the liability, which was recorded with a corresponding asset in other assets, was estimated as the present value of contractual customer fees. The estimated liability for losses related to SBLCs and foreign and other guarantees, if any, is included in the allowance for lending-related commitments.

Payment/performance risk of SBLCs is monitored using both historical performance and internal ratings
criteria. BNY Mellon’s historical experience is that SBLCs typically expire without being funded. SBLCs below investment grade are monitored closely for payment/performance risk. The table below shows SBLCs by investment grade:

Standby letters of creditMarch 31, 2021Dec. 31, 2020
Investment grade84 %82 %
Non-investment grade16 %18 %


A commercial letter of credit is normally a short-term instrument used to finance a commercial contract for the shipment of goods from a seller to a buyer. Although the commercial letter of credit is contingent upon the satisfaction of specified conditions, it represents a credit exposure if the buyer defaults on the underlying transaction. As a result, the total contractual amounts do not necessarily represent future cash requirements. Commercial letters of credit totaled $51 million at March 31, 2021 and $60 million at Dec. 31, 2020.

We expect many of the lending commitments and letters of credit to expire without the need to advance any cash. The revenue associated with guarantees frequently depends on the credit rating of the obligor and the structure of the transaction, including collateral, if any. The allowance for lending-related commitments was $73 million at March 31, 2021 and $121 million at Dec. 31, 2020.

A securities lending transaction is a fully collateralized transaction in which the owner of a security agrees to lend the security (typically through an agent, in our case, The Bank of New York Mellon) to a borrower, usually a broker-dealer or bank, on an open, overnight or term basis, under the terms of a prearranged contract.

We typically lend securities with indemnification against borrower default. We generally require the borrower to provide collateral with a minimum value of 102% of the fair value of the securities borrowed, which is monitored on a daily basis, thus reducing credit risk. Market risk can also arise in securities lending transactions. These risks are controlled through policies limiting the level of risk that can be undertaken. Securities lending transactions are generally entered into only with highly rated counterparties. Securities lending indemnifications
86 BNY Mellon
Notes to Consolidated Financial Statements (continued)
were secured by collateral of $504 billion at March 31, 2021 and $493 billion at Dec. 31, 2020.

CIBC Mellon, a joint venture between BNY Mellon and the Canadian Imperial Bank of Commerce (“CIBC”), engages in securities lending activities.  CIBC Mellon, BNY Mellon and CIBC jointly and severally indemnify securities lenders against specific types of borrower default. At March 31, 2021 and Dec. 31, 2020, $60 billion and $62 billion, respectively, of borrowings at CIBC Mellon, for which BNY Mellon acts as agent on behalf of CIBC Mellon clients, were secured by collateral of $64 billion and $66 billion, respectively. If, upon a default, a borrower’s collateral was not sufficient to cover its related obligations, certain losses related to the indemnification could be covered by the indemnitors.

Unsettled repurchase and reverse repurchase agreements

In the normal course of business, we enter into repurchase agreements and reverse repurchase agreements that settle at a future date. In repurchase agreements, BNY Mellon receives cash from and provides securities as collateral to a counterparty at settlement. In reverse repurchase agreements, BNY Mellon advances cash to and receives securities as collateral from the counterparty at settlement. These transactions are recorded on the consolidated balance sheet on the settlement date. At March 31, 2021, we had no unsettled repurchase agreements and $2.9 billion of unsettled reverse repurchase agreements.

Industry concentrations

We have significant industry concentrations related to credit exposure at March 31, 2021. The tables below present our credit exposure in the financial institutions and commercial portfolios.

Financial institutions
portfolio exposure
(in billions)
March 31, 2021
LoansUnfunded
commitments		Total exposure
Securities industry$2.3 $21.3 $23.6 
Asset managers1.4 6.5 7.9 
Banks6.4 1.1 7.5 
Insurance0.1 3.0 3.1 
Government0.1 0.2 0.3 
Other0.7 0.7 1.4 
Total$11.0 $32.8 $43.8 


Commercial portfolio
exposure
(in billions)
March 31, 2021
LoansUnfunded
commitments		Total exposure
Manufacturing$0.4 $4.0 $4.4 
Energy and utilities0.3 4.0 4.3 
Services and other0.7 3.5 4.2 
Media and telecom— 0.8 0.8 
Total$1.4 $12.3 $13.7 

Major concentrations in securities lending are primarily to broker-dealers and are generally collateralized with cash and/or securities.

