~~0001390777bk:NonAgencyResidentialMortgageBackedSecuritiesMemberbk:SecuritiesOrigination2007Memberus-gaap:FairValueMeasurementsRecurringMemberbk:PlusAndMinusCreditRatingMember2021-12-31~~

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,~~June 30, 2022

☐ 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)


Delaware			13-2614959
(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 value	BK	New York Stock Exchange
6.244% Fixed-to-Floating Rate Normal Preferred Capital Securities of Mellon Capital IV	BK/P	New 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,~~June 30, 2022, ~~807,798,243~~808,103,223 shares of the registrant’s common stock, $0.01 par value per share, were outstanding.

THE BANK OF NEW YORK MELLON CORPORATION

~~First~~Second Quarter 2022 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
Key ~~first~~second quarter 2022 and subsequent events			4
Highlights of ~~first~~second quarter 202 2 results			5


Fee and other revenue			6
Net interest revenue			910

Noninterest expense			1113
Income taxes			1113
Review of business segments			1214
Critical accounting estimates			1923
Consolidated balance sheet review			2024
Liquidity and dividends			2933
Capital			3337
Trading activities and risk management			3741
Asset/liability management			3943
Supplemental information – Explanation of GAAP and Non-GAAP financial measures			4145
Recent accounting and regulatory developments			4347
~~Other matters~~			44
Website information			4549

Item 1. Financial Statements:
Consolidated Income Statement (unaudited)			4650
Consolidated Comprehensive Income Statement (unaudited)			4852
Consolidated Balance Sheet (unaudited)			4953
Consolidated Statement of Cash Flows (unaudited)			5054
Consolidated Statement of Changes in Equity (unaudited)			5155


			Page
Notes to Consolidated Financial Statements:
Note 1—Basis of presentation			5358

Note 2—Acquisitions and dispositions			5358
Note 3—Securities			5358
Note 4—Loans and asset quality			5964

Note 5—Goodwill and intangible assets			6571
Note 6—Other assets			6672
Note 7—Contract revenue			6874
Note 8—Net interest revenue			7076
Note 9—Employee benefit plans			7077
Note 10—Income taxes			7077
Note 11—Variable interest entities			7177
Note 12—Preferred stock			7279
Note 13—Other comprehensive income (loss)			7380
Note 14—Fair value measurement			7381
Note 15—Fair value option			8086
Note 16—Derivative instruments			8086
Note 17—Commitments and contingent liabilities			8793
Note 18—Business segments			9399
Note 19—Supplemental information to the Consolidated Statement of Cash Flows			95101

Item 4. Controls and Procedures			96102
Forward-looking Statements			97103

Part II – Other Information
Item 1. Legal Proceedings.			99105

Item 2. Unregistered Sales of Equity Securities and Use of Proceeds.			99105
Item 6. Exhibits.			99105

Index to Exhibits			~~100~~106
Signature			~~102~~108

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

Consolidated Financial Highlights (unaudited)


		Quarter ended									Quarter ended											Year-to-date
(dollars in millions, except per share amounts and unless otherwise noted)	(dollars in millions, except per share amounts and unless otherwise noted)	March 31, 2022			Dec. 31, 2021			March 31, 2021				(dollars in millions, except per share amounts and unless otherwise noted)	June 30, 2022			March 31, 2022			June 30, 2021				June 30, 2022			June 30, 2021
Results applicable to common shareholders of The Bank of New York Mellon Corporation:	Results applicable to common shareholders of The Bank of New York Mellon Corporation:											Results applicable to common shareholders of The Bank of New York Mellon Corporation:
Net income	Net income	$	699		$	822		$	858			Net income	$	835		$	699		$	991			$	1,534		$	1,849
Basic earnings per share	Basic earnings per share	$	0.86		$	1.01		$	0.97			Basic earnings per share	$	1.03		$	0.86		$	1.14			$	1.89		$	2.11
Diluted earnings per share	Diluted earnings per share	$	0.86		$	1.01		$	0.97			Diluted earnings per share	$	1.03		$	0.86		$	1.13			$	1.88		$	2.10

Fee and other revenue	Fee and other revenue	$	3,228		$	3,338		$	3,266			Fee and other revenue	$	3,430		$	3,228		$	3,315			$	6,658		$	6,581
Net interest revenue	Net interest revenue	698			677			655				Net interest revenue	824			698			645				1,522			1,300
Total revenue	Total revenue	$	3,926		$	4,015		$	3,921			Total revenue	$	4,254		$	3,926		$	3,960			$	8,180		$	7,881

Return on common equity (annualized)	Return on common equity (annualized)	7.6		%	8.6		%	8.5		%		Return on common equity (annualized)	9.3		%	7.6		%	9.8		%		8.4		%	9.2		%
Return on tangible common equity (annualized) – Non-GAAP (a)	Return on tangible common equity (annualized) – Non-GAAP (a)	15.4		%	17.2		%	16.1		%		Return on tangible common equity (annualized) – Non-GAAP (a)	19.2		%	15.4		%	18.6		%		17.2		%	17.3		%

Fee revenue as a percentage of total revenue	Fee revenue as a percentage of total revenue	80		%	80		%	83		%		Fee revenue as a percentage of total revenue	78		%	80		%	81		%		79		%	82		%

Non-U.S. revenue as a percentage of total revenue	Non-U.S. revenue as a percentage of total revenue	35		%	38		%	37		%		Non-U.S. revenue as a percentage of total revenue	36		%	35		%	38		%		35		%	38		%

Pre-tax operating margin	Pre-tax operating margin	23		%	27		%	29		%		Pre-tax operating margin	26		%	23		%	32		%		25		%	31		%

Net interest margin	Net interest margin	0.75		%	0.71		%	0.66		%		Net interest margin	0.89		%	0.75		%	0.67		%		0.82		%	0.67		%
Net interest margin on a fully taxable equivalent (“FTE”) basis – Non-GAAP (b)	Net interest margin on a fully taxable equivalent (“FTE”) basis – Non-GAAP (b)	0.76		%	0.71		%	0.67		%		Net interest margin on a fully taxable equivalent (“FTE”) basis – Non-GAAP (b)	0.89		%	0.76		%	0.67		%		0.83		%	0.67		%

Assets under custody and/or administration (“AUC/A”) at period end (in trillions) (c)	Assets under custody and/or administration (“AUC/A”) at period end (in trillions) (c)	$	45.5		$	46.7		$	41.7			Assets under custody and/or administration (“AUC/A”) at period end (in trillions) (c)	$	43.0		$	45.5		$	45.0			$	43.0		$	45.0
Assets under management (“AUM”) at period end (in billions) (d)	Assets under management (“AUM”) at period end (in billions) (d)	$	2,266		$	2,434		$	2,214			Assets under management (“AUM”) at period end (in billions) (d)	$	1,937		$	2,266		$	2,320			$	1,937		$	2,320

Average common shares and equivalents outstanding (in thousands):	Average common shares and equivalents outstanding (in thousands):											Average common shares and equivalents outstanding (in thousands):
Basic	Basic	809,469			811,463			882,558				Basic	810,903			809,469			869,460				810,233			876,006
Diluted	Diluted	813,986			817,345			885,655				Diluted	813,590			813,986			873,475				813,894			879,409

Selected average balances:	Selected average balances:											Selected average balances:
Interest-earning assets	Interest-earning assets	$	373,186		$	381,682		$	397,297			Interest-earning assets	$	370,782		$	373,186		$	388,285			$	371,997		$	392,766
Total assets	Total assets	$	440,202		$	449,638		$	460,379			Total assets	$	437,623		$	440,202		$	452,329			$	438,924		$	456,332
Interest-bearing deposits	Interest-bearing deposits	$	223,243		$	231,086		$	245,115			Interest-bearing deposits	$	219,124		$	223,243		$	239,466			$	221,172		$	242,275
Noninterest-bearing deposits	Noninterest-bearing deposits	$	90,179		$	91,535		$	83,429			Noninterest-bearing deposits	$	91,893		$	90,179		$	85,802			$	91,060		$	84,622
Long-term debt	Long-term debt	$	25,588		$	25,932		$	26,199			Long-term debt	$	26,195		$	25,588		$	25,275			$	25,893		$	25,734
Preferred stock	Preferred stock	$	4,838		$	5,027		$	4,541			Preferred stock	$	4,838		$	4,838		$	4,541			$	4,838		$	4,541
Total The Bank of New York Mellon Corporation common shareholders’ equity	Total The Bank of New York Mellon Corporation common shareholders’ equity	$	37,363		$	37,941		$	40,720			Total The Bank of New York Mellon Corporation common shareholders’ equity	$	36,199		$	37,363		$	40,393			$	36,778		$	40,556

Other information at period end:	Other information at period end:											Other information at period end:
Cash dividends per common share	Cash dividends per common share	$	0.34		$	0.34		$	0.31			Cash dividends per common share	$	0.34		$	0.34		$	0.31			$	0.68		$	0.62
Common dividend payout ratio	Common dividend payout ratio	40		%	34		%	32		%		Common dividend payout ratio	33		%	40		%	28		%		36		%	30		%
Common dividend yield (annualized)	Common dividend yield (annualized)	2.8		%	2.3		%	2.7		%		Common dividend yield (annualized)	3.3		%	2.8		%	2.4		%		3.3		%	2.4		%
Closing stock price per common share	Closing stock price per common share	$	49.63		$	58.08		$	47.29			Closing stock price per common share	$	41.71		$	49.63		$	51.23			$	41.71		$	51.23
Market capitalization	Market capitalization	$	40,091		$	46,705		$	41,401			Market capitalization	$	33,706		$	40,091		$	44,220			$	33,706		$	44,220
Book value per common share	Book value per common share	$	45.76		$	47.50		$	46.16			Book value per common share	$	44.73		$	45.76		$	47.20			$	44.73		$	47.20
Tangible book value per common share – Non-GAAP (a)	Tangible book value per common share – Non-GAAP (a)	$	22.76		$	24.31		$	24.88			Tangible book value per common share – Non-GAAP (a)	$	22.02		$	22.76		$	25.64			$	22.02		$	25.64
Full-time employees	Full-time employees	49,600			49,100			48,000				Full-time employees	50,800			49,600			48,800				50,800			48,800
Common shares outstanding (in thousands)	Common shares outstanding (in thousands)	807,798			804,145			875,481				Common shares outstanding (in thousands)	808,103			807,798			863,174				808,103			863,174

2 BNY Mellon

Consolidated Financial Highlights (unaudited) (continued)


Regulatory capital and other ratios	Regulatory capital and other ratios	March 31, 2022		Dec. 31, 2021		Regulatory capital and other ratios	June 30, 2022		March 31, 2022		Dec. 31, 2021
Average liquidity coverage ratio (“LCR”)	Average liquidity coverage ratio (“LCR”)	109	%	109	%	Average liquidity coverage ratio (“LCR”)	111	%	109	%	109	%

Regulatory capital ratios: (e)	Regulatory capital ratios: (e)					Regulatory capital ratios: (e)
Advanced:	Advanced:					Advanced:
Common Equity Tier 1 (“CET1”) ratio	Common Equity Tier 1 (“CET1”) ratio	10.4	%	11.4	%	Common Equity Tier 1 (“CET1”) ratio	10.0	%	10.4	%	11.4	%
Tier 1 capital ratio	Tier 1 capital ratio	13.2		14.2		Tier 1 capital ratio	12.8		13.2		14.2
Total capital ratio	Total capital ratio	13.9		15.0		Total capital ratio	13.6		13.9		15.0
Standardized:	Standardized:					Standardized:
CET1 ratio	CET1 ratio	10.1	%	11.2	%	CET1 ratio	10.1	%	10.1	%	11.2	%
Tier 1 capital ratio	Tier 1 capital ratio	12.9		14.0		Tier 1 capital ratio	12.9		12.9		14.0
Total capital ratio	Total capital ratio	13.7		14.9		Total capital ratio	13.8		13.7		14.9

Tier 1 leverage ratio	Tier 1 leverage ratio	5.3	%	5.5	%	Tier 1 leverage ratio	5.2	%	5.3	%	5.5	%
Supplementary leverage ratio (“SLR”)	Supplementary leverage ratio (“SLR”)	6.2		6.6		Supplementary leverage ratio (“SLR”)	6.2		6.2		6.6

BNY Mellon shareholders’ equity to total assets ratio	BNY Mellon shareholders’ equity to total assets ratio	8.8	%	9.7	%	BNY Mellon shareholders’ equity to total assets ratio	9.1	%	8.8	%	9.7	%
BNY Mellon common shareholders’ equity to total assets ratio	BNY Mellon common shareholders’ equity to total assets ratio	7.8		8.6		BNY Mellon common shareholders’ equity to total assets ratio	8.0		7.8		8.6

(a) 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 4145 for the reconciliation of Non-GAAP measures.

(b) See “Net interest revenue” on page 910 for a reconciliation of this Non-GAAP measure.

(c) Consists of AUC/A primarily from the Asset Servicing line of business and, to a lesser extent, the Clearance and Collateral Management, Issuer Services, Pershing and Wealth Management ~~businesses.~~lines of business. Includes the AUC/A of CIBC Mellon Global Securities Services Company (“CIBC Mellon”), a joint venture with the Canadian Imperial Bank of Commerce, of $1.5 trillion at June 30, 2022 and $1.7 trillion at March 31, 2022 and ~~Dec. 31, 2021 and $1.6 trillion at March 31,~~June 30, 2021.

(d) Excludes assets managed outside of the Investment and Wealth Management business segment.

(e) 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 3337.

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, 2021 (the “2021 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 dedicated to helping its clients manage and service their financial assets throughout the investment lifecycle. Whether providing financial services for institutions, corporations or individual investors, BNY Mellon delivers informed investment and wealth management and investment services in 35 countries.

BNY Mellon has three business segments, Securities Services, Market and Wealth 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 three business segments and lines of business, with the remaining operations in the Other segment.

Key ~~first~~second quarter 2022 and subsequent events

Leadership succession

In ~~March~~July 2022, ~~Todd Gibbons~~we announced ~~his decision to retire as Chief Executive Officer and member of the Board of Directors effective Aug. 31, 2022. The Board of Directors~~that Dermot McDonogh was appointed ~~Robin Vince~~ to the position of ~~President and CEO-Elect, and intends to appoint Mr. Vince to serve as CEO, in addition to his current role as President, when Mr. Gibbons retires. Since 2020, Mr. Vince~~Chief Financial Officer (“CFO”), effective Feb. 1, 2023, succeeding Emily Portney, who has served ~~as Vice Chair of~~in that role since July 19, 2020. Mr. McDonogh will join BNY Mellon ~~and CEO of Global Market Infrastructure,~~on Nov. 1, 2022. Ms. Portney will continue serving as CFO through Jan. 31, 2023, at which ~~includes BNY Mellon’s Pershing,~~time she will assume a new position leading the Company’s Treasury Services, Credit Services and Clearance ~~and~~& Collateral Management ~~lines of business, as well as Markets & Execution Services.~~businesses.

~~Impact~~Mr. McDonogh most recently served as the chief operating officer of ~~sanctions~~the Europe, Middle East and ~~actions related to Russia~~Africa region for Goldman Sachs International and as the chief executive officer of Goldman Sachs International Bank since 2015.

AsIncrease in cash dividend on common stock

In July, our Board of Directors approved a result of the war in Ukraine, BNY Mellon has ceased new banking business in Russia and suspended investment management purchases of Russian securities. Government sanctions and our actions resulted in an approximately $90 million reduction in fee revenue9% increase in the ~~first quarter of 2022, and is expected~~quarterly cash dividend on common stock, from $0.34 to ~~impact the Company’s annual~~$0.37 per share.

4 BNY Mellon

~~revenue by an estimated $80 million to $100 million going forward. We will continue to work with multinational clients that depend on our custody and recordkeeping services to manage their exposures.~~

Highlights of ~~first~~second quarter 2022 results

Net income applicable to common shareholders was ~~$699~~$835 million, or ~~$0.86~~$1.03 per diluted common share, in the ~~first~~second quarter of 2022. Net income applicable to common shareholders was ~~$858~~$991 million, or ~~$0.97~~$1.13 per diluted common share, in the ~~first~~second quarter of 2021. The highlights below are based on the ~~first~~second quarter of 2022 compared with the ~~first~~second quarter of 2021, unless otherwise noted.

•Total revenue of ~~$3.9~~$4.3 billion ~~was flat,~~increased 7%, primarily reflecting:

•Fee and other revenue ~~decreased 1%~~increased 3%, primarily reflecting:

•Fee revenue ~~decreased 3%~~increased 4%, ~~mainly~~primarily reflecting ~~an $88 million reduction primarily due to accelerated amortization~~lower money market fee waivers, higher client activity and higher foreign exchange revenue, partially offset by the unfavorable impact of ~~deferred costs for depositary receipts services related to Russia. The decrease also reflects~~a stronger U.S. dollar, lower market values and the impact of lost business in the prior year in both Pershing and Corporate ~~Trust, the unfavorable impact of a stronger U.S. dollar and lower foreign exchange revenue, partially offset by higher market values.~~Trust. (See “Fee and other revenue” beginning on page 6.)

•Investment and other revenue ~~increased,~~was unchanged, primarily reflecting ahigher strategic equity investment ~~gain in the first quarter of 2022 and a $39 million impairment for a renewable energy investment recorded in the first quarter of 2021, partially~~gains, offset by lower seed capital results. (See “Fee and other revenue” beginning on page 6.)

•Net interest revenue increased 7%28%, primarily reflecting higher interest rates on interest-earning assets and a change in asset mix, ~~and lower~~partially offset by higher funding expense ~~partially offset by~~and lower interest-earning assets. (See “Net interest revenue” on page 910.)

•Provision for credit losses was $2$47 million compared with a benefit of ~~$83 million.~~$86 million, primarily reflecting changes in the macroeconomic forecast. (See “Consolidated balance sheet review – Allowance for credit losses” beginning on page 2731.)

•Noninterest expense increased ~~approximately 5.5%~~12%, including 4% increase due to higher litigation reserves. The remainder of the increase primarily ~~reflecting~~reflects higher investments in growth, infrastructure and efficiency initiatives and higher revenue-related expenses, including the impact of inflation, partially offset by the favorable impact of a stronger U.S. dollar. (See “Noninterest expense” on page 1113.)

•Effective tax rate of ~~16.7%~~21.1% includes ~~a benefit from the annual vesting of stock-based awards.~~~1.5% impact due to increase in litigation reserves. (See “Income taxes” on page 1113.)