Sponsored member repo program

BNY Mellon is a sponsoring member in the FICC sponsored member program, where we submit eligible overnight repurchase and reverse repurchase transactions in U.S. Treasury securities (“Sponsored Member Transactions”) between BNY Mellon and our sponsored member clients for novation and clearing through FICC pursuant to the FICC Government Securities Division rulebook (the “FICC Rules”). We also guarantee to FICC the prompt and full payment and performance of our sponsored member clients’ respective obligations under the FICC Rules in connection with such clients’ Sponsored Member Transactions. We minimize our credit exposure under this guaranty by obtaining a security interest in our sponsored member clients’ collateral and rights under Sponsored Member Transactions. See “Offsetting assets and liabilities” in Note 16 for additional information on our repurchase and reverse repurchase agreements.

Indemnification arrangements

We have provided standard representations for underwriting agreements, acquisition and divestiture agreements, sales of loans and commitments, and other similar types of arrangements and customary indemnification for claims and legal proceedings related to providing financial services that are not otherwise included above. Insurance has been purchased to mitigate certain of these risks. Generally, there are no stated or notional amounts included in these indemnifications and the contingencies triggering the obligation for indemnification are not expected to occur. Furthermore, often counterparties to these transactions provide us with comparable indemnifications. We are unable to develop an estimate of the maximum payout under these indemnifications for several reasons. In addition to
BNY Mellon 87
Notes to Consolidated Financial Statements (continued)
the lack of a stated or notional amount in a majority of such indemnifications, we are unable to predict the nature of events that would trigger indemnification or the level of indemnification for a certain event. We believe, however, that the possibility that we will have to make any material payments for these indemnifications is remote. At March 31, 2021 and Dec. 31, 2020, we have not recorded any material liabilities under these arrangements.

Clearing and settlement exchanges

We are a noncontrolling equity investor in, and/or member of, several industry clearing or settlement exchanges through which foreign exchange, securities, derivatives or other transactions settle. Certain of these industry clearing and settlement exchanges require their members to guarantee their obligations and liabilities and/or to provide liquidity support in the event other members do not honor their obligations. We believe the likelihood that a clearing or settlement exchange (of which we are a member) would become insolvent is remote. Additionally, certain settlement exchanges have implemented loss allocation policies that enable the exchange to allocate settlement losses to the members of the exchange. It is not possible to quantify such mark-to-market loss until the loss occurs. Any ancillary costs that occur as a result of any mark-to-market loss cannot be quantified. In addition, we also sponsor clients as members on clearing and settlement exchanges and guarantee their obligations. At March 31, 2021 and Dec. 31, 2020, we did not record any material liabilities under these arrangements.

Legal proceedings

In the ordinary course of business, The Bank of New York Mellon Corporation and its subsidiaries are routinely named as defendants in or made parties to pending and potential legal actions. We also are subject to governmental and regulatory examinations, information-gathering requests, investigations and proceedings (both formal and informal). Claims for significant monetary damages are often asserted in many of these legal actions, while claims for disgorgement, restitution, penalties and/or other remedial actions or sanctions may be sought in governmental and regulatory matters. It is inherently difficult to predict the eventual outcomes of such matters given their complexity and the particular facts and circumstances at issue in each of these matters. However, on the basis of our current knowledge and
understanding, we do not believe that judgments, settlements or orders, if any, arising from these matters (either individually or in the aggregate, after giving effect to applicable reserves and insurance coverage) will have a material adverse effect on the consolidated financial position or liquidity of BNY Mellon, although they could have a material effect on our results of operations in a given period.

In view of the inherent unpredictability of outcomes in litigation and regulatory matters, particularly where (i) the damages sought are substantial or indeterminate, (ii) the proceedings are in the early stages, or (iii) the matters involve novel legal theories or a large number of parties, as a matter of course there is considerable uncertainty surrounding the timing or ultimate resolution of litigation and regulatory matters, including a possible eventual loss, fine, penalty or business impact, if any, associated with each such matter. In accordance with applicable accounting guidance, we establish accruals for litigation and regulatory matters when those matters proceed to a stage where they present loss contingencies that are both probable and reasonably estimable. In such cases, there may be a possible exposure to loss in excess of any amounts accrued. We regularly monitor such matters for developments that could affect the amount of the accrual, and will adjust the accrual amount as appropriate. If the loss contingency in question is not both probable and reasonably estimable, we do not establish an accrual and the matter continues to be monitored for any developments that would make the loss contingency both probable and reasonably estimable. We believe that our accruals for legal proceedings are appropriate and, in the aggregate, are not material to the consolidated financial position of BNY Mellon, although future accruals could have a material effect on the results of operations in a given period. In addition, if we have the potential to recover a portion of an estimated loss from a third party, we record a receivable up to the amount of the accrual that is probable of recovery.

For certain of those matters described here for which a loss contingency may, in the future, be reasonably possible (whether in excess of a related accrued liability or where there is no accrued liability), BNY Mellon is currently unable to estimate a range of reasonably possible loss. For those matters described here where BNY Mellon is able to estimate a reasonably possible loss, the aggregate range of such reasonably possible loss is up to $650 million in
88 BNY Mellon
Notes to Consolidated Financial Statements (continued)
excess of the accrued liability (if any) related to those matters. For matters where a reasonably possible loss is denominated in a foreign currency, our estimate is adjusted quarterly based on prevailing exchange rates. We do not consider potential recoveries when estimating reasonably possible losses.

The following describes certain judicial, regulatory and arbitration proceedings involving BNY Mellon:

Mortgage-Securitization Trusts Proceedings
The Bank of New York Mellon has been named as a defendant in a number of legal actions brought by MBS investors alleging that the trustee has expansive duties under the governing agreements, including the duty to investigate and pursue breach of representation and warranty claims against other parties to the MBS transactions. Three actions commenced in December 2014, December 2015 and February 2017 are pending in New York federal court; and one action commenced in May 2016 is pending in New York state court.

Matters Related to R. Allen Stanford
In late December 2005, Pershing LLC (“Pershing”) became a clearing firm for Stanford Group Co. (“SGC”), a registered broker-dealer that was part of a group of entities ultimately controlled by R. Allen Stanford (“Stanford”). Stanford International Bank, also controlled by Stanford, issued certificates of deposit (“CDs”). Some investors allegedly wired funds from their SGC accounts to purchase CDs. In 2009, the Securities and Exchange Commission charged Stanford with operating a Ponzi scheme in connection with the sale of CDs, and SGC was placed into receivership. Alleged purchasers of CDs have filed two putative class action proceedings against Pershing: one in November 2009 in Texas federal court, and one in May 2016 in New Jersey federal court. After dismissals, three lawsuits remain against Pershing in Louisiana and New Jersey federal courts, which were filed in January 2010, October 2015 and May 2016. The purchasers allege that Pershing, as SGC’s clearing firm, assisted Stanford in a fraudulent scheme and assert contractual, statutory and common law claims. In March 2019, a group of investors filed a putative class action against The Bank of New York Mellon in New Jersey federal court, making the same allegations as in the prior actions brought against Pershing. All the cases that have been brought in federal court against Pershing and the case brought against The Bank of New York Mellon have been consolidated in Texas federal court for discovery
purposes. In July 2020, after being enjoined from pursuing claims before the Financial Industry Regulatory Authority, Inc. (“FINRA”), an investment firm filed an action against Pershing in Texas federal court. FINRA arbitration proceedings also have been initiated by alleged purchasers asserting similar claims.

Brazilian Postalis Litigation
BNY Mellon Servicos Financeiros DTVM S.A. (“DTVM”), a subsidiary that provides asset services in Brazil, acts as administrator for certain investment funds in which a public pension fund for postal workers called Postalis-Instituto de Seguridade Social dos Correios e Telégrafos (“Postalis”) invested. On Aug. 22, 2014, Postalis sued DTVM in Rio de Janeiro, Brazil for losses related to a Postalis fund for which DTVM is administrator. Postalis alleges that DTVM failed to properly perform duties, including to conduct due diligence of and exert control over the manager. On March 12, 2015, Postalis filed a lawsuit in Rio de Janeiro against DTVM and BNY Mellon Administração de Ativos Ltda. (“Ativos”) alleging failure to properly perform duties relating to another fund of which DTVM is administrator and Ativos is manager. On Dec. 14, 2015, Associacão dos Profissionais dos Correios (“ADCAP”), a Brazilian postal workers association, filed a lawsuit in São Paulo against DTVM and other defendants alleging that DTVM improperly contributed to Postalis investment losses. On March 20, 2017, the lawsuit was dismissed without prejudice, and ADCAP has appealed that decision. On Dec. 17, 2015, Postalis filed three lawsuits in Rio de Janeiro against DTVM and Ativos alleging failure to properly perform duties with respect to investments in several other funds. On Feb. 4, 2016, Postalis filed a lawsuit in Brasilia against DTVM, Ativos and BNY Mellon Alocação de Patrimônio Ltda. (“Alocação de Patrimônio”), an investment management subsidiary, alleging failure to properly perform duties and liability for losses with respect to investments in various funds of which the defendants were administrator and/or manager. On Jan. 16, 2018, the Brazilian Federal Prosecution Service (“MPF”) filed a civil lawsuit in São Paulo against DTVM alleging liability for Postalis losses based on alleged failures to properly perform certain duties as administrator to certain funds in which Postalis invested or as controller of Postalis’s own investment portfolio. On April 18, 2018, the court dismissed the lawsuit without prejudice, and the MPF has appealed that decision. In addition, the Tribunal de Contas da Uniao (“TCU”), an administrative
BNY Mellon 89
Notes to Consolidated Financial Statements (continued)
tribunal, has initiated two proceedings with the purpose of determining liability for losses to two investment funds administered by DTVM in which Postalis was the exclusive investor. On Sept. 9, 2020, TCU rendered a decision in one of the proceedings, finding DTVM and two former Postalis directors jointly and severally liable for approximately $45 million. TCU also imposed on DTVM a fine of approximately $2 million. DTVM has filed an administrative appeal of the decision. On Oct. 4, 2019, Postalis and another pension fund filed a request for arbitration in São Paulo against DTVM and Ativos alleging liability for losses to an investment fund for which DTVM was administrator and Ativos was manager. On March 26, 2021, DTVM and Ativos filed a lawsuit challenging the decision rendered by the Arbitration Court with respect to its jurisdiction over the case. On Oct. 25, 2019, Postalis filed a lawsuit in Rio de Janeiro against DTVM and Alocação de Patrimônio, alleging liability for losses in another fund for which DTVM was administrator and Alocação de Patrimônio and Ativos were managers. On June 19, 2020, a lawsuit was filed in federal court in Rio de Janeiro against DTVM, Postalis, and various other defendants alleging liability against DTVM for certain Postalis losses in an investment fund of which DTVM was administrator. On Feb. 10, 2021, Postalis and another pension fund served DTVM in a lawsuit filed in Rio de Janeiro, alleging liability for losses in another investment fund for which DTVM was administrator and the other defendant was manager.