Metrics

•AUC/A of ~~$45.5~~$43.0 trillion ~~increased 9%~~decreased 4%, primarily reflecting ~~client inflows, net new business and higher~~lower market values ~~partially offset by~~and the unfavorable impact of a stronger U.S. ~~dollar.~~dollar, partially offset by client inflows and net new business.

•AUM of ~~$2.3~~$1.9 trillion ~~increased 2%~~decreased 17%, primarily reflecting ~~net inflows and higher~~lower market values ~~partially offset by~~and the unfavorable impact of a stronger U.S. ~~dollar.~~dollar, partially offset by net inflows.

Capital and liquidity

•Our CET1 ratio calculated under the Advanced Approaches was 10.0% at June 30, 2022, and 10.1% at March 31, 2022 ~~compared with 11.2% at Dec. 31, 2021.~~under the Standardized Approach. The decrease primarily reflects unrealized losses on securities available-for-sale, ~~higher risk-weighted assets (“RWAs”) driven by the implementation of the Standardized Approach to Counterparty Credit Risk~~foreign currency translation and capital deployed through dividends, partially offset by capital generated through ~~earnings.~~earnings and lower risk-weighted assets (“RWA”). (See “Capital” beginning on page 3337.)

•Tier 1 leverage was 5.2% at June 30, 2022, compared with 5.3% at March 31, ~~2022, compared with 5.5% at Dec. 31, 2021.~~2022. The decrease was driven by the decrease in capital, partially offset by lower average assets. (See “Capital” beginning on page 3337.)

•~~Repurchased 1.9 million common shares for $118 million and dividends~~Dividends to common shareholders were ~~$278~~$279 million (including dividend-equivalents on share-based awards).

Highlights of our principal business segments

Securities Services

•Total revenue ~~was flat and includes accelerated amortization of deferred costs for depositary receipts services related to Russia.~~increased 12%.

•Income before income taxes decreased ~~33%.~~24%; includes a 40% reduction due to higher litigation reserves and provision for credit losses.

•Pre-tax operating margin of ~~16%~~17%; or 21% excluding higher litigation reserves (Non-GAAP). (See “Supplemental information – Explanation of GAAP and Non-GAAP financial measures” beginning on page 45 for a reconciliation of this Non-GAAP measure.)

BNY Mellon 5

Market and Wealth Services

•Total revenue ~~was flat.~~increased 10%.

•Income before income taxes ~~decreased 10%~~increased 9%.

•Pre-tax operating margin of ~~41%~~46%.

Investment and Wealth Management

•Total revenue decreased 3%10%.

•Income before income taxes decreased ~~24%~~36%.

•Pre-tax operating margin of ~~22%~~23%; adjusted pre-tax operating margin – Non-GAAP of ~~24%~~26%. (See ~~“Supplemental~~

“Supplemental information – Explanation of GAAP and Non-GAAP financial measures” beginning on page 4145 for a reconciliation of this Non-GAAP measure.)

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

Fee and other revenue


Fee and other revenue	Fee and other revenue														Fee and other revenue																				YTD22
(dollars in millions, unless otherwise noted)	(dollars in millions, unless otherwise noted)										1Q22 vs.				(dollars in millions, unless otherwise noted)										2Q22 vs.										vs.
		1Q22			4Q21			1Q21			4Q21		1Q21			2Q22			1Q22			2Q21			1Q22		2Q21		YTD22			YTD21			YTD21
Investment services fees	Investment services fees	$	1,993		$	2,061		$	2,056		(3)	%	(3)	%	Investment services fees	$	2,206		$	1,993		$	2,076		11	%	6	%	$	4,199		$	4,132		2	%
Investment management and performance fees (a)	Investment management and performance fees (a)	883			896			890			(1)		(1)		Investment management and performance fees (a)	833			883			889			(6)		(6)		1,716			1,779			(4)
Foreign exchange revenue	Foreign exchange revenue	207			199			231			4		(10)		Foreign exchange revenue	222			207			184			7		21		429			415			3
Financing-related fees	Financing-related fees	45			47			51			(4)		(12)		Financing-related fees	44			45			48			(2)		(8)		89			99			(10)
Distribution and servicing fees	Distribution and servicing fees	30			28			29			7		3		Distribution and servicing fees	34			30			27			13		26		64			56			14
Total fee revenue	Total fee revenue	3,158			3,231			3,257			(2)		(3)		Total fee revenue	3,339			3,158			3,224			6		4		6,497			6,481			—
Investment and other revenue	Investment and other revenue	70			107			9			N/M				Investment and other revenue	91			70			91			N/M				161			100			N/M
Total fee and other revenue	Total fee and other revenue	$	3,228		$	3,338		$	3,266		(3)	%	(1)	%	Total fee and other revenue	$	3,430		$	3,228		$	3,315		6	%	3	%	$	6,658		$	6,581		1	%

Fee revenue as a percentage of total revenue	Fee revenue as a percentage of total revenue	80		%	80		%	83		%					Fee revenue as a percentage of total revenue	78		%	80		%	81		%					79		%	82		%

AUC/A at period end (in trillions) (b)	AUC/A at period end (in trillions) (b)	$	45.5		$	46.7		$	41.7		(3)	%	9	%	AUC/A at period end (in trillions) (b)	$	43.0		$	45.5		$	45.0		(5)	%	(4)	%	$	43.0		$	45.0		(4)	%
AUM at period end (in billions) (c)	AUM at period end (in billions) (c)	$	2,266		$	2,434		$	2,214		(7)	%	2	%	AUM at period end (in billions) (c)	$	1,937		$	2,266		$	2,320		(15)	%	(17)	%	$	1,937		$	2,320		(17)	%

(a) Excludes seed capital gains (losses) related to consolidated investment management funds.

(b) Consists of AUC/A primarily from the Asset Servicing line of business and, to a lesser extent, the Clearance and Collateral Management, Issuer Services, Pershing and Wealth Management ~~businesses.~~lines of business. Includes the AUC/A of CIBC Mellon of $1.5 trillion at June 30, 2022 and $1.7 trillion at March 31, 2022 and ~~Dec. 31, 2021 and $1.6 trillion at March 31,~~June 30, 2021.

N/M – Not meaningful.

Fee revenue ~~decreased 3%~~increased 4% compared with the second quarter of 2021 and 6% compared with the first quarter of ~~2021 and 2%~~2022.The increases compared with the ~~fourth quarter of 2021. The decreases compared with the first~~second quarter of 2021 and ~~fourth quarter of 2021 mainly reflect an $88 million reduction primarily due to accelerated amortization of deferred costs for depositary receipts services related to Russia.The decrease compared with the~~ first quarter of ~~2021 also reflects the impact of lost business in the prior year in both Pershing~~2022 primarily reflect higher investment services fees and ~~Corporate Trust, the unfavorable impact of a stronger U.S. dollar and lower~~ foreign exchange revenue, partially offset by ~~higher market values. The decrease compared with thefourth quarter of 2021 also reflects~~ lower ~~market values, partially offset by lower money market fee waivers.~~investment management and performance fees.

Investment and other revenue was unchanged compared with the second quarter of 2021 and increased ~~$61~~$21 million compared with the first quarter of ~~2021 and decreased $37 million compared~~2022. Compared with the ~~fourth~~second quarter of ~~2021.~~

2021, higher strategic equity investment gains were offset by lower seed capital results. The increase compared with the ~~first quarter of 2021 primarily reflects a strategic equity investment gain in the~~ first quarter of 2022 primarily reflects higher fixed-income trading results and ~~a $39 million impairment for a renewable energy~~strategic equity investment ~~recorded in the first quarter of 2021,~~gains, partially offset by lower seed capital results. ~~The decrease compared with thefourth quarter of 2021 primarily reflects lower seed capital results.~~

Money market fee waivers

~~Given the continued~~In recent periods, low short-term interest rates resulted in money market mutual fund fees and other similar fees ~~are~~ being waived to protect investors from negative returns. The fee waivers ~~have~~ impacted fee revenues in most of our businesses, but also resulted in lower distribution and servicing expense. Money market fee waivers are highly sensitive to changes in short-term interest rates and are difficult to predict.

~~6 BNY Mellon~~

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~~second quarter of 2022, the net impact of money market fee waivers was ~~$199~~$66 million, down from ~~$243~~$199 million in the ~~fourth~~first quarter of ~~2021,~~2022, driven by higher interest ~~rates, partially offset by higher balances.~~rates.

6 BNY Mellon


Money market fee waivers	Money market fee waivers							Money market fee waivers
(in millions)	(in millions)	1Q22		4Q21		1Q21		(in millions)	2Q22		1Q22		2Q21		YTD22		YTD21
Investment services fees	Investment services fees	$	(126)	$	(148)	$	(109)	Investment services fees	$	(26)	$	(126)	$	(148)	$	(152)	$	(257)
Investment management and performance fees	Investment management and performance fees	(85)		(116)		(89)		Investment management and performance fees	(40)		(85)		(115)		(125)		(204)
Distribution and servicing fees	Distribution and servicing fees	(11)		(14)		(13)		Distribution and servicing fees	(2)		(11)		(13)		(13)		(26)
Total fee revenue	Total fee revenue	(222)		(278)		(211)		Total fee revenue	(68)		(222)		(276)		(290)		(487)
Less: Distribution and servicing expense	Less: Distribution and servicing expense	23		35		23		Less: Distribution and servicing expense	2		23		24		25		47
Net impact of money market fee waivers	Net impact of money market fee waivers	$	(199)	$	(243)	$	(188)	Net impact of money market fee waivers	$	(66)	$	(199)	$	(252)	$	(265)	$	(440)

Impact to investment services fees by line of business (a)
Impact to investment services fees by line of business: (a)								Impact to investment services fees by line of business: (a)
Asset Servicing	Asset Servicing	$	(19)	$	(31)	$	(15)	Asset Servicing	$	—	$	(19)	$	(30)	$	(19)	$	(45)
Issuer Services	Issuer Services	(11)		(18)		(11)		Issuer Services	(1)		(11)		(16)		(12)		(27)
Pershing	Pershing	(90)		(89)		(77)		Pershing	(25)		(90)		(91)		(115)		(168)
Treasury Services	Treasury Services	(6)		(10)		(6)		Treasury Services	—		(6)		(11)		(6)		(17)
Total impact of investment services fees by line of business	Total impact of investment services fees by line of business	$	(126)	$	(148)	$	(109)	Total impact of investment services fees by line of business	$	(26)	$	(126)	$	(148)	$	(152)	$	(257)

Impact to revenue by line of business (a):
Impact to fee revenue by line of business: (a)								Impact to fee revenue by line of business: (a)
Asset Servicing	Asset Servicing	$	(28)	$	(50)	$	(29)	Asset Servicing	$	(1)	$	(28)	$	(50)	$	(29)	$	(79)
Issuer Services	Issuer Services	(14)		(24)		(15)		Issuer Services	(1)		(14)		(22)		(15)		(37)
Pershing	Pershing	(107)		(106)		(94)		Pershing	(29)		(107)		(99)		(136)		(193)
Treasury Services	Treasury Services	(8)		(14)		(9)		Treasury Services	—		(8)		(16)		(8)		(25)
Investment Management	Investment Management	(63)		(81)		(61)		Investment Management	(37)		(63)		(85)		(100)		(146)
Wealth Management	Wealth Management	(2)		(3)		(3)		Wealth Management	—		(2)		(4)		(2)		(7)
Total impact to fee revenue by line of business	Total impact to fee revenue by line of business	$	(222)	$	(278)	$	(211)	Total impact to fee revenue by line of business	$	(68)	$	(222)	$	(276)	$	(290)	$	(487)

(a) The line of business revenue for management reporting purposes reflects the impact of revenue transferred between the businesses.

Investment services fees

Investment services fees ~~decreased 3%~~increased 6% compared with the second quarter of 2021 and 11% compared with the first quarter of ~~2021 and fourth quarter of 2021. Both decreases mainly reflect the reduction primarily due to accelerated amortization of deferred costs for depositary receipts services related to Russia.~~2022. The ~~decrease~~increase compared with the ~~first~~second quarter of 2021 ~~also~~primarily reflects lower money market fee waivers and higher client activity, partially offset by the impact of lost business in the prior year in ~~both~~ Pershing and Corporate Trust and the unfavorable impact of a stronger U.S. ~~dollar, partially offset by higher market values.~~dollar. The ~~decrease~~increase compared with the ~~fourth~~first quarter of ~~2021~~

~~was~~2022 primarily reflects lower money market fee waivers, the accelerated amortization of deferred costs for depositary receipts services related to Russia recorded in the first quarter of 2022 and higher client activity, partially offset by lower ~~money~~ market ~~fee waivers.~~values.

See “Securities Services business segment” and “Market and Wealth Services business segment” in “Review of business segments” for additional details.

Investment management and performance fees

Investment management and performance fees decreased 1%6% compared with the ~~first~~second quarter of 2021 and ~~fourth~~first quarter of ~~2021.~~2022. The decrease compared with the second quarter of 2021 primarily reflects lower market values, the unfavorable impact of a stronger U.S. dollar, an unfavorable change in

the mix of AUM and lower equity income, partially offset by lower money market fee waivers. The decrease compared with the first quarter of ~~2021~~2022 primarily reflects lower market values, timing of performance fees and the unfavorable impact of a stronger U.S. dollar, ~~and lower equity income, partially offset by higher market values. The decrease compared with the fourth quarter of 2021 primarily reflects lower market values,~~ partially offset by lower money market fee waivers. Performance fees were $5 million in the second quarter of 2022, $14 million in the second quarter of 2021 and $34 million in the first quarter of ~~2022, $40 million in the first quarter of 2021 and $32 million in the fourth quarter of 2021.~~2022. On a constant currency basis (Non-GAAP), investment management and performance fees ~~increased 1%~~decreased 3% compared with the ~~first~~second quarter of 2021. See “Supplemental information – Explanation of GAAP and Non-GAAP financial measures” beginning on page 4145 for the reconciliation of Non-GAAP measures.

AUM was ~~$2.3~~$1.9 trillion at ~~March 31,~~June 30, 2022, ~~an increase~~a decrease of 2%17% compared with ~~March 31,~~June 30, 2021, primarily reflecting ~~net inflows and higher~~lower market values ~~partially offset by~~and the unfavorable impact of a stronger U.S. ~~dollar.~~dollar, partially offset by net inflows.

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

BNY Mellon 7

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). Foreign exchange revenue ~~decreased 10%~~increased 21% compared with the second quarter of 2021 and 7% compared with the first quarter of ~~2021 and increased 4% compared with the fourth quarter of 2021. The decrease compared with the first quarter of 2021~~2022. Both increases primarily ~~reflects lower~~

~~BNY Mellon 7~~

~~volumes. The increase compared with the fourth quarter of 2021 primarily reflects~~reflect higher ~~volumes and~~ volatility. Foreign exchange revenue is primarily reported in the Securities Services business segment and, to a lesser extent, the Market and Wealth Services and Investment and Wealth Management business segments and the Other segment.

Investment and other revenue

Investment and other revenue includes income or loss from consolidated investment management funds, seed capital gains or losses, other trading revenue or loss, renewable energy investments losses, income from 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, other income or loss and net securities gains or losses. 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 investment and other revenue 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 revenue.


Investment and other revenue	Investment and other revenue							Investment and other revenue
(in millions)	(in millions)	1Q22		4Q21		1Q21		(in millions)	2Q22		1Q22		2Q21		YTD22		YTD21
(Loss) income from consolidated investment management funds	(Loss) income from consolidated investment management funds	$	(20)	$	9	$	17	(Loss) income from consolidated investment management funds	$	(24)	$	(20)	$	13	$	(44)	$	30
Seed capital (losses) gains (a)	Seed capital (losses) gains (a)	(8)		12		3		Seed capital (losses) gains (a)	(24)		(8)		18		(32)		21
Other trading revenue (loss)	Other trading revenue (loss)	5		(6)		(7)		Other trading revenue (loss)	45		5		(1)		50		(8)
Renewable energy investment (losses)	Renewable energy investment (losses)	(44)		(37)		(81)		Renewable energy investment (losses)	(44)		(44)		(41)		(88)		(122)
Corporate/bank-owned life insurance	Corporate/bank-owned life insurance	33		45		33		Corporate/bank-owned life insurance	28		33		29		61		62
Other investments gains (b)	Other investments gains (b)	61		55		11		Other investments gains (b)	78		61		23		139		34

Disposal gains								Disposal gains	—		—		6		—		6
Expense reimbursements from joint venture	Expense reimbursements from joint venture	27		23		23		Expense reimbursements from joint venture	26		27		25		53		48
Other income	Other income	12		5		10		Other income	6		12		17		18		27
Net securities gains	Net securities gains	4		1		—		Net securities gains	—		4		2		4		2
Total investment and other revenue	Total investment and other revenue	$	70	$	107	$	9	Total investment and other revenue	$	91	$	70	$	91	$	161	$	100

(a) Includes gains (losses) on investments in BNY Mellon funds which hedge deferred incentive awards.

(b) Includes strategic equity, private equity and other investments.

Investment and other revenue was $91 million in the second quarter of 2022 compared with $91 million in the second quarter of 2021 and $70 million in the first quarter of ~~2022 compared~~2022. Compared with ~~$9 million in~~ the ~~first~~second quarter of 2021, ~~and $107 million in the fourth quarter of 2021.~~higher strategic equity investment gains were offset by lower seed capital results. The increase compared with the first quarter of ~~2021~~2022 primarily reflects ahigher fixed-income trading results

and strategic equity investment ~~gain~~gains, partially offset by lower seed capital results.

Year-to-date 2022 compared with year-to-date 2021

Fee revenue increased less than 1% compared with the first six months of 2021, primarily reflecting higher investment services fees and foreign exchange

8 BNY Mellon

revenue, partially offset by lower investment management and performance fees. The 2% increase in investment services fees primarily reflects lower money market fee waivers and higher market values and client activity, partially offset by the accelerated amortization of deferred costs for depositary receipts services related to Russia recorded in the first quarter of 2022, the impact of lost business in the prior year in Pershing and Corporate Trust and the unfavorable impact of a stronger U.S. dollar. The 3% increase in foreign exchange revenue primarily reflects higher volatility. The 4% decrease in investment management and performance fees primarily reflects the unfavorable impact of a stronger U.S. dollar, lower equity income and an unfavorable change in the mix of AUM, partially offset by lower money market fee waivers.