Brazilian Silverado Litigation
DTVM acts as administrator for the Fundo de Investimento em Direitos Creditórios Multisetorial Silverado Maximum (“Silverado Maximum Fund”), which invests in commercial credit receivables. On June 2, 2016, the Silverado Maximum Fund sued DTVM in its capacity as administrator, along with Deutsche Bank S.A. - Banco Alemão in its capacity as custodian and Silverado Gestão e Investimentos Ltda. in its capacity as investment manager. The Fund alleges that each of the defendants failed to fulfill its respective duty, and caused losses to the Fund for which the defendants are jointly and severally liable.

German Tax Matters
German authorities are investigating past “cum/ex” trading, which involved the purchase of equity securities on or shortly before the dividend date, but settled after that date, potentially resulting in an
unwarranted refund of withholding tax. German authorities have taken the view that past cum/ex trading may have resulted in tax avoidance or evasion. European subsidiaries of BNY Mellon have been informed by German authorities about investigations into potential cum/ex trading by certain third-party investment funds, where one of the subsidiaries had acquired entities that served as depositary and/or fund manager for those third-party investment funds. We have received information requests from the authorities relating to pre-acquisition activity and are cooperating fully with those requests. In August 2019, the District Court of Bonn ordered that one of these subsidiaries be joined as a secondary party in connection with the prosecution of unrelated individual defendants. Trial commenced in September 2019. In March 2020, the court stated that it would refrain from taking action against the subsidiary in order to expedite the conclusion of the trial. The court convicted the unrelated individual defendants, and determined that the cum/ex trading activities of the relevant third-party investment funds were unlawful. In November and December 2020, we received secondary liability notices from the German tax authorities totaling approximately $150 million related to pre-acquisition activity in various funds for which the entities we acquired were depositary and/or fund manager. We have appealed the notices. In connection with the acquisition of the subject entities, we obtained an indemnity for liabilities from the sellers that we intend to pursue as necessary.

Note 18–Lines of business

We have an internal information system that produces performance data along product and service lines for our two principal businesses and the Other segment. The primary products and services and types of revenue for our principal businesses and a description of the Other segment are presented in Note 24 of the Notes to Consolidated Financial Statements in our 2020 Annual Report.

Business accounting principles

Our business data has been determined on an internal management basis of accounting, rather than GAAP which is used for consolidated financial reporting. These measurement principles are designed so that reported results of the businesses will track their economic performance.
90 BNY Mellon
Notes to Consolidated Financial Statements (continued)
Business results are subject to reclassification when organizational changes are made, or for refinements in revenue and expense allocation methodologies. Refinements are typically reflected on a prospective basis. There were no reclassification or organization changes in the first quarter of 2021.

The accounting policies of the businesses are the same as those described in Note 1 of the Notes to Consolidated Financial Statements in our 2020 Annual Report.

The results of our businesses are presented and analyzed on an internal management reporting basis.

•Revenue amounts reflect fee and other revenue generated by each business and include revenue for services provided between the segments that are also provided to third parties. Fee and other revenue transferred between businesses under revenue transfer agreements is included within other revenue in each business.
•Revenues and expenses associated with specific client bases are included in those businesses. For example, foreign exchange activity associated with clients using custody products is included in Investment Services.
•Net interest revenue is allocated to businesses based on the yields on the assets and liabilities generated by each business. We employ a funds transfer pricing system that matches funds with the specific assets and liabilities of each business based on their interest sensitivity and maturity characteristics.
•The provision for credit losses associated with the respective credit portfolios is reflected in each business segment.
•Incentives expense related to restricted stock and RSUs is allocated to the businesses.
•Support and other indirect expenses, including services provided between segments that are not provided to third parties or not subject to a revenue transfer agreement, are allocated to businesses based on internally developed methodologies and reflected in noninterest expense.
•Recurring FDIC expense is allocated to the businesses based on average deposits generated within each business.
•Litigation expense is generally recorded in the business in which the charge occurs.
•Management of the securities portfolio is a shared service contained in the Other segment. As a result, gains and losses associated with the valuation of the securities portfolio are generally included in the Other segment.
•Client deposits serve as the primary funding source for our securities portfolio. We typically allocate all interest revenue to the businesses generating the deposits. Accordingly, accretion related to the portion of the securities portfolio restructured in 2009 has been included in the results of the businesses.
•Balance sheet assets and liabilities and their related income or expense are specifically assigned to each business. Businesses with a net liability position have been allocated assets.
•Goodwill and intangible assets are reflected within individual businesses.

The following consolidating schedules present the contribution of our businesses to our overall profitability.

For the quarter ended March 31, 2021Investment
Services		Investment
and Wealth Management		OtherConsolidated
(dollars in millions)
Total fee and other revenue (loss)$2,345 $943 (a)$(27)$3,261 (a)
Net interest revenue (expense)645 48 (38)655 
Total revenue (loss)2,990 991 (a)(65)3,916 (a)
Provision for credit losses(79)4 (8)(83)
Noninterest expense2,101 709 41 2,851 
Income (loss) before income taxes$968 $278 (a)$(98)$1,148 (a)
Pre-tax operating margin (b)
32 %28 %N/M29 %
Average assets$385,054 $32,066 $43,259 $460,379 
(a)    Total fee and other revenue, total revenue and income before income taxes are net of noncontrolling interests of $5 million.
(b)    Income before income taxes divided by total revenue.
N/M – Not meaningful.
BNY Mellon 91
Notes to Consolidated Financial Statements (continued)
For the quarter ended Dec. 31, 2020Investment
Services		Investment
and Wealth Management		OtherConsolidated
(dollars in millions)
Total fee and other revenue (loss)$2,235 $940 (a)$(17)$3,158 (a)
Net interest revenue (expense)670 50 (40)680 
Total revenue (loss)2,905 990 (a)(57)3,838 (a)
Provision for credit losses31 (8)(8)15 
Noninterest expense2,174 687 64 2,925 
Income (loss) before income taxes$700 $311 (a)$(113)$898 (a)
Pre-tax operating margin (b)
24 %32 %N/M24 %
Average assets$358,270 $30,804 $48,414 $437,488 
(a)    Total fee and other revenue, total revenue and income before income taxes are net of noncontrolling interests of $5 million.
(b)    Income before income taxes divided by total revenue.
N/M – Not meaningful.


For the quarter ended March 31, 2020Investment
Services		Investment
and Wealth Management		OtherConsolidated
(dollars in millions)
Total fee and other revenue$2,436 $846 (a)$30 $3,312 (a)
Net interest revenue (expense)806 52 (44)814 
Total revenue (loss)3,242 898 (a)(14)4,126 (a)
Provision for credit losses149 9 11 169 
Noninterest expense1,987 695 30 2,712 
Income (loss) before income taxes$1,106 $194 (a)$(55)$1,245 (a)
Pre-tax operating margin (b)
34 %22 %N/M30 %
Average assets$304,089 $30,543 $50,646 $385,278 
(a)    Total fee and other revenue, total revenue and income before income taxes are net of a loss attributable to noncontrolling interests of $18 million.
(b)    Income before income taxes divided by total revenue.
N/M – Not meaningful.


Note 19–Supplemental information to the Consolidated Statement of Cash Flows

Non-cash investing and financing transactions that, appropriately, are not reflected in the consolidated statement of cash flows are listed below.