Investment and other revenue increased $61 million compared with the first six months of 2021, primarily reflecting higher strategic equity investment gains and a $39 million impairment for a renewable energy investment recorded in the first quarter of 2021, partially offset by lower seed capital results. ~~The decrease compared with the fourth quarter of 2021 primarily reflects lower seed capital results.~~

8 BNY Mellon 9

Net interest revenue


Net interest revenue	Net interest revenue											Net interest revenue															YTD22
								1Q22 vs.											2Q22 vs.								vs.
(dollars in millions)	(dollars in millions)	1Q22		4Q21		1Q21		4Q21		1Q21		(dollars in millions)	2Q22		1Q22		2Q21		1Q22		2Q21		YTD22		YTD21		YTD21
Net interest revenue – GAAP	Net interest revenue – GAAP	$	698	$	677	$	655	3	%	7	%	Net interest revenue – GAAP	$	824	$	698	$	645	18	%	28	%	$	1,522	$	1,300	17	%
Add: Tax equivalent adjustment	Add: Tax equivalent adjustment	3		4		3		N/M				Add: Tax equivalent adjustment	3		3		3		N/M				6		6		N/M
Net interest revenue (FTE) – Non-GAAP (a)	Net interest revenue (FTE) – Non-GAAP (a)	$	701	$	681	$	658	3	%	7	%	Net interest revenue (FTE) – Non-GAAP (a)	$	827	$	701	$	648	18	%	28	%	$	1,528	$	1,306	17	%

Average interest-earning assets	Average interest-earning assets	$	373,186	$	381,682	$	397,297	(2)	%	(6)	%	Average interest-earning assets	$	370,782	$	373,186	$	388,285	(1)	%	(5)	%	$	371,997	$	392,766	(5)	%


Net interest margin – GAAP	Net interest margin – GAAP	0.75	%	0.71	%	0.66	%	4	bps	9	bps	Net interest margin – GAAP	0.89	%	0.75	%	0.67	%	14	bps	22	bps	0.82	%	0.67	%	15	bps
Net interest margin (FTE) – Non-GAAP (a)	Net interest margin (FTE) – Non-GAAP (a)	0.76	%	0.71	%	0.67	%	5	bps	9	bps	Net interest margin (FTE) – Non-GAAP (a)	0.89	%	0.76	%	0.67	%	13	bps	22	bps	0.83	%	0.67	%	16	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 increased 7%28% compared with the second quarter of 2021 and 18% compared with the first quarter of ~~2021 and 3% compared with the fourth quarter of 2021.~~2022. The increase compared with the ~~first~~second quarter of 2021 primarily reflects higher interest rates on interest-earning assets and a change in asset mix, ~~and lower~~partially offset by higher funding expense ~~partially offset by~~and lower interest-earning assets. The increase compared with the ~~fourth~~first quarter of ~~2021~~2022 primarily reflects higher interest rates on interest-earning assets, partially offset by higher funding ~~expense and lower interest-earning assets.~~expense.

Net interest margin increased 922 basis points compared with the second quarter of 2021 and 14 basis points compared with the first quarter of ~~2021 and 4 basis points~~2022. The changes compared with the ~~fourth~~second quarter of ~~2021. The changes~~2021 and the first quarter of 2022 primarily reflect the factors mentioned above.

Average interest-earning assets decreased 5% compared with the second quarter of 2021 and 1% compared with the first quarter of ~~2021 and~~2022. The decrease compared with the ~~fourth~~second quarter of 2021 primarily ~~reflect~~reflects lower interest-bearing deposits with the ~~factors mentioned above.~~

~~Average interest-earning assets decreased 6%~~Federal Reserve and other central banks, securities balances and interest-bearing deposits with banks. The decrease was partially offset by larger loan balances. The decrease compared with the first quarter of 2022 primarily reflects lower securities balances, partially offset by larger loan balances.

Average non-U.S. dollar deposits comprised approximately 25% of our average total deposits in the second quarter of 2022. Approximately 40% of the average non-U.S. dollar deposits in the second quarter of 2022 were euro-denominated.

Year-to-date 2022 compared with year-to-date 2021 ~~and 2%~~

Net interest revenue increased 17% compared with the ~~fourth quarter~~first six months of 2021, primarily driven by higher interest rates on interest-earning assets and a change in asset mix, partially offset by higher funding expense and lower interest-earning assets. The increase in the net interest margin primarily reflects the factors mentioned above.

Average interest-earning assets decreased 5% compared with the first six months of 2021. ~~Both decreases~~The decrease primarily ~~reflect~~reflects lower interest-bearing deposits with the Federal Reserve and other central banks, interest-bearing deposits with banks and securities balances. ~~These decreases were~~The decrease was partially offset by larger loan balances.

Average non-U.S. dollar deposits comprised approximately 25% of our average total deposits in the first quarter of 2022. Approximately 40% of the average non-U.S. dollar deposits in the first quarter of 2022 were euro-denominated.

10 BNY Mellon 9


Average balances and interest rates	Average balances and interest rates	Quarter ended															Average balances and interest rates		Quarter ended
		March 31, 2022						Dec. 31, 2021						March 31, 2021							June 30, 2022								March 31, 2022					June 30, 2021
(dollars in millions; average rates annualized)	(dollars in millions; average rates annualized)	Average balance		Interest		Average rates		Average balance		Interest		Average rates			Average balance		Interest			Average rates		(dollars in millions; average rates annualized)	Average balance		Interest		Average rates			Average balance		Interest		Average rates		Average balance		Interest		Average rates
Assets	Assets																					Assets
Interest-earning assets:	Interest-earning assets:																					Interest-earning assets:
Interest-bearing deposits with the Federal Reserve and other central banks	Interest-bearing deposits with the Federal Reserve and other central banks	$	100,303	$	2	0.01	%	$	105,065	$	(15)	(0.06)	%		$	125,930	$	(16)		(0.05)	%	Interest-bearing deposits with the Federal Reserve and other central banks	$	102,844	$	99	0.38	%		$	100,303	$	2	0.01	%	$	114,564	$	(25)	(0.09)	%
Interest-bearing deposits with banks (primarily foreign banks)	Interest-bearing deposits with banks (primarily foreign banks)	17,181		14		0.33		18,818		11		0.23			21,313		14			0.27		Interest-bearing deposits with banks (primarily foreign banks)	18,097		33		0.74			17,181		14		0.33		22,465		11		0.20
Federal funds sold and securities purchased under resale agreements (a)	Federal funds sold and securities purchased under resale agreements (a)	27,006		37		0.56		27,780		31		0.45			29,186		32			0.44		Federal funds sold and securities purchased under resale agreements (a)	24,212		116		1.91			27,006		37		0.56		27,857		25		0.36
Loans	Loans	66,810		260		1.57		64,650		253		1.55			56,789		230			1.63		Loans	69,036		370		2.15			66,810		260		1.57		60,520		237		1.57
Securities:	Securities:																					Securities:
U.S. government obligations	U.S. government obligations	40,868		74		0.74		39,169		72		0.73			28,759		63			0.90		U.S. government obligations	41,267		110		1.07			40,868		74		0.74		33,212		59		0.71
U.S. government agency obligations	U.S. government agency obligations	67,055		245		1.46		69,691		236		1.35			77,623		271			1.40		U.S. government agency obligations	64,939		258		1.59			67,055		245		1.46		72,809		244		1.34
State and political subdivisions (b)	State and political subdivisions (b)	2,337		13		2.16		2,569		15		2.11			2,526		12			1.92		State and political subdivisions (b)	2,065		11		2.13			2,337		13		2.16		2,768		14		1.94
Other securities (b)	Other securities (b)	45,541		115		1.02		47,493		116		0.97			47,030		116			0.99		Other securities (b)	43,635		142		1.31			45,541		115		1.02		47,451		112		0.95
Total investment securities (b)	Total investment securities (b)	155,801		447		1.15		158,922		439		1.10			155,938		462			1.19		Total investment securities (b)	151,906		521		1.37			155,801		447		1.15		156,240		429		1.10
Trading securities (b)	Trading securities (b)	6,085		21		1.43		6,447		14		0.93			8,141		19			0.95		Trading securities (b)	4,687		23		1.91			6,085		21		1.43		6,639		11		0.72
Total securities (b)	Total securities (b)	161,886		468		1.16		165,369		453		1.09			164,079		481			1.18		Total securities (b)	156,593		544		1.39			161,886		468		1.16		162,879		440		1.08
Total interest-earning assets (b)	Total interest-earning assets (b)	$	373,186	$	781	0.84	%	$	381,682	$	733	0.76	%		$	397,297	$	741		0.75	%	Total interest-earning assets (b)	$	370,782	$	1,162	1.25	%		$	373,186	$	781	0.84	%	$	388,285	$	688	0.71	%
Noninterest-earning assets	Noninterest-earning assets	67,016						67,956							63,082							Noninterest-earning assets	66,841							67,016						64,044
Total assets	Total assets	$	440,202					$	449,638						$	460,379						Total assets	$	437,623						$	440,202					$	452,329

Liabilities and equity	Liabilities and equity																					Liabilities and equity
Interest-bearing liabilities:	Interest-bearing liabilities:																					Interest-bearing liabilities:
Interest-bearing deposits	Interest-bearing deposits	$	223,243	$	(37)	(0.07)	%	$	231,086	$	(45)	(0.08)	%		$	245,115	$	(37)		(0.06)	%	Interest-bearing deposits	$	219,124	$	90	0.16	%		$	223,243	$	(37)	(0.07)	%	$	239,466	$	(49)	(0.08)	%
Federal funds purchased and securities sold under repurchase agreements (a)	Federal funds purchased and securities sold under repurchase agreements (a)	12,864		12		0.36		12,421		2		0.07			15,288		(3)			(0.07)		Federal funds purchased and securities sold under repurchase agreements (a)	12,610		77		2.47			12,864		12		0.36		13,773		(5)		(0.17)
Trading liabilities	Trading liabilities	3,372		4		0.53		3,019		2		0.28			2,227		3			0.53		Trading liabilities	3,231		10		1.25			3,372		4		0.53		2,282		2		0.38
Other borrowed funds	Other borrowed funds	458		3		2.36		517		2		1.80			331		2			2.01		Other borrowed funds	437		2		2.14			458		3		2.36		298		1		2.21
Commercial paper	Commercial paper	4		—		0.09		—		—		—			—		—			—		Commercial paper	5		—		1.61			4		—		0.09		—		—		—
Payables to customers and broker-dealers	Payables to customers and broker-dealers	16,661		—		0.01		16,414		—		(0.01)			17,691		(1)			(0.01)		Payables to customers and broker-dealers	16,592		9		0.21			16,661		—		0.01		16,811		—		(0.01)
Long-term debt	Long-term debt	25,588		98		1.53		25,932		91		1.36			26,199		119			1.81		Long-term debt	26,195		147		2.22			25,588		98		1.53		25,275		91		1.43
Total interest-bearing liabilities	Total interest-bearing liabilities	$	282,190	$	80	0.11	%	$	289,389	$	52	0.07	%		$	306,851	$	83		0.11	%	Total interest-bearing liabilities	$	278,194	$	335	0.48	%		$	282,190	$	80	0.11	%	$	297,905	$	40	0.05	%
Total noninterest-bearing deposits	Total noninterest-bearing deposits	90,179						91,535							83,429							Total noninterest-bearing deposits	91,893							90,179						85,802
Other noninterest-bearing liabilities	Other noninterest-bearing liabilities	25,419						25,481							24,556							Other noninterest-bearing liabilities	26,354							25,419						23,317
Total liabilities	Total liabilities	397,788						406,405							414,836							Total liabilities	396,441							397,788						407,024
Total The Bank of New York Mellon Corporation shareholders’ equity	Total The Bank of New York Mellon Corporation shareholders’ equity	42,201						42,968							45,261							Total The Bank of New York Mellon Corporation shareholders’ equity	41,037							42,201						44,934
Noncontrolling interests	Noncontrolling interests	213						265							282							Noncontrolling interests	145							213						371
Total liabilities and equity	Total liabilities and equity	$	440,202					$	449,638						$	460,379						Total liabilities and equity	$	437,623						$	440,202					$	452,329
Net interest revenue (FTE) – Non-GAAP (b)(c)	Net interest revenue (FTE) – Non-GAAP (b)(c)			$	701					$	681						$	658				Net interest revenue (FTE) – Non-GAAP (b)(c)			$	827						$	701					$	648
Net interest margin (FTE) – Non-GAAP (b)(c)	Net interest margin (FTE) – Non-GAAP (b)(c)					0.76	%					0.71	%							0.67	%	Net interest margin (FTE) – Non-GAAP (b)(c)					0.89	%						0.76	%					0.67	%
Less: Tax equivalent adjustment	Less: Tax equivalent adjustment			3						4							3					Less: Tax equivalent adjustment			3							3						3
Net interest revenue – GAAP	Net interest revenue – GAAP			$	698					$	677						$	655				Net interest revenue – GAAP			$	824						$	698					$	645
Net interest margin – GAAP	Net interest margin – GAAP					0.75	%					0.71	%							0.66	%	Net interest margin – GAAP					0.89	%						0.75	%					0.67	%

(a) Includes the average impact of offsetting under enforceable netting agreements of approximately $33 billion for the second quarter of 2022, $53 billion for the first quarter of 2022 ~~$54~~and $41 billion for the ~~fourth quarter of 2021 and $37 billion for the first~~second quarter of 2021. 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 0.80% for the second quarter of 2022, 0.19% for the first quarter of 2022 and 0.15% for the ~~fourth quarter of 2021 and 0.19% for the first~~second quarter of 2021. 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 0.68% for the second quarter of 2022, 0.07% for the first quarter of 2022 ~~0.01% for the fourth quarter of 2021~~ and ~~(0.02)~~(0.04)% for the ~~first~~second quarter of 2021. 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%.

BNY Mellon 11


Average balances and interest rates	Year-to-date
	June 30, 2022						June 30, 2021
(dollars in millions; average rates annualized)	Average balance		Interest		Average rates		Average balance		Interest		Average rates
Assets
Interest-earning assets:
Interest-bearing deposits with the Federal Reserve and other central banks	$	101,600	$	101	0.20	%	$	120,216	$	(41)	(0.07)	%
Interest-bearing deposits with banks (primarily foreign banks)	17,641		47		0.54		21,892		25		0.24
Federal funds sold and securities purchased under resale agreements (a)	25,602		153		1.20		28,518		57		0.40
Loans	67,929		630		1.87		58,665		467		1.60
Securities:
U.S. government obligations	41,069		184		0.90		30,998		122		0.80
U.S. government agency obligations	65,991		503		1.52		75,202		515		1.37
State and political subdivisions (b)	2,200		24		2.15		2,648		26		1.93
Other securities (b)	44,583		257		1.16		47,242		228		0.97
Total investment securities (b)	153,843		968		1.26		156,090		891		1.14
Trading securities (b)	5,382		44		1.64		7,385		30		0.85
Total securities (b)	159,225		1,012		1.27		163,475		921		1.13
Total interest-earning assets (b)	$	371,997	$	1,943	1.05	%	$	392,766	$	1,429	0.73	%
Noninterest-earning assets	66,927						63,566
Total assets	$	438,924					$	456,332

Liabilities and equity
Interest-bearing liabilities:
Interest-bearing deposits	$	221,172	$	53	0.05	%	$	242,275	$	(86)	(0.07)	%
Federal funds purchased and securities sold under repurchase agreements (a)	12,736		89		1.41		14,526		(8)		(0.12)
Trading liabilities	3,301		14		0.88		2,255		5		0.45
Other borrowed funds	448		5		2.25		314		3		2.11
Commercial paper	5		—		0.89		—		—		—
Payables to customers and broker-dealers	16,626		9		0.11		17,249		(1)		(0.01)
Long-term debt	25,893		245		1.88		25,734		210		1.63
Total interest-bearing liabilities	$	280,181	$	415	0.30	%	$	302,353	$	123	0.08	%
Total noninterest-bearing deposits	91,060						84,622
Other noninterest-bearing liabilities	25,888						23,933
Total liabilities	397,129						410,908
Total The Bank of New York Mellon Corporation shareholders’ equity	41,616						45,097
Noncontrolling interests	179						327
Total liabilities and equity	$	438,924					$	456,332
Net interest revenue (FTE) – Non-GAAP (b)(c)			$	1,528					$	1,306
Net interest margin (FTE) – Non-GAAP (b)(c)					0.83	%					0.67	%
Less: Tax equivalent adjustment			6						6
Net interest revenue – GAAP			$	1,522					$	1,300
Net interest margin – GAAP					0.82	%					0.67	%

(a) Includes the average impact of offsetting under enforceable netting agreements of approximately $43 billion for the first six months of 2022 and $39 billion for the first six months of 2021. 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 0.45% for the first six months of 2022 and 0.17% for the first six months of 2021. 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 0.32% for the first six months of 2022 and (0.03)% for the first six months of 2021. 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%.

12 BNY Mellon

Noninterest expense


Noninterest expense	Noninterest expense											Noninterest expense															YTD22
								1Q22 vs.											2Q22 vs.								vs.
(dollars in millions)	(dollars in millions)	1Q22		4Q21		1Q21		4Q21		1Q21		(dollars in millions)	2Q22		1Q22		2Q21		1Q22		2Q21		YTD22		YTD21		YTD21
Staff	Staff	$	1,702	$	1,633	$	1,602	4	%	6	%	Staff	$	1,623	$	1,702	$	1,518	(5)	%	7	%	$	3,325	$	3,120	7	%
Software and equipment	Software and equipment	399		379		362		5		10		Software and equipment	405		399		365		2		11		804		727		11
Professional, legal and other purchased services	Professional, legal and other purchased services	370		390		343		(5)		8		Professional, legal and other purchased services	379		370		363		2		4		749		706		6
Sub-custodian and clearing												Sub-custodian and clearing	131		118		132		11		(1)		249		256		(3)
Net occupancy	Net occupancy	122		133		123		(8)		(1)		Net occupancy	125		122		122		2		2		247		245		1
Sub-custodian and clearing		118		120		124		(2)		(5)
Distribution and servicing	Distribution and servicing	79		75		74		5		7		Distribution and servicing	90		79		73		14		23		169		147		15
Business development												Business development	43		30		22		43		95		73		41		78
Bank assessment charges	Bank assessment charges	35		30		34		17		3		Bank assessment charges	37		35		35		6		6		72		69		4
Business development		30		44		19		(32)		58
Amortization of intangible assets	Amortization of intangible assets	17		19		24		(11)		(29)		Amortization of intangible assets	17		17		20		—		(15)		34		44		(23)
Other	Other	134		144		146		(7)		(8)		Other	262		134		128		96		105		396		274		45
Total noninterest expense	Total noninterest expense	$	3,006	$	2,967	$	2,851	1	%	5	%	Total noninterest expense	$	3,112	$	3,006	$	2,778	4	%	12	%	$	6,118	$	5,629	9	%

Full-time employees at period end	Full-time employees at period end	49,600		49,100		48,000		1	%	3	%	Full-time employees at period end	50,800		49,600		48,800		2	%	4	%	50,800		48,800		4	%

Total noninterest expense increased ~~approximately 5.5%~~12% compared with the second quarter of 2021 and 4% compared with the first quarter of ~~2021 and 1%~~2022. The increases compared with the ~~fourth~~second quarter of ~~2021. The increase compared with~~2021 and the first quarter of ~~2021~~2022 primarily ~~reflects~~reflect higher investments in growth, infrastructure and efficiency initiatives and higher litigation reserves and revenue-related expenses, including the impact of inflation, partially offset by the favorable impact of a stronger U.S. dollar. The investments in growth, infrastructure and efficiency initiatives are primarily included in staff, software and equipment, and professional, legal and other purchased services expenses. The increase compared with the ~~fourth~~first quarter of ~~2021 primarily reflects higher staff and software and equipment expenses,~~2022 was also partially offset by lower ~~professional, legal and other purchased services, business development and net occupancy expenses. The increase in~~ staff expense ~~was~~ primarily driven by the annual vesting of stock-based awards to retirement eligible ~~employees.~~

employees recorded in the first quarter of 2022.