Non-cash investing and financing transactionsThree months ended March 31,
(in millions)20212020
Transfers from loans to other assets for other real estate owned$1 $— 
Change in assets of consolidated investment management funds21 16 
Change in liabilities of consolidated investment management funds7 — 
Change in nonredeemable noncontrolling interests of consolidated investment management funds119 8 
Securities purchased not settled413 1,667 
Securities sold not settled443 — 
Securities matured not settled— 9 
Premises and equipment/operating lease obligations24 15 
Investment redemptions not settled— 37 

92 BNY Mellon
Item 4. Controls and Procedures
Disclosure controls and procedures

Our management, including the Chief Executive Officer and Chief Financial Officer, with participation by the members of the Disclosure Committee, has responsibility for ensuring that there is an adequate and effective process for establishing, maintaining, and evaluating disclosure controls and procedures that are designed to ensure that information required to be disclosed by us in our SEC reports is timely recorded, processed, summarized and reported and that information required to be disclosed by BNY Mellon is accumulated and communicated to BNY Mellon’s management to allow timely decisions regarding the required disclosure. In addition, our ethics hotline can also be used by employees and others for the anonymous communication of concerns about financial controls or reporting matters. There are inherent limitations to the effectiveness of any system of disclosure controls and procedures, including the possibility of human error and the circumvention or overriding of the controls and procedures. Accordingly, even effective disclosure controls and procedures can only provide reasonable assurance of achieving their control objectives.

As of the end of the period covered by this report, an evaluation was carried out under the supervision and with the participation of our management, including the Chief Executive Officer and Chief Financial Officer, of the effectiveness of our disclosure controls and procedures as defined in Rule 13a-15(e) under the Securities Exchange Act of 1934, as amended (the “Exchange Act”). Based on that evaluation, the Chief Executive Officer and Chief Financial Officer concluded that our disclosure controls and procedures were effective.

Changes in internal control over financial reporting

In the ordinary course of business, we may routinely modify, upgrade or enhance our internal controls and procedures for financial reporting. There have not been any changes in our internal control over financial reporting as defined in Rule 13a-15(f) of the Exchange Act during the first quarter of 2021 that have materially affected, or are reasonably likely to materially affect, our internal control over financial reporting.

BNY Mellon 93
Forward-looking Statements
Some statements in this Quarterly Report are forward-looking. These include statements about the usefulness of Non-GAAP measures, the future results of BNY Mellon, our businesses, financial, liquidity and capital condition, results of operations, liquidity, risk and capital management and processes, goals, strategies, outlook, objectives, expectations (including those regarding our performance results, expenses, nonperforming assets, products, impacts of currency fluctuations, impacts of money market fee waivers, deposits, impacts of trends on our businesses, regulatory, technology, market, economic or accounting developments and the impacts of such developments on our businesses, legal proceedings and other contingencies), human capital management (including related ambitions, objectives, aims and goals), effective tax rate, net interest revenue, estimates (including those regarding expenses, losses inherent in our credit portfolios and capital ratios), intentions (including those regarding our capital returns and expenses, including our investments in technology and pension expense), targets, opportunities, potential actions, growth and initiatives, including the potential effects of the coronavirus pandemic on any of the foregoing.

In this report, any other report, any press release or any written or oral statement that BNY Mellon or its executives may make, words, such as “estimate,” “forecast,” “project,” “anticipate,” “likely,” “target,” “expect,” “intend,” “continue,” “seek,” “believe,” “plan,” “goal,” “could,” “should,” “would,” “may,” “might,” “will,” “strategy,” “synergies,” “opportunities,” “trends,” “ambition,” “objective,” “aim,” “future,” “potentially,” “outlook” and words of similar meaning, may signify forward-looking statements.

Actual results may differ materially from those expressed or implied as a result of a number of factors, including those discussed in “Risk Factors” in our 2020 Annual Report, such as:
•errors or delays in our operational and transaction processing may materially adversely affect our business, financial condition, results of operations and reputation;
•our risk management framework, models and processes may not be effective in mitigating risk and reducing the potential for losses;
•the coronavirus pandemic is adversely affecting us and creates significant risks and uncertainties for our business, and the ultimate impact of the pandemic on us will depend on future
developments, which are highly uncertain and cannot be predicted;
•a communications or technology disruption or failure within our infrastructure or the infrastructure of third parties that results in a loss of information, delays our ability to access information or impacts our ability to provide services to our clients may materially adversely affect our business, financial condition and results of operations;
•a cybersecurity incident, or a failure to protect our computer systems, networks and information and our clients’ information against cybersecurity threats, could result in the theft, loss, unauthorized access to, disclosure, use or alteration of information, system or network failures, or loss of access to information. Any such incident or failure could adversely impact our ability to conduct our businesses, damage our reputation and cause losses;
•we are subject to extensive government rulemaking, policies, regulation and supervision that impact our operations. Changes to and introduction of new rules and regulations have, and in the future may, compel us to change how we manage our businesses, which could have a material adverse effect on our business, financial condition and results of operations;
•regulatory or enforcement actions or litigation could materially adversely affect our results of operations or harm our businesses or reputation;
•failure to satisfy regulatory standards, including “well capitalized” and “well managed” status or capital adequacy and liquidity rules more generally, could result in limitations on our activities and adversely affect our business and financial condition;
•a failure or circumvention of our controls and procedures could have a material adverse effect on our business, financial condition, results of operations and reputation;
•we are dependent on fee-based business for a substantial majority of our revenue and our fee-based revenues could be adversely affected by slowing in market activity, weak financial markets, underperformance and/or negative trends in savings rates or in investment preferences;
•weakness and volatility in financial markets and the economy generally may materially adversely affect our business, financial condition and results of operations;
94 BNY Mellon
Forward-looking Statements (continued)
•changes in interest rates and yield curves have had, and may in the future continue to have, a material adverse effect on our profitability;
•we may experience losses on securities related to volatile and illiquid market conditions, reducing our earnings and impacting our financial condition;
•transitions away from and the replacement of LIBOR and other interbank offered rates could adversely impact our business, financial condition and results of operations;
•following the end of the transition period, the UK and the EU have not agreed to alternatives to the “passporting rights,” which may result in negative effects on global economic conditions, global financial markets, and our business, financial condition and results of operations;
•the failure or perceived weakness of any of our significant clients or counterparties, many of whom are major financial institutions or sovereign entities, and our assumption of credit and counterparty risk, could expose us to loss and adversely affect our business;
•we could incur losses if our allowance for credit losses, including loan and lending-related commitment reserves, is inadequate or if our expectations of future economic conditions deteriorate;
•our business, financial condition and results of operations could be adversely affected if we do not effectively manage our liquidity;
•the Parent is a non-operating holding company, and as a result, is dependent on dividends from its subsidiaries and extensions of credit from its IHC to meet its obligations, including with respect to its securities, and to provide funds for share repurchases and payment of dividends to its stockholders;
•our ability to return capital to shareholders is subject to the discretion of our Board of Directors and may be limited by U.S. banking laws and regulations, including those governing capital and capital planning, applicable provisions of Delaware law and our failure to pay full and timely dividends on our preferred stock;
•any material reduction in our credit ratings or the credit ratings of our principal bank subsidiaries, The Bank of New York Mellon or BNY Mellon, N.A., could increase the cost of funding and borrowing to us and our rated subsidiaries and have a material adverse effect on our business, financial condition and results of operations and on the value of the securities we issue;
•the application of our Title I preferred resolution strategy or resolution under the Title II orderly liquidation authority could adversely affect the Parent’s liquidity and financial condition and the Parent’s security holders;
•new lines of business, new products and services or transformational or strategic project initiatives may subject us to additional risks, and the failure to implement these initiatives could affect our results of operations;
•we are subject to competition in all aspects of our business, which could negatively affect our ability to maintain or increase our profitability;
•our business may be adversely affected if we are unable to attract, retain and motivate employees;
•our strategic transactions present risks and uncertainties and could have an adverse effect on our business, financial condition and results of operations;
•our businesses may be negatively affected by adverse events, publicity, government scrutiny or other reputational harm;
•climate change concerns could adversely affect our business, affect client activity levels and damage our reputation;
•impacts from natural disasters, climate change, acts of terrorism, pandemics, global conflicts and other geopolitical events may have a negative impact on our business and operations;
•tax law changes or challenges to our tax positions with respect to historical transactions may adversely affect our net income, effective tax rate and our overall results of operations and financial condition; and
•changes in accounting standards governing the preparation of our financial statements and future events could have a material impact on our reported financial condition, results of operations, cash flows and other financial data.

Investors should consider all risk factors discussed in our 2020 Annual Report and any subsequent reports filed with the SEC by BNY Mellon pursuant to the Exchange Act. All forward-looking statements speak only as of the date on which such statements are made, and BNY Mellon undertakes no obligation to update any statement to reflect events or circumstances after the date on which such forward-looking statement is made or to reflect the occurrence of unanticipated events. The contents of BNY Mellon’s website or any other website referenced herein are not part of this report.

BNY Mellon 95
Part II – Other Information
Item 1. Legal Proceedings.

The information required by this Item is set forth in the “Legal proceedings” section in Note 17 of the Notes to Consolidated Financial Statements, which portion is incorporated herein by reference in response to this item.

Item 2. Unregistered Sales of Equity Securities and Use of Proceeds.

(c)    The following table discloses repurchases of our common stock made in the first quarter of 2021. All of the Company’s preferred stock outstanding has preference over the Company’s common stock with respect to the payment of dividends.

Issuer purchases of equity securities

Share repurchases – first quarter of 2021
Total shares
repurchased as
 part of a publicly
announced plan
or program
Maximum approximate dollar value of shares that may yet be purchased under the publicly announced plans or programs at March 31, 2021
(dollars in millions, except per share amounts; common shares in thousands)Total shares
repurchased		Average price
per share
January 20218,608 $41.12 8,608 $4,095 
February 20218,142 42.27 8,142 3,751 
March 202116 43.46 16 3,751 
First quarter of 2021 (a)
16,766 $41.68 16,766 $3,751 
(a)    Includes 1,675 thousand shares repurchased at a purchase price of $71 million from employees, primarily in connection with the employees’ payment of taxes upon the vesting of restricted stock. The average price per share of open market repurchases was $41.63.