Year-to-date 2022 compared with year-to-date 2021

Noninterest expense increased 9% compared with the first six months of 2021, primarily reflecting higher investments in growth, infrastructure and efficiency initiatives and higher litigation reserves and revenue-related expenses, including the impact of inflation, partially offset by the favorable impact of a stronger U.S. dollar.

Income taxes

BNY Mellon recorded an income tax provision of $231 million (21.1% effective tax rate) in the second quarter of 2022, $241 million (19.0% effective tax rate) in the second quarter of 2021 and $153 million (16.7% effective tax rate) in the first quarter of ~~2022, $221 million (19.2% effective tax rate) in the first quarter of 2021 and $196 million (18.4% effective tax rate) in the fourth quarter of 2021.~~2022. For additional information, see Note 10 of the Notes to Consolidated Financial Statements.

BNY Mellon 1113

Review of business segments

We have an internal information system that produces performance data along product and service lines for our three principal business segments: Securities Services, Market and Wealth Services and Investment and Wealth Management, and the Other segment.

Business segment 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 line of business and how our business segments are presented and analyzed, see Note 24 of the Notes to Consolidated Financial Statements in our 2021 Annual Report.

Business segment 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 organizational changes in the ~~first~~second quarter of 2022.

The results of our business segments 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. Prior to 2022, in the third quarter, staff expense typically increased reflecting the annual employee merit increase. In 2022, this increase ~~is expected to be~~was reflected in the second quarter.

In the third quarter, volume-related fees may decline due to reduced client activity. In the fourth quarter, we typically incur higher business development and marketing expenses. In our Investment and Wealth Management business segment, 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 business segments 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 Securities Services and Market and Wealth Services business segments, we typically have more foreign currency-denominated expenses than revenues. However, our Investment and Wealth Management business segment 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 segment more than the Securities Services and Market and Wealth Services business segments. However, currency fluctuations, in isolation, are not expected to significantly impact net income on a consolidated basis.

Fee revenue in the Investment and Wealth Management business segment, and to a lesser extent the Securities Services and Market and Wealth Services business segments, is impacted by the global market fluctuations. At ~~March 31,~~June 30, 2022, 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 $0.04 to $0.07.

See Note 18 of the Notes to Consolidated Financial Statements for the consolidating schedules which show the contribution of our business segments to our overall profitability.

1214 BNY Mellon

Securities Services business segment


																																															YTD22
(dollars in millions, unless otherwise noted)	(dollars in millions, unless otherwise noted)																1Q22 vs.				(dollars in millions, unless otherwise noted)																2Q22 vs.										vs.
		1Q22			4Q21			3Q21			2Q21			1Q21			4Q21		1Q21			2Q22			1Q22			4Q21			3Q21			2Q21			1Q22		2Q21		YTD22			YTD21			YTD21
Revenue:	Revenue:																				Revenue:
Investment services fees:	Investment services fees:																				Investment services fees:
Asset Servicing	Asset Servicing	$	999		$	984		$	979		$	960		$	953		2	%	5	%	Asset Servicing	$	995		$	999		$	984		$	979		$	960		—	%	4	%	$	1,994		$	1,913		4	%
Issuer Services	Issuer Services	141			253			281			281			246			(44)		(43)		Issuer Services	309			141			253			281			281			119		10		450			527			(15)
Total investment services fees	Total investment services fees	1,140			1,237			1,260			1,241			1,199			(8)		(5)		Total investment services fees	1,304			1,140			1,237			1,260			1,241			14		5		2,444			2,440			—
Foreign exchange revenue	Foreign exchange revenue	148			148			125			129			172			—		(14)		Foreign exchange revenue	155			148			148			125			129			5		20		303			301			1
Other fees (a)	Other fees (a)	41			28			30			25			30			46		37		Other fees (a)	54			41			28			30			25			32		116		95			55			73
Total fee revenue	Total fee revenue	1,329			1,413			1,415			1,395			1,401			(6)		(5)		Total fee revenue	1,513			1,329			1,413			1,415			1,395			14		8		2,842			2,796			2
Investment and other revenue	Investment and other revenue	74			53			73			38			30			N/M				Investment and other revenue	36			74			53			73			38			N/M				110			68			N/M
Total fee and other revenue	Total fee and other revenue	1,403			1,466			1,488			1,433			1,431			(4)		(2)		Total fee and other revenue	1,549			1,403			1,466			1,488			1,433			10		8		2,952			2,864			3
Net interest revenue	Net interest revenue	377			367			349			354			356			3		6		Net interest revenue	457			377			367			349			354			21		29		834			710			17
Total revenue	Total revenue	1,780			1,833			1,837			1,787			1,787			(3)		—		Total revenue	2,006			1,780			1,833			1,837			1,787			13		12		3,786			3,574			6
Provision for credit losses	Provision for credit losses	(10)			(7)			(19)			(58)			(50)			N/M				Provision for credit losses	13			(10)			(7)			(19)			(58)			N/M				3			(108)			N/M
Noninterest expense (excluding amortization of intangible assets)	Noninterest expense (excluding amortization of intangible assets)	1,502			1,481			1,535			1,393			1,411			1		6		Noninterest expense (excluding amortization of intangible assets)	1,647			1,502			1,481			1,535			1,393			10		18		3,149			2,804			12
Amortization of intangible assets	Amortization of intangible assets	8			9			8			7			8			(11)		—		Amortization of intangible assets	9			8			9			8			7			13		29		17			15			13
Total noninterest expense	Total noninterest expense	1,510			1,490			1,543			1,400			1,419			1		6		Total noninterest expense	1,656			1,510			1,490			1,543			1,400			10		18		3,166			2,819			12
Income before income taxes	Income before income taxes	$	280		$	350		$	313		$	445		$	418		(20)	%	(33)	%	Income before income taxes	$	337		$	280		$	350		$	313		$	445		20	%	(24)	%	$	617		$	863		(29)	%

Pre-tax operating margin	Pre-tax operating margin	16		%	19		%	17		%	25		%	23		%					Pre-tax operating margin	17		%	16		%	19		%	17		%	25		%					16		%	24		%

Securities lending revenue (b)	Securities lending revenue (b)	$	39		$	45		$	45		$	42		$	41		(13)	%	(5)	%	Securities lending revenue (b)	$	45		$	39		$	45		$	45		$	42		15	%	7	%	$	84		$	83		1	%

Total revenue by line of business:	Total revenue by line of business:																				Total revenue by line of business:
Asset Servicing	Asset Servicing	$	1,512		$	1,456		$	1,437		$	1,382		$	1,424		4	%	6	%	Asset Servicing	$	1,534		$	1,512		$	1,456		$	1,437		$	1,382		1	%	11	%	$	3,046		$	2,806		9	%
Issuer Services	Issuer Services	268			377			400			405			363			(29)		(26)		Issuer Services	472			268			377			400			405			76		17		740			768			(4)
Total revenue by line of business	Total revenue by line of business	$	1,780		$	1,833		$	1,837		$	1,787		$	1,787		(3)	%	—	%	Total revenue by line of business	$	2,006		$	1,780		$	1,833		$	1,837		$	1,787		13	%	12	%	$	3,786		$	3,574		6	%

Selected average balances:	Selected average balances:																				Selected average balances:
Average loans	Average loans	$	10,150		$	9,764		$	8,389		$	8,485		$	8,374		4	%	21	%	Average loans	$	11,386		$	10,150		$	9,764		$	8,389		$	8,485		12	%	34	%	$	10,772		$	8,430		28	%
Average deposits	Average deposits	$	192,156		$	200,272		$	198,680		$	203,147		$	199,845		(4)	%	(4)	%	Average deposits	$	191,191		$	192,156		$	200,272		$	198,680		$	203,147		(1)	%	(6)	%	$	191,671		$	201,505		(5)	%

Selected metrics:	Selected metrics:																				Selected metrics:
AUC/A at period end (in trillions) (c)	AUC/A at period end (in trillions) (c)	$	33.7		$	34.6		$	33.8		$	33.7		$	31.5		(3)	%	7	%	AUC/A at period end (in trillions) (c)	$	31.0		$	33.7		$	34.6		$	33.8		$	33.7		(8)	%	(8)	%	$	31.0		$	33.7		(8)	%
Market value of securities on loan at period end (in billions) (d)	Market value of securities on loan at period end (in billions) (d)	$	449		$	447		$	443		$	456		$	445		—	%	1	%	Market value of securities on loan at period end (in billions) (d)	$	441		$	449		$	447		$	443		$	456		(2)	%	(3)	%	$	441		$	456		(3)	%

(a) Other fees primarily include financing-related fees.

(b) Included in investment services fees reported in the Asset Servicing line of business.

(c) Consists of AUC/A primarily from the Asset Servicing line of business and, to a lesser extent, the Issuer Services line of business. Includes the AUC/A of CIBC Mellon of $1.5 trillion at June 30, 2022 and $1.7 trillion at March 31, 2022, Dec. 31, 2021, Sept. 30, 2021 and June 30, ~~2021 and $1.6 trillion at March 31,~~ 2021.

(d) Represents the total amount of securities on loan in our agency securities lending program. Excludes securities for which BNY Mellon acts as agent on behalf of CIBC Mellon clients, which totaled $70 billion at June 30, 2022, $78 billion at March 31, 2022, $71 billion at Dec. 31, 2021, $68 billion at Sept. 30, 2021 and $63 billion at June 30, ~~2021 and $64 billion at March 31,~~ 2021.

N/M – Not meaningful.

Business segment description

The Securities Services business segment consists of two distinct lines of business, Asset Servicing and Issuer Services, which provide business solutions across the transaction lifecycle to our global asset owner and asset manager clients. We are one of the leading global investment services providers with ~~$33.7~~$31.0 trillion of AUC/A at ~~March 31,~~June 30, 2022. For

information on the drivers of the Securities Services

fee revenue, see Note 10 of the Notes to Consolidated Financial Statements in our 2021 Annual Report.

The Asset Servicing business provides a comprehensive suite of solutions. We are one of the largest global custody and front to back outsourcing partners. We offer services for the safekeeping of assets in capital markets globally as well as fund

BNY Mellon 15

accounting services, exchange-traded funds servicing, transfer agency, trust and depository, front-to-back capabilities as well as data and analytics solutions for

~~BNY Mellon 13~~

our clients. We deliver foreign exchange, and 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 ~~$4.8~~$4.3 trillion in 34 separate markets. Our market-leading liquidity services portal enables cash investments for institutional clients and includes fund research and analytics.

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.

Review of financial results

AUC/A of ~~$33.7~~$31.0 trillion ~~increased 7%~~decreased 8% compared with ~~March 31,~~June 30, 2021, primarily reflecting ~~net new business, higher~~lower market values and ~~client inflows, partially offset by~~ the unfavorable impact of a stronger U.S. ~~dollar.~~dollar, partially offset by net new business and client inflows.

Total revenue of ~~$1.8~~$2.0 billion ~~was flat~~increased 12% compared with the second quarter of 2021 and 13% compared with the first quarter of ~~2021 and decreased 3% compared with the fourth quarter of 2021.~~2022. The drivers of total revenue by line of business are indicated below.

Asset Servicing revenue of $1.5 billion increased 6%11% compared with the second quarter of 2021 and 1% compared with the first quarter of ~~2021 and 4%~~2022. The increase compared with the ~~fourth~~second quarter of ~~2021.~~2021 primarily reflects higher net interest revenue, lower money market fee waivers and higher foreign exchange revenue and client activity, partially offset by the unfavorable impact of a stronger U.S. dollar and lower market values. The increase

compared with the first quarter of 2022 was impacted by the same factors and was partially offset by a gain on a strategic equity investment recorded in the first quarter of 2022.

Issuer Services revenue of $472 million increased 17% compared with the second quarter of 2021 and 76% compared with the first quarter of 2022. The increase compared with the second quarter of 2021 primarily reflects higher net interest revenue in Corporate Trust, higher Depositary Receipts revenue and lower money market fee waivers, partially offset by the impact of lost business in the prior year in Corporate Trust. The increase compared with the first quarter of ~~2021~~

2022 primarily reflects a gain on a strategic equity investment and higher market values and net interest revenue, partially offset by lower foreign exchange revenue. The increase compared with the fourth quarter of 2021 primarily reflects lower money market fee waivers, higher strategic equity investment gains, increased activity from existing clients and higher net interest revenue.

~~Issuer Services revenue of $268 million decreased 26% compared with the first quarter of 2021 and 29% compared with the fourth quarter of 2021, primarily reflecting~~ the accelerated amortization of deferred costs for depositary receipts services related to ~~Russia. The decrease compared with~~Russia recorded in the first quarter of ~~2021 also reflects lower depositary receipts fees and the impact of lost business in the prior year~~2022, higher Depositary Receipts revenue, higher net interest revenue in Corporate Trust ~~partially offset by higher net interest revenue. The decrease compared with the fourth quarter of 2021 also reflects lower depositary receipts fees, partially offset by~~and lower money market fee waivers.

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 ~~$1.5~~$1.7 billion increased 6%18% compared with the second quarter of 2021 and 10% compared with the first quarter of ~~2021 and 1%~~2022. The increase compared with the ~~fourth~~second quarter of 2021 primarily ~~reflecting~~reflects higher investments in growth, infrastructure and efficiency ~~initiatives. The increase compared with~~initiatives, litigation reserves and revenue-related expenses, including the ~~first quarter~~impact of ~~2021 also reflects higher revenue-related expenses,~~inflation, partially offset by the favorable impact of a stronger U.S. dollar. The increase compared with the ~~fourth~~first quarter of 2022 primarily reflects higher litigation reserves.

Year-to-date 2022 compared with year-to-date 2021 ~~was~~

Total revenue of $3.8 billion increased 6% compared with the first six months of 2021. Asset Servicing revenue of $3.0 billion increased 9%, primarily reflecting higher net interest revenue, lower money market fee waivers and higher client activity, partially offset by the unfavorable impact of a stronger U.S. dollar. Issuer Services revenue of $740 million

16 BNY Mellon

decreased 4%, primarily reflecting accelerated amortization of deferred costs for depositary receipts services related to Russia recorded in the first quarter of 2022 and the impact of lost business in the prior year in Corporate Trust, partially offset by higher net interest revenue and lower money market fee waivers in Corporate Trust.

Noninterest expense of $3.2 billion increased 12% compared with the first six months of 2021, primarily reflecting investments in growth, infrastructure and efficiency initiatives, higher litigation reserves and revenue-related ~~expenses.~~expenses, including the impact of inflation, partially offset by the favorable impact of a stronger U.S. dollar.

14 BNY Mellon 17

Market and Wealth Services business segment


																																															YTD22
(dollars in millions, unless otherwise noted)	(dollars in millions, unless otherwise noted)																1Q22 vs.				(dollars in millions, unless otherwise noted)																2Q22 vs.										vs.
		1Q22			4Q21			3Q21			2Q21			1Q21			4Q21		1Q21			2Q22			1Q22			4Q21			3Q21			2Q21			1Q22		2Q21		YTD22			YTD21			YTD21
Revenue:	Revenue:																				Revenue:
Investment services fees:	Investment services fees:																				Investment services fees:
Pershing	Pershing	$	433		$	412		$	427		$	439		$	459		5	%	(6)	%	Pershing	$	479		$	433		$	412		$	427		$	439		11	%	9	%	$	912		$	898		2	%
Treasury Services	Treasury Services	170			170			168			160			164			—		4		Treasury Services	176			170			170			168			160			4		10		346			324			7
Clearance and Collateral Management	Clearance and Collateral Management	243			236			228			228			226			3		8		Clearance and Collateral Management	240			243			236			228			228			(1)		5		483			454			6
Total investment services fees	Total investment services fees	846			818			823			827			849			3		—		Total investment services fees	895			846			818			823			827			6		8		1,741			1,676			4
Foreign exchange revenue	Foreign exchange revenue	26			21			23			23			21			24		24		Foreign exchange revenue	22			26			21			23			23			(15)		(4)		48			44			9
Other fees (a)	Other fees (a)	34			31			31			32			37			10		(8)		Other fees (a)	46			34			31			31			32			35		44		80			69			16
Total fee revenue	Total fee revenue	906			870			877			882			907			4		—		Total fee revenue	963			906			870			877			882			6		9		1,869			1,789			4
Investment and other revenue	Investment and other revenue	—			6			13			21			7			N/M				Investment and other revenue	11			—			6			13			21			N/M				11			28			N/M
Total fee and other revenue	Total fee and other revenue	906			876			890			903			914			3		(1)		Total fee and other revenue	974			906			876			890			903			8		8		1,880			1,817			3
Net interest revenue	Net interest revenue	296			297			283			289			289			—		2		Net interest revenue	340			296			297			283			289			15		18		636			578			10
Total revenue	Total revenue	1,202			1,173			1,173			1,192			1,203			2		—		Total revenue	1,314			1,202			1,173			1,173			1,192			9		10		2,516			2,395			5
Provision for credit losses	Provision for credit losses	(2)			(3)			(16)			(19)			(29)			N/M				Provision for credit losses	4			(2)			(3)			(16)			(19)			N/M				2			(48)			N/M
Noninterest expense (excluding amortization of intangible assets)	Noninterest expense (excluding amortization of intangible assets)	706			670			665			647			673			5		5		Noninterest expense (excluding amortization of intangible assets)	700			706			670			665			647			(1)		8		1,406			1,320			7
Amortization of intangible assets	Amortization of intangible assets	2			4			3			5			9			(50)		(78)		Amortization of intangible assets	2			2			4			3			5			—		(60)		4			14			(71)
Total noninterest expense	Total noninterest expense	708			674			668			652			682			5		4		Total noninterest expense	702			708			674			668			652			(1)		8		1,410			1,334			6
Income before income taxes	Income before income taxes	$	496		$	502		$	521		$	559		$	550		(1)	%	(10)	%	Income before income taxes	$	608		$	496		$	502		$	521		$	559		23	%	9	%	$	1,104		$	1,109		—	%

Pre-tax operating margin	Pre-tax operating margin	41		%	43		%	44		%	47		%	46		%					Pre-tax operating margin	46		%	41		%	43		%	44		%	47		%					44		%	46		%

Total revenue by line of business:	Total revenue by line of business:																				Total revenue by line of business:
Pershing	Pershing	$	570		$	553		$	566		$	590		$	605		3	%	(6)	%	Pershing	$	636		$	570		$	553		$	566		$	590		12	%	8	%	$	1,206		$	1,195		1	%
Treasury Services	Treasury Services	338			331			326			319			317			2		7		Treasury Services	373			338			331			326			319			10		17		711			636			12
Clearance and Collateral Management	Clearance and Collateral Management	294			289			281			283			281			2		5		Clearance and Collateral Management	305			294			289			281			283			4		8		599			564			6
Total revenue by line of business	Total revenue by line of business	$	1,202		$	1,173		$	1,173		$	1,192		$	1,203		2	%	—	%	Total revenue by line of business	$	1,314		$	1,202		$	1,173		$	1,173		$	1,192		9	%	10	%	$	2,516		$	2,395		5	%

Selected average balances:	Selected average balances:																				Selected average balances:
Average loans	Average loans	$	42,113		$	40,812		$	39,041		$	38,360		$	35,094		3	%	20	%	Average loans	$	42,391		$	42,113		$	40,812		$	39,041		$	38,360		1	%	11	%	$	42,253		$	36,736		15	%
Average deposits	Average deposits	$	95,704		$	100,653		$	101,253		$	102,896		$	107,079		(5)	%	(11)	%	Average deposits	$	94,716		$	95,704		$	100,653		$	101,253		$	102,896		(1)	%	(8)	%	$	95,207		$	104,976		(9)	%

Selected metrics:	Selected metrics:																				Selected metrics:
AUC/A at period end (in trillions) (b)	AUC/A at period end (in trillions) (b)	$	11.6		$	11.8		$	11.2		$	11.1		$	9.9		(2)	%	17	%	AUC/A at period end (in trillions) (b)	$	11.8		$	11.6		$	11.8		$	11.2		$	11.1		2	%	6	%

Pershing:	Pershing:																				Pershing:
AUC/A at period end (in trillions)	AUC/A at period end (in trillions)	$	2.5		$	2.6		$	2.6		$	2.8		$	2.6		(4)	%	(4)	%	AUC/A at period end (in trillions)	$	2.2		$	2.5		$	2.6		$	2.6		$	2.8		(12)	%	(21)	%
Net new assets (U.S. platform) (in billions) (c)	Net new assets (U.S. platform) (in billions) (c)	$	18		$	69		$	13		$	47		$	32		N/M				Net new assets (U.S. platform) (in billions) (c)	$	16		$	18		$	69		$	13		$	47		N/M
Average active clearing accounts (in thousands)	Average active clearing accounts (in thousands)	7,432			7,334			7,259			7,290			7,143			1	%	4	%	Average active clearing accounts (in thousands)	7,432			7,432			7,334			7,259			7,290			—	%	2	%

Treasury Services:	Treasury Services:																				Treasury Services:
Average daily U.S. dollar payment volumes	Average daily U.S. dollar payment volumes	240,403			245,634			232,144			230,346			235,975			(2)	%	2	%	Average daily U.S. dollar payment volumes	237,763			240,403			245,634			232,144			230,346			(1)	%	3	%

Clearance and Collateral Management:	Clearance and Collateral Management:																				Clearance and Collateral Management:
Average tri-party collateral management balances (in billions)	Average tri-party collateral management balances (in billions)	$	5,026		$	4,972		$	4,516		$	3,898		$	3,638		1	%	38	%	Average tri-party collateral management balances (in billions)	$	5,207		$	5,026		$	4,972		$	4,516		$	3,898		4	%	34	%

(a) Other fees primarily include financing-related fees.

(b) Consists of AUC/A from the Clearance and Collateral Management and Pershing lines of business.

(c) Net new assets represent net flows of assets (e.g., net cash deposits and net securities transfers, including dividends and interest) in customer accounts in Pershing LLC, a U.S. broker-dealer.

N/M – Not meaningful.

18 BNY Mellon

Business segment description

The Market and Wealth Services business segment consists of three distinct lines of business, Pershing, Treasury Services and Clearance and Collateral Management, which provide business services and

technology solutions to entities including financial institutions, corporations, foundations and endowments, public funds and government agencies. For information on the drivers of the Market and Wealth Services fee revenue, see Note 10 of the

~~BNY Mellon 15~~

Notes to Consolidated Financial Statements in our 2021 Annual Report.

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

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

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 financing, risk and balance sheet challenges. We are a leading provider of tri-party collateral management services with an average of ~~$5.0~~$5.2 trillion serviced globally, including approximately ~~$3.9~~$4.1 trillion of the U.S. tri-party repo market at ~~March 31,~~June 30, 2022.

Review of financial results

AUC/A of ~~$11.6~~$11.8 trillion increased ~~17%~~6% compared with ~~March 31,~~June 30, 2021, primarily reflecting client ~~activity.~~inflows, partially offset by lower market values and the unfavorable impact of a stronger U.S. dollar.

Total revenue of ~~$1.2~~$1.3 billion ~~was flat~~increased 10% compared with the second quarter of 2021 and 9% compared with the first quarter of ~~2021 and increased 2% compared with the fourth quarter of 2021.~~2022. The drivers

of total revenue by line of business are indicated below.

Pershing revenue of ~~$570~~$636 million ~~decreased 6%~~increased 8% compared with the second quarter of 2021 and 12% compared with the first quarter of 2021 and increased 3% compared with the fourth quarter of 2021. The decrease compared with the first quarter of 2021 primarily reflects the impact of prior year lost business and elevated first quarter 2021 transaction activity, partially offset by higher market values and growth from existing clients.2022. The increase compared with the ~~fourth quarter of 2021 primarily reflects higher transaction activity from existing clients.~~

Treasury Services revenue of $338 million increased 7% compared with the first quarter of 2021 and 2% compared with the fourth quarter of 2021. The increase compared with the first quarter of 2021 primarily reflects higher net interest revenue and client activity from both new and existing clients. The increase compared with the fourthsecond quarter of 2021 primarily reflects lower money market fee waivers and higher ~~net interest revenue,~~transaction activity, partially offset by the impact of prior year lost business. The increase compared with the first quarter of 2022 primarily reflects lower money market fee waivers, partially offset by lower equity markets and lower transaction activity.

Treasury Services revenue of $373 million increased 17% compared with the second quarter of 2021 and 10% compared with the first quarter of 2022. The increase compared with the second quarter of 2021 primarily reflects higher net interest revenue, lower money market fee waivers and higher payment volumes. The increase compared with the first quarter of 2022 primarily reflects higher net interest revenue and lower money market fee waivers.

Clearance and Collateral Management revenue of ~~$294~~$305 million increased 5%8% compared with the second quarter of 2021 and 4% compared with the first quarter of ~~2021 and 2%~~2022. The increase compared with the ~~fourth~~second quarter of ~~2021.~~2021 primarily reflects higher net interest revenue and clearance volumes. The increase compared with the first quarter of ~~2021~~2022 primarily reflects higher ~~balances~~net interest revenue.

Noninterest expense of $702 million increased 8% compared with the second quarter of 2021 and ~~clearance volumes.~~decreased 1% compared with the first quarter of 2022. The increase compared with the ~~fourth~~second quarter of 2021 primarily reflects higher investments in growth, infrastructure and efficiency initiatives, including the impact of inflation. The decrease compared with the first quarter of 2022 primarily reflects lower staff expense.

Year-to-date 2022 compared with year-to-date 2021

Total revenue of $2.5 billion increased 5% compared with the first six months of 2021. Pershing revenue of $1.2 billion increased 1%, primarily reflecting lower money market fee waivers and growth from existing clients, partially offset by the impact of prior year lost business. Treasury Services revenue of $711 million increased 12%, primarily reflecting higher net interest revenue, lower money market fee

BNY Mellon 19

waivers and higher payment volumes. Clearance and Collateral Management revenue of $599 million increased 6%, primarily reflecting higher net interest revenue and clearance volumes.

Noninterest expense of ~~$708 million~~$1.4 billion increased 4%6% compared with the first ~~quarter~~six months of 2021 ~~and 5% compared with the fourth quarter of 2021. Both increases~~ primarily ~~reflect~~

reflecting higher investments in growth, infrastructure and efficiency ~~initiatives. The increase compared with~~initiatives, including the ~~fourth quarter~~impact of ~~2021 also reflects higher staff expense.~~inflation, partially offset by the favorable impact of a stronger U.S. dollar.

~~16 BNY Mellon~~

Investment and Wealth Management business segment


																																															YTD22
																	1Q22 vs.																				2Q22 vs.										vs.
(dollars in millions)	(dollars in millions)	1Q22			4Q21			3Q21			2Q21			1Q21			4Q21		1Q21		(dollars in millions)	2Q22			1Q22			4Q21			3Q21			2Q21			1Q22		2Q21		YTD22			YTD21			YTD21
Revenue:	Revenue:																				Revenue:
Investment management fees	Investment management fees	$	848		$	864		$	893		$	876		$	850		(2)	%	—	%	Investment management fees	$	825		$	848		$	864		$	893		$	876		(3)	%	(6)	%	$	1,673		$	1,726		(3)	%
Performance fees	Performance fees	34			32			21			14			40			N/M		(15)		Performance fees	5			34			32			21			14			N/M		(64)		39			54			(28)
Investment management and performance fees (a)	Investment management and performance fees (a)	882			896			914			890			890			(2)		(1)		Investment management and performance fees (a)	830			882			896			914			890			(6)		(7)		1,712			1,780			(4)
Distribution and servicing fees	Distribution and servicing fees	32			28			28			28			28			14		14		Distribution and servicing fees	51			32			28			28			28			59		82		83			56			48
Other fees (b)	Other fees (b)	1			22			20			16			22			N/M				Other fees (b)	(31)			1			22			20			16			N/M				(30)			38			N/M
Total fee revenue	Total fee revenue	915			946			962			934			940			(3)		(3)		Total fee revenue	850			915			946			962			934			(7)		(9)		1,765			1,874			(6)
Investment and other revenue (c)	Investment and other revenue (c)	(8)			23			23			18			3			N/M				Investment and other revenue (c)	(13)			(8)			23			23			18			N/M				(21)			21			N/M
Total fee and other revenue (c)	Total fee and other revenue (c)	907			969			985			952			943			(6)		(4)		Total fee and other revenue (c)	837			907			969			985			952			(8)		(12)		1,744			1,895			(8)
Net interest revenue	Net interest revenue	57			51			47			47			48			12		19		Net interest revenue	62			57			51			47			47			9		32		119			95			25
Total revenue	Total revenue	964			1,020			1,032			999			991			(5)		(3)		Total revenue	899			964			1,020			1,032			999			(7)		(10)		1,863			1,990			(6)
Provision for credit losses	Provision for credit losses	(3)			(6)			(7)			(4)			4			N/M				Provision for credit losses	—			(3)			(6)			(7)			(4)			N/M				(3)			—			N/M
Noninterest expense (excluding amortization of intangible assets)	Noninterest expense (excluding amortization of intangible assets)	748			741			684			669			702			1		7		Noninterest expense (excluding amortization of intangible assets)	685			748			741			684			669			(8)		2		1,433			1,371			5
Amortization of intangible assets	Amortization of intangible assets	7			7			7			8			7			—		—		Amortization of intangible assets	6			7			7			7			8			(14)		(25)		13			15			(13)
Total noninterest expense	Total noninterest expense	755			748			691			677			709			1		6		Total noninterest expense	691			755			748			691			677			(8)		2		1,446			1,386			4
Income before income taxes	Income before income taxes	$	212		$	278		$	348		$	326		$	278		(24)	%	(24)	%	Income before income taxes	$	208		$	212		$	278		$	348		$	326		(2)	%	(36)	%	$	420		$	604		(30)	%

Pre-tax operating margin	Pre-tax operating margin	22		%	27		%	34		%	33		%	28		%					Pre-tax operating margin	23		%	22		%	27		%	34		%	33		%					23		%	30		%
Adjusted pre-tax operating margin – Non-GAAP (d)	Adjusted pre-tax operating margin – Non-GAAP (d)	24		%	29		%	36		%	35		%	30		%					Adjusted pre-tax operating margin – Non-GAAP (d)	26		%	24		%	29		%	36		%	35		%					25		%	33		%

Total revenue by line of business:	Total revenue by line of business:																				Total revenue by line of business:
Investment Management	Investment Management	$	658		$	709		$	727		$	700		$	698		(7)	%	(6)	%	Investment Management	$	603		$	658		$	709		$	727		$	700		(8)	%	(14)	%	$	1,261		$	1,398		(10)	%
Wealth Management	Wealth Management	306			311			305			299			293			(2)		4		Wealth Management	296			306			311			305			299			(3)		(1)		602			592			2
Total revenue by line of business	Total revenue by line of business	$	964		$	1,020		$	1,032		$	999		$	991		(5)	%	(3)	%	Total revenue by line of business	$	899		$	964		$	1,020		$	1,032		$	999		(7)	%	(10)	%	$	1,863		$	1,990		(6)	%

Average balances:	Average balances:																				Average balances:
Average loans	Average loans	$	13,228		$	12,737		$	12,248		$	11,871		$	11,610		4	%	14	%	Average loans	$	14,087		$	13,228		$	12,737		$	12,248		$	11,871		6	%	19	%	$	13,660		$	11,742		16	%
Average deposits	Average deposits	$	22,501		$	18,374		$	17,270		$	17,466		$	19,177		22	%	17	%	Average deposits	$	20,802		$	22,501		$	18,374		$	17,270		$	17,466		(8)	%	19	%	$	21,647		$	18,317		18	%

(a) On a constant currency basis, investment management and performance fees ~~increased 1%~~decreased 3% (Non-GAAP) compared with the ~~first~~second quarter of 2021. See “Supplemental information – Explanation of GAAP and Non-GAAP financial measures” beginning on page 4145 for the reconciliation of this Non-GAAP measure.

(b) Other fees primarily include investment services fees.

(c) Investment and other revenue and total fee and other revenue are net of income (loss) attributable to noncontrolling interests related to consolidated investment management funds.

(d) Net of distribution and servicing expense. See “Supplemental information – Explanation of GAAP and Non-GAAP financial measures” beginning on page 4145 for the reconciliation of this Non-GAAP measure.

N/M – Not meaningful.

20 BNY Mellon 17


AUM trends	AUM trends											1Q22 vs.				AUM trends											2Q22 vs.
(dollars in billions)	(dollars in billions)	1Q22		4Q21		3Q21		2Q21		1Q21		4Q21		1Q21		(dollars in billions)	2Q22		1Q22		4Q21		3Q21		2Q21		1Q22		2Q21
AUM by product type: (a)	AUM by product type: (a)															AUM by product type: (a)
Equity	Equity	$	168	$	187	$	180	$	187	$	173	(10)	%	(3)	%	Equity	$	139	$	168	$	187	$	180	$	187	(17)	%	(26)	%
Fixed income	Fixed income	248		267		269		272		261		(7)		(5)		Fixed income	226		248		267		269		272		(9)		(17)
Index	Index	440		467		436		440		419		(6)		5		Index	387		440		467		436		440		(12)		(12)
Liability-driven investments	Liability-driven investments	812		890		843		841		802		(9)		1		Liability-driven investments	641		812		890		843		841		(21)		(24)
Multi-asset and alternative investments	Multi-asset and alternative investments	215		228		218		222		214		(6)		—		Multi-asset and alternative investments	188		215		228		218		222		(13)		(15)
Cash	Cash	383		395		364		358		345		(3)		11		Cash	356		383		395		364		358		(7)		(1)
Total AUM	Total AUM	$	2,266	$	2,434	$	2,310	$	2,320	$	2,214	(7)	%	2	%	Total AUM	$	1,937��	$	2,266	$	2,434	$	2,310	$	2,320	(15)	%	(17)	%

Changes in AUM: (a)	Changes in AUM: (a)															Changes in AUM: (a)
Beginning balance of AUM	Beginning balance of AUM	$	2,434	$	2,310	$	2,320	$	2,214	$	2,211					Beginning balance of AUM	$	2,266	$	2,434	$	2,310	$	2,320	$	2,214
Net inflows (outflows):	Net inflows (outflows):															Net inflows (outflows):
Long-term strategies:	Long-term strategies:															Long-term strategies:
Equity	Equity	(4)		(4)		(5)		(3)		—						Equity	(4)		(4)		(4)		(5)		(3)
Fixed income	Fixed income	(5)		—		1		8		8						Fixed income	(1)		(5)		—		1		8
Liability-driven investments	Liability-driven investments	17		1		16		11		8						Liability-driven investments	12		17		1		16		11
Multi-asset and alternative investments	Multi-asset and alternative investments	(4)		1		(2)		1		(2)						Multi-asset and alternative investments	(5)		(4)		1		(2)		1
Total long-term active strategies inflows (outflows)	Total long-term active strategies inflows (outflows)	4		(2)		10		17		14						Total long-term active strategies inflows (outflows)	2		4		(2)		10		17
Index	Index	(5)		(2)		(3)		(5)		3						Index	12		(5)		(2)		(3)		(5)
Total long-term strategies (outflows) inflows		(1)		(4)		7		12		17
Total long-term strategies inflows (outflows)																Total long-term strategies inflows (outflows)	14		(1)		(4)		7		12
Short-term strategies:	Short-term strategies:															Short-term strategies:
Cash	Cash	(11)		31		7		13		19						Cash	(26)		(11)		31		7		13
Total net (outflows) inflows	Total net (outflows) inflows	(12)		27		14		25		36						Total net (outflows) inflows	(12)		(12)		27		14		25
Net market impact	Net market impact	(130)		96		4		79		(36)						Net market impact	(241)		(130)		96		4		79
Net currency impact	Net currency impact	(26)		1		(28)		2		3						Net currency impact	(76)		(26)		1		(28)		2

Ending balance of AUM	Ending balance of AUM	$	2,266	$	2,434	$	2,310	$	2,320	$	2,214	(7)	%	2	%	Ending balance of AUM	$	1,937	$	2,266	$	2,434	$	2,310	$	2,320	(15)	%	(17)	%

Wealth Management client assets (b)	Wealth Management client assets (b)	$	305	$	321	$	307	$	305	$	292	(5)	%	4	%	Wealth Management client assets (b)	$	264	$	305	$	321	$	307	$	305	(13)	%	(13)	%

(a) Excludes assets managed outside of the Investment and Wealth Management business segment.