In December 2020, in connection with the Federal Reserve’s release of the second round of CCAR stress tests during 2020, we announced a share repurchase plan approved by our Board of Directors. This program provides for the repurchase of up to $4.451 billion from the third quarter of 2020 through the third quarter of 2021. Any repurchases during that period will be made in a manner consistent with any applicable distribution limitations imposed by the Federal Reserve. This new share repurchase plan replaces all previously authorized share repurchase plans.

Share repurchases may be executed through open market repurchases, in privately negotiated
transactions or by other means, including through repurchase plans designed to comply with Rule 10b5-1 and other derivative, accelerated share repurchase and other structured transactions. The timing and exact amount of any common stock repurchases will depend on various factors, including market conditions and the common stock trading price; the Company’s capital position, liquidity and financial performance; alternative uses of capital; and legal and regulatory limitations and considerations.

Item 6. Exhibits.

The list of exhibits required to be filed as exhibits to this report appears below.
96 BNY Mellon
Index to Exhibits
Exhibit No.DescriptionMethod of Filing
3.1Restated Certificate of Incorporation of The Bank of New York Mellon Corporation.
3.2Certificate of Amendment to the The Bank of New York Mellon Corporation’s Restated Certificate of Incorporation, as filed with the Secretary of State of the State of Delaware on April 9, 2019.
3.3Certificate of Designations of The Bank of New York Mellon Corporation with respect to the Series A Noncumulative Preferred Stock, dated June 15, 2007.
3.4Certificate of Designations of The Bank of New York Mellon Corporation with respect to the Series D Noncumulative Perpetual Preferred Stock, dated May 16, 2013.
3.5Certificate of Designations of The Bank of New York Mellon Corporation with respect to the Series E Noncumulative Perpetual Preferred Stock, dated April 27, 2015.
3.6Certificate of Designations of The Bank of New York Mellon Corporation with respect to the Series F Noncumulative Perpetual Preferred Stock, dated July 29, 2016.
3.7Certificate of Designations of The Bank of New York Mellon Corporation with respect to the Series G Noncumulative Perpetual Preferred Stock, dated May 15, 2020.
3.8Certificate of Designations of The Bank of New York Mellon Corporation with respect to the Series H Noncumulative Perpetual Preferred Stock, dated Nov. 2, 2020.
3.9Amended and Restated By-Laws of The Bank of New York Mellon Corporation, as amended and restated on Feb. 12, 2018.
BNY Mellon 97
Index to Exhibits (continued)
Exhibit No.DescriptionMethod of Filing
4.1
None of the instruments defining the rights of holders of long-term debt of the Parent or any of its subsidiaries represented long-term debt in excess of 10% of the total assets of the Company as of March 31, 2021. The Company hereby agrees to furnish to the Commission, upon request, a copy of any such instrument.
N/A
22.1Subsidiary Issuer of Guaranteed Securities.
31.1Certification of the Chief Executive Officer pursuant to Rule 13a-14(a), as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
31.2Certification of the Chief Financial Officer pursuant to Rule 13a-14(a), as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
32.1Certification of the Chief Executive Officer pursuant to 18 U.S.C. §1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
32.2Certification of the Chief Financial Officer pursuant to 18 U.S.C. §1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
101.INSInline XBRL Instance Document.The instance document does not appear in the interactive data file because its XBRL tags are embedded within the inline XBRL document.
101.SCHInline XBRL Taxonomy Extension Schema Document.Filed herewith.
101.CALInline XBRL Taxonomy Extension Calculation Linkbase Document.Filed herewith.
101.DEFInline XBRL Taxonomy Extension Definition Linkbase Document.Filed herewith.
101.LABInline XBRL Taxonomy Extension Label Linkbase Document.Filed herewith.
101.PREInline XBRL Taxonomy Extension Presentation Linkbase Document.Filed herewith.
104
The cover page of the Company’s Quarterly Report on Form 10-Q for the quarter ended March 31, 2021, formatted in inline XBRL.
The cover page interactive data file is embedded within the inline XBRL document and included in Exhibit 101.


98 BNY Mellon






SIGNATURE








Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.









THE BANK OF NEW YORK MELLON CORPORATION
(Registrant)
Date: May 6, 2021By:/s/ Kurtis R. Kurimsky
Kurtis R. Kurimsky
Corporate Controller
(Duly Authorized Officer and
Principal Accounting Officer of
the Registrant)


BNY Mellon 99

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