(b) Includes AUM and AUC/A in the Wealth Management line of business.

Business segment description

Our Investment and Wealth Management business segment 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 20 and 21 of our 2021 Annual Report for additional information on our Investment and Wealth Management business segment.

In May 2022, we entered into a definitive agreement to sell BNY Alcentra Group Holdings, Inc. (together with its subsidiaries, “Alcentra”). At April 30, 2022, Alcentra had $38 billion in AUM concentrated in senior secured loans, high yield bonds, private credit, structured credit, special situations and multi-strategy

credit strategies. The transaction is expected to be completed early in the first calendar quarter of 2023, subject to customary closing conditions, including certain regulatory approvals.

Review of financial results

AUM ~~increased 2%~~decreased 17% compared with ~~March 31,~~June 30, 2021, primarily reflecting ~~net inflows and higher~~lower market values ~~partially offset by~~and the unfavorable impact of a stronger U.S. ~~dollar.~~

dollar, partially offset by net inflows.

Net long-term strategy ~~outflows~~inflows were $1$14 billion in the ~~first~~second quarter of 2022, driven by inflows of index and liability-driven investments, partially offset by outflows of ~~fixed income, index, equity and~~ multi-asset and alternative investments ~~partially offset by inflows of liability-driven investments.~~and equity funds. Short-term strategy outflows were ~~$11~~$26 billion in the ~~first~~second quarter of 2022. Market and regulatory trends have resulted in increased demand for lower fee asset management products and for performance-based fees.

BNY Mellon 21

Total revenue of ~~$1.0 billion~~$899 million decreased 3%10% compared with the ~~first quarter of 2021 and 5% compared with the fourth quarter of 2021.~~

~~Investment Management revenue of $658 million decreased 6% compared with the first~~second quarter of 2021 and 7% compared with the ~~fourth~~first quarter of ~~2021.~~2022. Investment Management revenue of $603 million decreased 14% compared with the second quarter of 2021 and 8% compared with the first quarter of 2022. The decrease compared with the second quarter of 2021 primarily reflects the unfavorable impact of a stronger U.S. dollar, lower seed capital results and market values, an unfavorable change in the mix of AUM and lower equity income, partially offset by lower money market fee waivers. The decrease compared with the first quarter of ~~2021~~2022 primarily reflects lower ~~seed capital results,~~market values, timing of performance fees and the unfavorable impact of a stronger U.S. dollar, ~~and lower equity income, partially offset by higher market values. The decrease compared with the fourth quarter of 2021 primarily reflects a strategic equity~~

~~18 BNY Mellon~~

~~gain recorded in the fourth quarter of 2021, seed capital losses and lower market values,~~ partially offset by lower money market fee waivers.

Wealth Management revenue of ~~$306~~$296 million ~~increased 4%~~decreased 1% compared with the second quarter of 2021 and 3% compared with the first quarter of 2021 and decreased 2% compared with the fourth quarter of 2021. The increase compared with the first quarter of 2021 reflects higher net interest revenue and market values. The decrease compared with the fourth quarter of 20212022. Both decreases primarily ~~reflects~~reflect lower market values, partially offset by higher net interest revenue.

Revenue generated in the Investment and Wealth Management business segment included ~~39%~~35% from

non-U.S. sources in the ~~first~~second quarter of 2022, compared with 38% in the ~~first~~second quarter of 2021 and ~~fourth~~39% in the first quarter of ~~2021.~~2022.

Noninterest expense of ~~$755~~$691 million increased 6%2% compared with the second quarter of 2021 and decreased 8% compared with the first quarter of ~~2021 and 1% compared with the fourth quarter of 2021.~~2022. The increase compared with the ~~first~~second quarter of 2021 primarily reflects higher investments in growth initiatives and ~~revenue-related~~distribution and servicing expenses, partially offset by favorable impact of a stronger U.S. dollar. The decrease compared with the first quarter of 2022 primarily reflects lower staff expense.

Year-to-date 2022 compared with year-to-date 2021

Total revenue of $1.9 billion decreased 6% compared with the first six months of 2021. Investment Management revenue of $1.3 billion decreased 10%, primarily reflecting the unfavorable impact of a stronger U.S. dollar, lower seed capital results and equity income, partially offset by lower money market fee waivers. Wealth Management revenue of $602 million increased 2%, primarily reflecting higher net interest revenue, partially offset by lower market values.

Noninterest expense of $1.4 billion increased 4% compared with the first six months of 2021, primarily reflecting higher investments in growth initiatives and distribution and servicing expenses, partially offset by the favorable impact of a stronger U.S. dollar. ~~The increase compared with the fourth quarter of 2021 primarily reflects higher staff expense.~~

Other segment


(in millions)	(in millions)	1Q22		4Q21		3Q21		2Q21		1Q21		(in millions)	2Q22		1Q22		4Q21		3Q21		2Q21		YTD22		YTD21
Fee revenue	Fee revenue	$	8	$	2	$	12	$	13	$	9	Fee revenue	$	13	$	8	$	2	$	12	$	13	$	21	$	22
Investment and other revenue	Investment and other revenue	12		19		23		9		(36)		Investment and other revenue	62		12		19		23		9		74		(27)
Total fee and other revenue	Total fee and other revenue	20		21		35		22		(27)		Total fee and other revenue	75		20		21		35		22		95		(5)
Net interest expense	Net interest expense	(32)		(38)		(38)		(45)		(38)		Net interest expense	(35)		(32)		(38)		(38)		(45)		(67)		(83)
Total revenue	Total revenue	(12)		(17)		(3)		(23)		(65)		Total revenue	40		(12)		(17)		(3)		(23)		28		(88)
Provision for credit losses	Provision for credit losses	17		(1)		(3)		(5)		(8)		Provision for credit losses	30		17		(1)		(3)		(5)		47		(13)
Noninterest expense	Noninterest expense	33		55		16		49		41		Noninterest expense	63		33		55		16		49		96		90
(Loss) before income taxes	(Loss) before income taxes	$	(62)	$	(71)	$	(16)	$	(67)	$	(98)	(Loss) before income taxes	$	(53)	$	(62)	$	(71)	$	(16)	$	(67)	$	(115)	$	(165)

Average loans and leases	Average loans and leases	$	1,319	$	1,337	$	1,528	$	1,804	$	1,711	Average loans and leases	$	1,172	$	1,319	$	1,337	$	1,528	$	1,804	$	1,244	$	1,757

See page 22 of our 2021 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

has an offsetting impact between fee and other revenue and net interest expense.

Total revenue increased ~~$53~~$63 million compared with the second quarter of 2021 and $52 million compared with the first quarter of ~~2021~~2022. Both increases primarily reflect a strategic equity investment gain.

22 BNY Mellon

The provision for credit losses was $30 million in the second quarter of 2022 and $5was primarily related to changes in the macroeconomic forecast and an increase in cash balances with exposure to Russia.

Noninterest expense increased $14 million compared with the ~~fourth~~second quarter of ~~2021. The increase~~2021 and $30 million compared with the first quarter of ~~2021~~2022. Both increases primarily ~~reflects~~reflect higher staff expense.

Year-to-date 2022 compared with year-to-date 2021

Loss before income taxes decreased $50 million compared with the first six months of 2021. Total fee and other revenue increased $100 million, primarily reflecting higher strategic equity investment gains and a $39 million impairment for a renewable energy investment recorded in the first quarter of 2021.

The provision for credit losses was ~~$17~~$47 million in the first ~~quarter~~six months of 2022 and was primarily related to ~~interest-bearing deposits~~changes in the macroeconomic forecast and an increase in cash balances with ~~banks in~~exposure to Russia.

Noninterest expense ~~decreased $8~~increased $6 million compared with the first ~~quarter~~six months of 2021, ~~and $22 million compared with the fourth quarter of 2021. Both decreases~~ primarily ~~reflect lower~~reflecting higher staff expense.

Critical accounting estimates

Our significant accounting policies are described in Note 1 of the Notes to Consolidated Financial Statements in our 2021 Annual Report. Our critical accounting estimates are those related to the allowance for credit losses, goodwill and other intangibles and litigation and regulatory contingencies, as referenced below.

~~BNY Mellon 19~~


Critical accounting estimates			Reference
Allowance for credit losses			2021 Annual Report, pages 25-26, and “Allowance for credit losses.”
Goodwill and other intangibles			2021 Annual Report, pages 26-27. Also see below.
Litigation and regulatory contingencies			“Legal proceedings” in Note 17 of the Notes to Consolidated Financial Statements.

Goodwill and other intangibles

BNY Mellon’s business segments include six reporting units for which goodwill impairment testing is performed on an annual basis.

In the second quarter of 2022, we performed our annual goodwill impairment test on all six reporting units using an income approach to estimate fair values of each reporting unit. Estimated cash flows used in the income approach were based on management’s projections as of April 1, 2022. The discount rate applied to these cash flows was 10% and incorporated a 6.125% market equity risk premium. Estimated cash flows extend far into the future, and, by their nature, are difficult to estimate over such an extended time frame.

As a result of the annual goodwill impairment test of the six reporting units, no goodwill impairment was recognized. The fair values of four of the Company’s reporting units were substantially in excess of the respective reporting units’ carrying value. The Issuer Services reporting unit, with $2.4 billion of allocated goodwill, which is one of the two reporting units in the Securities Services business segment, exceeded its carrying value by approximately 10%. The Investment Management reporting unit, with $7.2 billion of allocated goodwill, which is one of the two reporting units in the Investment and Wealth Management business segment, exceeded its carrying value by approximately 6%. In the future, small changes in the assumptions for either reporting unit, such as changes in estimated cash flows, long-term growth rates or discount rates, could produce a non-cash goodwill impairment. See “Critical accounting estimates” in our 2021 Annual Report for additional information on the annual goodwill impairment test.

As of June 30, 2022, if the discount rate applied to the estimated cash flows was increased or decreased by 25 basis points, the fair value of the Investment Management reporting unit would decrease or increase by 4%, respectively. Similarly, if the long-term growth rate was increased or decreased by 10 basis points, the fair value of the Investment Management reporting unit would increase or decrease by approximately 1%, respectively.

BNY Mellon 23

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,~~June 30, 2022, total assets were ~~$474~~$453 billion, compared with $444 billion at Dec. 31, 2021. The increase in total assets was primarily driven by higher interest-bearing deposits with the Federal Reserve and other central banks, partially offset by lower ~~securities.~~securities and federal funds sold and securities purchased under resale agreements. Deposits totaled ~~$346~~$326 billion at ~~March 31,~~June 30, 2022, compared with $320 billion at Dec. 31, 2021. The increase reflects higher ~~interest-bearing deposits in U.S. offices,~~ noninterest-bearing deposits (principally U.S. offices) ~~and~~, partially offset by lower interest-bearing deposits in U.S. and non-U.S. offices. Total interest-bearing deposits as a percentage of total interest-earning assets were ~~61%~~57% at ~~March 31,~~June 30, 2022 and 60% at Dec. 31, 2021.

At ~~March 31,~~June 30, 2022, available funds totaled ~~$187~~$170 billion and ~~includes~~included 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 $155 billion at Dec. 31, 2021. Total available funds as a percentage of total assets were ~~40%~~38% at ~~March 31,~~June 30, 2022 and 35% at Dec. 31, 2021. For additional information on our available funds, see “Liquidity and dividends.”

Securities were ~~$153~~$151 billion, or ~~32%~~33% of total assets, at ~~March 31,~~June 30, 2022, compared with $159 billion, or 36% of total assets, at Dec. 31, 2021. The decrease primarily reflects unrealized pre-tax losses and lower agency residential mortgage-backed securities (“RMBS”), partially offset by ~~an increase in~~higher U.S. ~~government agency~~Treasury securities. For additional information on our securities portfolio, see “Securities” and Note 3 of the Notes to Consolidated Financial Statements.

Loans were ~~$68.1~~$69 billion, or ~~14%~~15% of total assets, at ~~March 31,~~June 30, 2022, compared with ~~$67.8~~$68 billion, or 15% of total assets, at Dec. 31, 2021. The increase was ~~primarily~~ driven by higher ~~overdrafts, capital call financing and wealth management~~ loans in nearly all portfolios, partially offset by lower ~~loans to financial institutions.~~margin loans. For additional information on our loan portfolio, see “Loans” and Note 4 of the Notes to Consolidated Financial Statements.

Long-term debt totaled ~~$25~~$28 billion at ~~March 31,~~June 30, 2022 and $26 billion at Dec. 31, 2021. ~~Redemptions~~Issuances were partially offset by redemptions and a decrease in the fair value of hedged long-term ~~debt were partially offset by issuances.~~debt. For additional information on long-term debt, see “Liquidity and dividends.”

The Bank of New York Mellon Corporation total shareholders’ equity decreased to ~~$42~~$41 billion at ~~March 31,~~June 30, 2022 from $43 billion at Dec. 31, 2021. 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,~~June 30, 2022, as well as certain countries with higher risk profiles. The exposure is presented on an internal risk management basis and has not been reduced by the allowance for credit losses. 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, 2022 Interest-bearing deposits Total exposure
(in billions) Central
banks Banks
Lending (a)
Securities (b)
Other (c)
Top 10 country exposure:
Germany $ 21.4 $ 0.8 $ 1.2 $ 4.2 $ 0.5 $ 28.1
United Kingdom (“UK”) 14.1 0.6 1.2 4.2 4.4 24.5
Japan 12.0 1.0 — 0.5 0.1 13.6
Belgium 8.0 0.3 0.1 0.1 — 8.5
Canada — 2.4 0.3 3.8 1.2 7.7
Netherlands 4.0 0.5 0.2 1.4 0.2 6.3
Luxembourg 1.3 0.1 0.7 0.1 1.5 3.7
Singapore — 1.1 — 1.6 0.5 3.2
France — 0.4 — 2.5 0.3 3.2
Australia — 1.9 0.2 0.7 0.3 3.1
Total Top 10 country exposure $ 60.8 $ 9.1 $ 3.9 $ 19.1 $ 9.0 $ 101.9 (d)
Select country exposure:
Brazil $ — $ — $ 0.7 $ 0.1 $ 0.3 $ 1.1
Russia — — (e) — (f) — — —
Total select country exposure $ — $ — $ 0.7 $ 0.1 $ 0.3 $ 1.1

24 BNY Mellon


Country risk exposure at June 30, 2022	Interest-bearing deposits											Total exposure
(in billions)	Central banks		Banks			Lending (a)		Securities (b)		Other (c)
Top 10 country exposure:
Germany	$	22.9	$	0.7		$	0.8	$	4.3	$	0.7	$	29.4
United Kingdom (“UK”)	11.7		0.1			1.3		4.0		5.3		22.4
Japan	7.8		1.1			—		0.5		0.2		9.6
Canada	—		2.4			0.1		3.8		1.5		7.8
Belgium	5.4		0.7			0.1		0.1		—		6.3
Netherlands	3.7		—			0.2		1.4		0.2		5.5
Luxembourg	1.2		0.2			1.1		—		2.1		4.6
Ireland	0.8		0.3			0.4		—		1.8		3.3
Singapore	—		1.1			—		1.5		0.5		3.1
South Korea	0.1		0.2			2.3		0.2		0.2		3.0
Total Top 10 country exposure	$	53.6	$	6.8		$	6.3	$	15.8	$	12.5	$	95.0	(d)

Select country exposure:
Brazil	$	—	$	0.1		$	0.8	$	0.1	$	0.2	$	1.2
Russia	—		0.1		(e)	—		—		—		0.1
Total select country exposure	$	—	$	0.2		$	0.8	$	0.1	$	0.2	$	1.3

(a) Lending includes loans, acceptances, issued letters of credit, net of participations, and lending-related commitments.

(b) Securities includes 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.

(e) ~~Includes $46 million in interest-bearing deposits~~Represents cash balances with ~~banks.~~

~~(f) Includes a $4 million letter of credit that expired in April 2022.~~exposure to Russia.

Events in recent years have resulted in increased focus on Brazil. 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.

The war in Ukraine has increased our focus on Russia. The country risk exposure to Russia consists of ~~interest-bearing deposits~~cash balances related to our securities services businesses and ~~a letter~~may increase in the future to the extent cash is received for the benefit of ~~credit.~~our clients that is subject to distribution restrictions. BNY Mellon has ceased new banking business in Russia and suspended investment management purchases of Russian securities. At ~~March 31,~~June 30, 2022, ~~less than~~ 0.1% of our

AUC/A and less than 0.01% of our AUM consisted of Russian securities. We will

continue to work with multinational clients that depend on our custody and record keeping services to manage their exposures.

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 2125

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


Securities portfolio	Securities portfolio	Dec. 31, 2021			1Q22 change in unrealized gain (loss)		March 31, 2022						Fair value as a % of amortized cost (a)		Unrealized gain (loss)				% Floating rate (b)				Ratings (c)												Securities portfolio		March 31, 2022						2Q22 change in unrealized gain (loss)		June 30, 2022									Fair value as a % of amortized cost (a)	Unrealized gain (loss)					% Floating rate (b)			Ratings (c)
																	BBB+/ BBB-					BB+ and lower				June 30, 2022			Unrealized gain (loss)			% Floating rate (b)																									BBB+/ BBB-				BB+ and lower
(dollars in millions)	(dollars in millions)						Fair value				Amortized cost (a)												Fair value											AAA/ AA-			A+/ A-			Not rated					(dollars in millions)		Fair value						Amortized cost (a)										Fair value		AAA/ AA-		A+/ A-		BBB+/ BBB-
U.S. Treasury																																						U.S. Treasury		$	39,929				$	(271)		$	43,707		$	42,547					97		%				100	%	—	%	—	%					—	%
Agency RMBS	Agency RMBS	$	50,735				$	(2,198)	$	47,743	$	45,780					96	%	$	(1,963)			12	%										100		%	—		%	—		%	—	%				—		%	Agency RMBS		45,780				(1,244)			45,448	42,241				93		(3,207)				13				100		—	—	—	—
U.S. Treasury		40,582			(888)		40,818		39,929				98		(889)				53				100		—			—					—						—
Sovereign debt/sovereign guaranteed (d)	Sovereign debt/sovereign guaranteed (d)	14,312			(219)		13,327		13,131				99		(196)				13				82		3		14				1					—			Sovereign debt/sovereign guaranteed (d)		13,131					(128)			12,901			12,577				97			(324)			14				86		4		9		1				—
Agency commercial MBS		12,291			(466)		12,768		12,423				97		(345)				34				100		—		—			—					—
Agency commercial mortgage-backed securities (“MBS”)																																						Agency commercial mortgage-backed securities (“MBS”)		12,423					(196)			12,798			12,257				96		(541)				37				100		—		—		—				—
Supranational	Supranational	7,646			(116)		7,925		7,802				98		(123)				57				100		—		—			—					—			Supranational		7,802					(59)			8,131			7,949				98		(182)				58				100		—		—		—				—
Collateralized loan obligations (“CLOs”)																																						Collateralized loan obligations (“CLOs”)		5,815					(144)			6,230			6,046				97		(184)				100				99		—		—		—				1
Foreign covered bonds (e)																																						Foreign covered bonds (e)		6,252					(66)			6,010			5,831				97		(179)				48				100		—		—		—				—
U.S. government agencies	U.S. government agencies	5,420			(232)		6,571		6,297				96		(274)				35				100		—		—			—					—			U.S. government agencies		6,297					(119)			6,064			5,671				94		(393)				33				100		—		—		—				—
Foreign covered bonds (e)		6,238			(115)		6,365		6,252				98		(113)				42				100		—		—			—					—
Collateralized loan obligations (“CLOs”)		5,421			(37)		5,855		5,815				99		(40)				100				99		—		—			1					—
Non-agency commercial MBS	Non-agency commercial MBS	3,114			(155)		3,228		3,104				96		(124)				36				100		—		—			—					—			Non-agency commercial MBS		3,104					(101)			3,270			3,045				93		(225)				49				100		—		—		—				—
Foreign government agencies (f)	Foreign government agencies (f)	2,686			(53)		2,832		2,771				98		(61)				20				92		8		—			—					—			Foreign government agencies (f)		2,771					(24)			2,684			2,599				97		(85)				25				92		8		—		—				—
Non-agency RMBS	Non-agency RMBS	2,793			(128)		2,557		2,538				99		(19)				47				84		3		—			8					5			Non-agency RMBS		2,538					(82)			2,447			2,346				96		(101)				50				85		3		—		7				5
State and political subdivisions	State and political subdivisions	2,529			(128)		2,317		2,161				93		(156)				5				90		9		—			—					1			State and political subdivisions		2,161					(71)			2,276			2,049				90		(227)				23				90		9		—		—				1
Other asset-backed securities (“ABS”)	Other asset-backed securities (“ABS”)	2,190			(58)		1,953		1,880				96		(73)				14				100		—		—			—					—			Other asset-backed securities (“ABS”)		1,880					(30)			1,771			1,668				94		(103)				18				100		—		—		—				—
Corporate bonds	Corporate bonds	2,066			(39)		1,555		1,483				95		(72)				36				16		69		15			—					—			Corporate bonds		1,483					(41)			1,455			1,342				92		(113)				43				17		67		16		—				—
Other	Other	1			—		1		1				100		—				—				—		—		—			—					100			Other		1					—			1			1				100		—				—				—		—		—		—				100
Total securities	Total securities	$	158,024	(g)	$	(4,832)	$	155,815	$	151,367	(g)		97	%	$	(4,448)	(g)(h)		34		%		97	%	1	%	1		%	1		%			—		%	Total securities		$	151,367		(g)		$	(2,576)		$	155,193		$	148,169		(g)	95	%	$	(7,024)		(g)(h)	36	%			98	%	1	%	1	%	—	%			—	%

(a) Amortized cost reflects historical impairments, and is net of the allowance for credit losses.

(b) Includes the impact of hedges.

(d) Primarily consists of exposure to Germany, UK, France, Singapore, Italy and ~~Spain.~~Canada.

(e) Primarily consists of exposure to Canada, UK, Australia, Germany and Norway.

(f) Primarily consists of exposure to Canada, Norway, the ~~Canada,~~ Netherlands, ~~Norway,~~Sweden, France and ~~Sweden.~~Finland.

(g) Includes net unrealized ~~losses~~gains on derivatives hedging securities available-for-sale (including terminated hedges) of ~~$590 million at Dec. 31, 2021 and net unrealized gains of~~ $914 million at March 31, 2022 and $1,764 million at June 30, 2022.

(h) ~~Includes~~At June 30, 2022, includes net unrealized losses of ~~$1,505~~$2,585 million ~~at March 31, 2022~~ related to available-for-sale securities, net of hedges, and ~~$2,943~~$4,439 million related to held-to-maturity securities.

The fair value of our securities portfolio, including related hedges, was ~~$151.4~~$148.2 billion at ~~March 31,~~June 30, 2022, compared with $158.0 billion at Dec. 31, 2021. The decrease primarily reflects unrealized pre-tax losses and lower agency RMBS, partially offset by an increase in U.S. ~~government agency~~Treasury securities.

At ~~March 31,~~June 30, 2022, the securities portfolio had a net unrealized loss, including the impact of related hedges, of ~~$4.4~~$7.0 billion, compared with a net unrealized gain, including the impact of related hedges, of $384 million at Dec. 31, 2021. The increase in the net unrealized loss, including the impact of hedges, was primarily driven by higher market interest rates.

The fair value of the available-for-sale securities totaled ~~$93.7~~$93.0 billion at ~~March 31,~~June 30, 2022, net of hedges, or ~~62%~~63% of the securities portfolio, net of hedges. The fair value of the held-to-maturity securities totaled ~~$57.7~~$55.1 billion at ~~March 31,~~June 30, 2022, or ~~38%~~37% of the securities portfolio, net of hedges.

The unrealized loss (after-tax) on our available-for-sale securities portfolio, net of hedges, included in accumulated other comprehensive income was ~~$1.1~~$2.0 billion at ~~March 31,~~June 30, 2022, compared with an unrealized gain (after-tax), net of hedges, of $362 million at Dec. 31, 2021. The increase in the unrealized loss, net of tax, was primarily driven by higher market interest rates.

At ~~March 31,~~June 30, 2022, ~~97%~~98% of the securities in our portfolio were rated AAA/AA-, compared with 96% at Dec. 31, 2021.

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.

2226 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)	Net premium amortization and discount accretion of securities (a)											Net premium amortization and discount accretion of securities (a)
(dollars in millions)	(dollars in millions)	1Q22		4Q21		3Q21		2Q21		1Q21		(dollars in millions)	2Q22		1Q22		4Q21		3Q21		2Q21
Amortizable purchase premium (net of discount) relating to securities:	Amortizable purchase premium (net of discount) relating to securities:											Amortizable purchase premium (net of discount) relating to securities:
Balance at period-end	Balance at period-end	$	1,761	$	1,972	$	2,120	$	2,067	$	2,195	Balance at period-end	$	1,541	$	1,761	$	1,972	$	2,120	$	2,067
Estimated average life remaining at period-end (in years)	Estimated average life remaining at period-end (in years)	4.7		4.4		4.5		4.4		4.3		Estimated average life remaining at period-end (in years)	4.7		4.7		4.4		4.5		4.4
Amortization	Amortization	$	130	$	158	$	168	$	183	$	189	Amortization	$	105	$	130	$	158	$	168	$	183
Accretable discount related to the prior restructuring of the securities portfolio:	Accretable discount related to the prior restructuring of the securities portfolio:											Accretable discount related to the prior restructuring of the securities portfolio:
Balance at period-end	Balance at period-end	$	62	$	109	$	115	$	118	$	121	Balance at period-end	$	55	$	62	$	109	$	115	$	118
Estimated average life remaining at period-end (in years)	Estimated average life remaining at period-end (in years)	7.0		6.1		6.0		6.1		5.9		Estimated average life remaining at period-end (in years)	7.3		7.0		6.1		6.0		6.1
Accretion	Accretion	$	9	$	11	$	11	$	9	$	12	Accretion	$	7	$	9	$	11	$	11	$	9

(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 – consolidated	Total exposure – consolidated	March 31, 2022						Dec. 31, 2021						Total exposure – consolidated	June 30, 2022						Dec. 31, 2021
(in billions)	(in billions)	Loans		Unfunded commitments		Total exposure		Loans		Unfunded commitments		Total exposure		(in billions)	Loans		Unfunded commitments		Total exposure		Loans		Unfunded commitments		Total exposure
Financial institutions	Financial institutions	$	9.2	$	31.1	$	40.3	$	10.2	$	30.6	$	40.8	Financial institutions	$	10.6	$	32.2	$	42.8	$	10.2	$	30.6	$	40.8
Commercial	Commercial	1.9		11.9		13.8		2.1		11.9		14.0		Commercial	2.4		11.6		14.0		2.1		11.9		14.0
Wealth management loans	Wealth management loans	10.1		0.5		10.6		9.8		0.5		10.3		Wealth management loans	10.9		0.6		11.5		9.8		0.5		10.3
Wealth management mortgages	Wealth management mortgages	8.4		0.5		8.9		8.2		0.4		8.6		Wealth management mortgages	8.8		0.3		9.1		8.2		0.4		8.6
Commercial real estate	Commercial real estate	6.0		3.7		9.7		6.0		3.3		9.3		Commercial real estate	6.1		4.0		10.1		6.0		3.3		9.3
Lease financings	Lease financings	0.7		—		0.7		0.7		—		0.7		Lease financings	0.7		—		0.7		0.7		—		0.7
Other residential mortgages	Other residential mortgages	0.3		—		0.3		0.3		—		0.3		Other residential mortgages	0.4		—		0.4		0.3		—		0.3
Overdrafts	Overdrafts	4.1		—		4.1		3.1		—		3.1		Overdrafts	3.8		—		3.8		3.1		—		3.1
Capital call financing	Capital call financing	2.6		1.6		4.2		2.3		1.5		3.8		Capital call financing	3.6		2.5		6.1		2.3		1.5		3.8
Other	Other	2.7		—		2.7		2.6		—		2.6		Other	2.7		—		2.7		2.6		—		2.6
Margin loans	Margin loans	22.1		—		22.1		22.5		—		22.5		Margin loans	19.3		—		19.3		22.5		—		22.5
Total	Total	$	68.1	$	49.3	$	117.4	67.8		$	48.2	$	116.0	Total	$	69.3	$	51.2	$	120.5	$	67.8	$	48.2	$	116.0

At ~~March 31,~~June 30, 2022, total lending-related exposure of ~~$117.4~~$120.5 billion increased 1%4% compared with Dec. 31, 2021, primarily reflecting higher ~~overdrafts and higher~~ exposure in the capital call financing, financial institutions, wealth management loans and commercial real estate ~~capital call financing~~portfolios and ~~wealth management loan portfolios,~~higher overdrafts, partially offset by ~~lower exposure in the financial institutions portfolio and~~ lower margin loans.

Our financial institutions and commercial portfolios comprise our largest concentrated risk. These portfolios comprised ~~46%~~47% of our total exposure at ~~March 31,~~June 30, 2022 and ~~47% at~~ Dec. 31, 2021. Additionally, most of our overdrafts relate to financial institutions.

BNY Mellon 2327

Financial institutions

The financial institutions portfolio is shown below.


Financial institutions portfolio exposure (dollars in billions)	Financial institutions portfolio exposure (dollars in billions)	March 31, 2022										Dec. 31, 2021						Financial institutions portfolio exposure (dollars in billions)	June 30, 2022										Dec. 31, 2021
		Loans		Unfunded commitments		Total exposure		% Inv. grade		% due <1 yr.		Loans		Unfunded commitments		Total exposure			Loans		Unfunded commitments		Total exposure		% Inv. grade		% due <1 yr.		Loans		Unfunded commitments		Total exposure
Securities industry	Securities industry	$	1.4	$	17.4	$	18.8	99	%	99	%	$	1.7	$	17.5	$	19.2	Securities industry	$	1.6	$	18.0	$	19.6	98	%	97	%	$	1.7	$	17.5	$	19.2
Asset managers	Asset managers	1.6		7.3		8.9		99		82		1.7		7.1		8.8		Asset managers	2.0		7.5		9.5		98		82		1.7		7.1		8.8
Banks	Banks	5.4		1.5		6.9		88		97		5.8		1.5		7.3		Banks	6.4		1.7		8.1		86		96		5.8		1.5		7.3
Insurance	Insurance	0.2		3.5		3.7		100		10		0.2		3.4		3.6		Insurance	0.1		3.6		3.7		100		8		0.2		3.4		3.6
Government	Government	0.1		0.2		0.3		100		65		0.1		0.2		0.3		Government	0.1		0.2		0.3		100		45		0.1		0.2		0.3
Other	Other	0.5		1.2		1.7		97		54		0.7		0.9		1.6		Other	0.4		1.2		1.6		98		61		0.7		0.9		1.6
Total	Total	$	9.2	$	31.1	$	40.3	97	%	84	%	$	10.2	$	30.6	$	40.8	Total	$	10.6	$	32.2	$	42.8	96	%	84	%	$	10.2	$	30.6	$	40.8

The financial institutions portfolio exposure was ~~$40.3~~$42.8 billion at ~~March 31,~~June 30, 2022, ~~a decrease~~an increase of 1%5% compared with Dec. 31, 2021, primarily reflecting ~~lower exposure to the securities industry and bank portfolios, partially offset by~~ higher exposure toin the banks, asset managers ~~insurance~~ and ~~other~~securities industry portfolios.

Financial institution exposures are high-quality, with ~~97%~~96% of the exposures meeting the investment grade equivalent criteria of our internal credit rating classification at ~~March 31,~~June 30, 2022. 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.

The exposure to financial institutions is generally short-term, with 84% of the exposures expiring within one year. At ~~March 31,~~June 30, 2022, ~~and Dec. 31, 2021, 17%~~14% of the exposure to financial institutions had an expiration within 90 ~~days.~~days, compared with 17% at Dec. 31, 2021.

In addition, ~~64%~~65% of the financial institutions exposure is secured. For example, securities industry clients

and asset managers often borrow against marketable securities held in custody.

At ~~March 31,~~June 30, 2022, the secured intra-day credit provided to dealers in connection with their tri-party repo activity totaled ~~$16.4~~$16.9 billion and was included in the securities industry portfolio. Dealers secure the outstanding ~~intraday~~intra-day credit with high-quality liquid collateral having a market value in excess of the amount of the outstanding credit. Secured intraday credit facilities represent approximately ~~41%~~39% of the exposure in the financial institutions portfolio and are reviewed and reapproved annually.

The asset managers portfolio exposure is high-quality, with ~~99%~~98% of the exposures meeting our investment grade equivalent ratings criteria as of ~~March 31,~~June 30, 2022. These exposures are generally short-term liquidity facilities, with the majority to regulated mutual funds.

Our banks portfolio exposure primarily relates to our global trade finance. These exposures are short-term in nature, with ~~97%~~96% due in less than one year. The investment grade percentage of our banks portfolio exposure was 86% at June 30, 2022, compared with 88% at ~~March 31, 2022 and~~ Dec. 31, 2021. Our non-investment grade exposures are primarily trade finance loans in Brazil.

2428 BNY Mellon

Commercial

The commercial portfolio is presented below.


Commercial portfolio exposure	Commercial portfolio exposure	March 31, 2022										Dec. 31, 2021						Commercial portfolio exposure	June 30, 2022										Dec. 31, 2021
(dollars in billions)	(dollars in billions)	Loans		Unfunded commitments		Total exposure		% Inv. grade		% due <1 yr.		Loans		Unfunded commitments		Total exposure		(dollars in billions)	Loans		Unfunded commitments		Total exposure		% Inv. grade		% due <1 yr.		Loans		Unfunded commitments		Total exposure
Manufacturing	Manufacturing	$	0.7	$	3.7	$	4.4	96	%	22	%	$	0.6	$	3.9	$	4.5	Manufacturing	$	0.8	$	4.0	$	4.8	96	%	22	%	$	0.6	$	3.9	$	4.5
Services and other																		Services and other	1.2		3.1		4.3		96		39		1.0		3.2		4.2
Energy and utilities	Energy and utilities	0.4		3.8		4.2		93		3		0.4		3.9		4.3		Energy and utilities	0.3		3.8		4.1		94		5		0.4		3.9		4.3
Services and other		0.7		3.5		4.2		95		32		1.0		3.2		4.2
Media and telecom	Media and telecom	0.1		0.9		1.0		91		8		0.1		0.9		1.0		Media and telecom	0.1		0.7		0.8		87		2		0.1		0.9		1.0
Total	Total	$	1.9	$	11.9	$	13.8	94	%	18	%	$	2.1	$	11.9	$	14.0	Total	$	2.4	$	11.6	$	14.0	95	%	21	%	$	2.1	$	11.9	$	14.0

The commercial portfolio exposure was ~~$13.8~~$14.0 billion at ~~March 31,~~June 30, 2022, ~~a decrease of 1%~~unchanged from Dec. 31, 2021, primarily ~~driven~~reflecting higher exposure to the manufacturing and services and other portfolios, partially offset by lower exposure to the ~~manufacturing and~~ energy and utilities and media and telecom portfolios.

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	Percentage of the portfolios that are investment grade												Percentage of the portfolios that are investment grade
		Quarter ended										Quarter ended
		March 31, 2022		Dec. 31, 2021		Sept. 30, 2021		June 30, 2021		March 31, 2021			June 30, 2022		March 31, 2022			Dec. 31, 2021			Sept. 30, 2021			June 30, 2021
Financial institutions	Financial institutions	97	%	96	%	96	%	96	%	96	%		96	%	97		%	96		%	96		%	96		%
Commercial	Commercial	94	%	94	%	93	%	93	%	92	%		Commercial	95		%	94		%	94		%	93		%	93	%

Wealth management loans

Our wealth management loan exposure was ~~$10.6~~$11.5 billion at ~~March 31,~~June 30, 2022, compared with $10.3 billion

at Dec. 31, 2021. Wealth management loans

primarily consist of loans to high-net-worth individuals, a majority of which are secured by the customers’ investment management accounts or custody accounts.

Wealth management mortgages

Our wealth management mortgage exposure was ~~$8.9~~$9.1 billion at ~~March 31,~~June 30, 2022, compared with $8.6 billion at Dec. 31, 2021. Wealth management mortgages primarily consist of loans to high-net-worth individuals, which are secured by residential property. Wealth management mortgages are primarily interest-only, adjustable-rate mortgages with a weighted-average loan-to-value ratio of 61% at origination. At ~~March 31,~~June 30, 2022, less than 1% of the mortgages were past due.

At ~~March 31,~~June 30, 2022, the wealth management mortgage portfolio consisted of the following geographic concentrations: California – ~~21%~~22%; New York – 15%; Florida – 10%; Massachusetts – 9%8%; and other – 45%.

BNY Mellon 2529

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	Composition of commercial real estate portfolio by asset class	March 31, 2022				Dec. 31, 2021				Composition of commercial real estate portfolio by asset class	June 30, 2022				Dec. 31, 2021
		Total exposure		Percentage secured (a)		Total exposure		Percentage secured (a)			Total exposure		Percentage secured (a)		Total exposure		Percentage secured (a)
(in billions)	(in billions)									(in billions)

Residential	Residential	$	4.0	83	%	$	3.6	81	%	Residential	$	4.0	83	%	$	3.6	81	%
Office	Office	2.6		78		2.6		77		Office	2.8		77		2.6		77
Retail	Retail	0.9		58		0.9		58		Retail	0.9		57		0.9		58
Mixed-use	Mixed-use	0.7		36		0.7		37		Mixed-use	0.8		33		0.7		37
Hotels	Hotels	0.6		33		0.5		23		Hotels	0.7		44		0.5		23
Healthcare	Healthcare	0.4		29		0.4		25		Healthcare	0.4		47		0.4		25
Other	Other	0.5		47		0.6		45		Other	0.5		51		0.6		45
Total commercial real estate	Total commercial real estate	$	9.7	69	%	$	9.3	66	%	Total commercial real estate	$	10.1	69	%	$	9.3	66	%

(a) Represents the percentage of exposure secured by real estate in each asset class.

Our commercial real estate exposure totaled ~~$9.7~~$10.1 billion at ~~March 31,~~June 30, 2022 and $9.3 billion at Dec. 31, 2021. 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,~~June 30, 2022, the unsecured portfolio consisted of real estate investment trusts (“REITs”) and real estate operating companies, which are both primarily investment grade.

At ~~March 31,~~June 30, 2022, our commercial real estate portfolio consisted of the following concentrations: New York metro – ~~37%~~35%; REITs and real estate operating companies – 31%; and other – ~~32%~~34%.

Lease financings

The lease financings portfolio exposure totaled ~~$707~~$702 million at ~~March 31,~~June 30, 2022 and $731 million at Dec. 31, 2021. At ~~March 31,~~June 30, 2022, approximately 99% of leasing exposure was investment grade, or investment grade equivalent and consisted of exposures backed by well-diversified assets, primarily real estate and large-ticket transportation equipment. The largest components of our lease residual value exposure

relate to aircraft and freight-related rail cars. Assets

are both domestic and foreign-based, with primary concentrations in ~~the~~ Germany and the U.S.

Other residential mortgages

The other residential mortgages portfolio primarily consists of 1-4 family residential mortgage loans and totaled ~~$285~~$369 million at ~~March 31,~~June 30, 2022 and $299 million at Dec. 31, 2021. Included in this portfolio at June 30, 2022 were $96 million of fixed-rate jumbo mortgage loans purchased in the second quarter of 2022 with a weighted-average loan-to-value ratio of 69% at origination.

Overdrafts

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

Capital call financing

Capital call financing includes loans to private equity funds that are secured by the fund investors’ capital commitments and the funds’ rights to call capital.

Other loans

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

30 BNY Mellon

Margin loans

Margin loan exposure of ~~$22.1~~$19.3 billion at ~~March 31,~~June 30, 2022 and $22.5 billion at Dec. 31, 2021 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 ~~$7.8~~$5.6 billion at ~~March 31,~~June 30, 2022 and $7.7 billion at Dec. 31, 2021 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 activity	Allowance for credit losses activity	March 31, 2022			Dec. 31, 2021						March 31, 2021			Allowance for credit losses activity	June 30, 2022			March 31, 2022			Dec. 31, 2021					June 30, 2021
(dollars in millions)	(dollars in millions)							March 31, 2021	(dollars in millions)	June 30, 2022				March 31, 2022

Beginning balance of allowance for credit losses	Beginning balance of allowance for credit losses	$	260		$	291									$	501		Beginning balance of allowance for credit losses		$	263		$	260	$	291			$	419

Provision for credit losses	Provision for credit losses	2			(17)						(83)			Provision for credit losses	47			2			(17)					(86)
Net recoveries (charge-offs):	Net recoveries (charge-offs):													Net recoveries (charge-offs):
Loans:	Loans:													Loans:
Other residential mortgages	Other residential mortgages	1			2						2			Other residential mortgages	1			1			2					—
Financial institutions														Financial institutions	—			—			—					2

Wealth management mortgages		—			—						(1)
Other loans	Other loans	—			(16)						—			Other loans	—			—			(16)					—

Net recoveries		1			(14)						1
Other financial instruments														Other financial instruments	(1)			—			—					—
Net recoveries (charge-offs)														Net recoveries (charge-offs)	—			1			(14)					2
Ending balance of allowance for credit losses	Ending balance of allowance for credit losses	$	263		$	260					$	419		Ending balance of allowance for credit losses	$	310		$	263		$	260				$	335

Allowance for loan losses	Allowance for loan losses	$	171		$	196					$	327		Allowance for loan losses	$	181		$	171		$	196				$	269
Allowance for lending-related commitments	Allowance for lending-related commitments	53			45						73			Allowance for lending-related commitments	62			53			45					50
Allowance for financial instruments (a)	Allowance for financial instruments (a)	39			19						19			Allowance for financial instruments (a)	67			39			19					16
Total allowance for credit losses	Total allowance for credit losses	$	263		$	260					$	419		Total allowance for credit losses	$	310		$	263		$	260				$	335

Total loans, at period end	Total loans, at period end	$	68,052		$	67,787					$	60,732		Total loans, at period end	$	69,347		$	68,052		$	67,787				$	63,547

Allowance for loan losses as a percentage of total loans	Allowance for loan losses as a percentage of total loans	0.25		%	0.29		%				0.54		%	Allowance for loan losses as a percentage of total loans	0.26		%	0.25		%	0.29		%			0.42		%
Allowance for loan losses and lending-related commitments as a percentage of total loans	Allowance for loan losses and lending-related commitments as a percentage of total loans	0.33		%	0.36		%				0.66		%	Allowance for loan losses and lending-related commitments as a percentage of total loans	0.35		%	0.33		%	0.36		%			0.50		%

(a) 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.

The provision for credit losses was $2$47 million in the ~~first~~second quarter of 2022, ~~compared with a benefit of $83 million~~primarily driven by changes in the ~~first quarter of 2021 and a benefit of $17 million in the fourth quarter of 2021.~~macroeconomic forecast.

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 2021 Annual Report, we have allocated our allowance for loans and lending-related commitments as presented below.

Allocation of allowance for loan losses and
lending-related commitments (a)
March 31, 2022 Dec. 31, 2021 March 31, 2021
(dollars in millions) $ % $ % $ %
Commercial real estate $ 176 78 % $ 199 82 % $ 365 90 %
Financial institutions 15 7 13 5 6 2
Commercial 12 5 12 5 11 2
Other residential mortgages 7 3 7 3 9 2
Wealth management mortgages 9 4 6 2 6 2
Capital call financing 3 1 2 1 1 1
Wealth management loans 1 1 1 1 — —
Lease financings 1 1 1 1 2 1
Total $ 224 100 % $ 241 100 % $ 400 100 %

BNY Mellon 31


Allocation of allowance for loan losses and lending-related commitments (a)	June 30, 2022				March 31, 2022				Dec. 31, 2021				June 30, 2021
(dollars in millions)	$		%		$		%		$		%			$		%
Commercial real estate	$	184	75	%	$	176	78	%	$	199	82	%		$	289	90	%
Financial institutions	21		9		15		7		13		5			6		2

Commercial	16		6		12		5		12		5			8		2
Other residential mortgages	7		3		7		3		7		3			8		2
Wealth management mortgages	7		3		9		4		6		2			4		1
Capital call financing	6		2		3		1		2		1			1		1
Lease financings	1		1		1		1		1		1			2		1
Wealth management loans	1		1		1		1		1		1			1		1
Total	$	243	100	%	$	224	100	%	$	241	100	%		$	319	100	%

(a) The allowance allocated to margin loans, overdrafts and other loans was insignificant at June 30, 2022, March 31, 2022, Dec. 31, 2021 and ~~March 31,~~June 30, 2021.

~~BNY Mellon 27~~

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 commercial real estate property values were increased 10% and all other credit were rated one grade better, the quantitative allowance would have decreased by ~~$37~~$36 million, and if commercial real estate property values were decreased 10% and all other credit were rated one grade worse, the quantitative allowance would have increased by ~~$80~~$70 million. Our multi-scenario based macroeconomic forecast used in determining the ~~March 31,~~June 30, 2022 allowance for credit losses consisted of three scenarios. The ~~weightings~~baseline scenario reflects flat GDP growth, continued moderate labor market recovery and continuing strong growth in commercial real estate prices through the end of 2022 that will begin to moderate in 2023. The upside scenario reflects faster GDP growth and labor market recovery and higher commercial real estate prices compared with the baseline. The downside scenario contemplates negative GDP growth through the first quarter of 2023 with subsequent stabilization as well as increasing unemployment through 2023 and lower

commercial real estate prices than the baseline. In the second quarter of 2022, we placed the most weight on our baseline and downside scenarios, with the remaining weighting placed on the upside scenario. From a sensitivity perspective, at June 30, 2022, if we had applied 100% weighting to ~~those scenarios and qualitative judgments to determine~~ the ~~March 31, 2022~~downside scenario, the allowance for credit losses ~~incorporated information related to the estimated impacts to the macroeconomic outlook and our exposures as a result of the war in Ukraine as well as the status of COVID-19.~~would have been approximately $93 million higher.

Nonperforming assets

The table below presents our nonperforming assets.


Nonperforming assets	Nonperforming assets	March 31, 2022			Dec. 31, 2021			Nonperforming assets	June 30, 2022	Dec. 31, 2021
(dollars in millions)	(dollars in millions)							(dollars in millions)				Dec. 31, 2021
Nonperforming loans:	Nonperforming loans:														Nonperforming loans:
Commercial real estate											Commercial real estate		$	54			$	54
Other residential mortgages	Other residential mortgages	$	37		$	39					Other residential mortgages	35				39

Wealth management mortgages	Wealth management mortgages	26			25						Wealth management mortgages	22				25

Commercial real estate		54			54

Total nonperforming loans	Total nonperforming loans	117			118						Total nonperforming loans	111				118
Other assets owned	Other assets owned	2			2						Other assets owned	3				2
Total nonperforming assets	Total nonperforming assets	$	119		$	120					Total nonperforming assets	$	114			$	120
Nonperforming assets ratio	Nonperforming assets ratio	0.17		%	0.18		%				Nonperforming assets ratio	0.16		%		0.18		%
Allowance for loan losses/nonperforming loans	Allowance for loan losses/nonperforming loans	146.2			166.1						Allowance for loan losses/nonperforming loans	163.1				166.1
Allowance for loan losses/nonperforming assets	Allowance for loan losses/nonperforming assets	143.7			163.3						Allowance for loan losses/nonperforming assets	158.8				163.3
Total allowance for credit losses/nonperforming loans	Total allowance for credit losses/nonperforming loans	191.5			204.2						Total allowance for credit losses/nonperforming loans	218.9				204.2
Total allowance for credit losses/nonperforming assets	Total allowance for credit losses/nonperforming assets	188.2			200.8						Total allowance for credit losses/nonperforming assets	213.2				200.8

Deposits

Total deposits were ~~$345.6~~$325.8 billion at ~~March 31,~~June 30, 2022, an increase of 8%2%, compared with $319.7 billion at Dec. 31, 2021. The increase reflects higher ~~interest-bearing deposits in U.S. offices,~~ noninterest-bearing deposits (principally U.S. offices) ~~and~~, partially offset by lower interest-bearing deposits in U.S. and non-U.S. offices.

32 BNY Mellon

Noninterest-bearing deposits were ~~$100.0~~$106.1 billion at ~~March 31,~~June 30, 2022, compared with $93.7 billion at Dec. 31, 2021. Interest-bearing deposits were primarily demand deposits and totaled ~~$245.6~~$219.7 billion at ~~March 31,~~June 30, 2022, compared with $226.0 billion at Dec. 31, 2021.

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.

Federal funds purchased and securities sold under repurchase agreements include repurchase agreement activity with the Fixed Income Clearing Corporation (“FICC”), where we record interest expense gross,

~~28 BNY Mellon~~

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.

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.

The Bank of New York Mellon may 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.

Other borrowed funds primarily include overdrafts of sub-custodian account balances in our Securities Services businesses, finance lease liabilities, and borrowings under lines of credit by our Pershing subsidiaries. Overdrafts typically relate to timing differences for settlements.

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.

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 2021 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,~~June 30, 2022, 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.

BNY Mellon 33

The following table presents our total available funds at period end and on an average basis.

~~BNY Mellon 29~~


Available funds	Available funds	March 31, 2022			Dec. 31, 2021			Average									Available funds	June 30, 2022	Dec. 31, 2021	Average
(dollars in millions)	(dollars in millions)							1Q22			4Q21			1Q21						(dollars in millions)		June 30, 2022			Dec. 31, 2021			2Q22			1Q22			2Q21			YTD22			YTD21
Cash and due from banks	Cash and due from banks	$	6,143		$	6,061		$	6,040		$	6,036		$	5,720						Cash and due from banks							$	5,640		$	6,040		$	5,938		$	5,839		$	5,830
Interest-bearing deposits with the Federal Reserve and other central banks	Interest-bearing deposits with the Federal Reserve and other central banks	135,691			102,467			100,303			105,065			125,930							Interest-bearing deposits with the Federal Reserve and other central banks		125,372			102,467			102,844			100,303			114,564			101,600			120,216
Interest-bearing deposits with banks	Interest-bearing deposits with banks	18,268			16,630			17,181			18,818			21,313							Interest-bearing deposits with banks		16,639			16,630			18,097			17,181			22,465			17,641			21,892
Federal funds sold and securities purchased under resale agreements	Federal funds sold and securities purchased under resale agreements	27,131			29,607			27,006			27,780			29,186							Federal funds sold and securities purchased under resale agreements		22,940			29,607			24,212			27,006			27,857			25,602			28,518
Total available funds	Total available funds	$	187,233		$	154,765		$	150,530		$	157,699		$	182,149						Total available funds		$	170,136		$	154,765		$	150,793		$	150,530		$	170,824		$	150,682		$	176,456
Total available funds as a percentage of total assets	Total available funds as a percentage of total assets	40		%	35		%	34		%	35		%	40		%					Total available funds as a percentage of total assets		38		%	35		%	34		%	34		%	38		%	34		%	39		%

Total available funds were ~~$187.2~~$170.1 billion at ~~March 31,~~June 30, 2022, compared with $154.8 billion at Dec. 31, 2021. The increase was primarily due to higher interest-bearing deposits with the Federal Reserve and other central ~~banks and interest-bearing deposits with~~ banks, partially offset by lower federal funds sold and securities purchased under resale agreements.

Average non-core sources of funds, such as federal funds purchased and securities sold under repurchase agreements, trading liabilities, other borrowed funds and commercial paper were ~~$16.7~~$16.5 billion for the first ~~three~~six months of 2022 and ~~$17.8~~$17.1 billion for the first ~~three~~six months of 2021. The decrease primarily reflects lower federal funds purchased and securities sold under repurchase agreements, partially offset by higher trading ~~liabilities.~~liabilities and other borrowed funds.

Average interest-bearing foreign deposits, primarily from our European-based businesses included in the Securities Services and Market and Wealth Services segments, were ~~$107.0~~$104.8 billion for the first ~~three~~six months of 2022, compared with ~~$116.6~~$114.5 billion for the first ~~three~~six months of 2021. Average interest-bearing domestic deposits were ~~$116.3~~$116.4 billion for the first ~~three~~six months of 2022 and ~~$128.5~~$127.7 billion for the first ~~three~~six months of 2021. The decreases primarily reflect client activity.

Average payables to customers and broker-dealers were ~~$16.7~~$16.6 billion for the first ~~three~~six months of 2022 and ~~$17.7~~$17.2 billion for the first ~~three~~six months of 2021.

Payables to customers and broker-dealers are driven by customer trading activity and market volatility.

Average long-term debt was ~~$25.6~~$25.9 billion for the first ~~three~~six months of 2022 and ~~$26.2~~$25.7 billion for the first ~~three~~six months of 2021.

Average noninterest-bearing deposits increased to ~~$90.2~~$91.1 billion for the first ~~three~~six months of 2022 from ~~$83.4~~$84.6 billion for the first ~~three~~six months of 2021, primarily reflecting client activity.

A significant reduction of client activity in our Securities Services and Market and Wealth Services business segments would reduce our access to deposits. See “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:

3034 BNY Mellon

Credit ratings at ~~March 31,~~June 30, 2022

Moody’s

S&P

Fitch

DBRS

Parent:

Long-term senior debt

AA-

Subordinated debt

A-

AA (low)

Preferred stock

Baa1

BBB

BBB+

Outlook – Parent

Stable

The Bank of New York Mellon:

Long-term senior debt

Aa2

AA-

AA (high)

Subordinated debt

Long-term deposits

Aa1

AA-

AA+

AA (high)

Short-term deposits

A-1+

F1+

R-1 (high)

Commercial paper

A-1+

F1+

R-1 (high)

BNY Mellon, N.A.:

Long-term senior debt

Aa2

(a)

AA-

(a)

AA (high)

Long-term deposits

Aa1

AA-

AA+

AA (high)

Short-term deposits

A-1+

F1+

R-1 (high)

Outlook – Banks

Stable

(a) Represents senior debt issuer default rating.

NR – Not rated.

Long-term debt totaled ~~$25.2~~$27.6 billion at ~~March 31,~~June 30, 2022 and $25.9 billion at Dec. 31, 2021. ~~Redemptions~~Issuances of ~~$1.3~~$5.0 billion were partially offset by redemptions of $2.3 billion and a decrease in the fair value of hedged long-term ~~debt were partially offset by issuances of $1.3 billion.~~debt. The Parent has $1.0 billion of long-term debt maturing in the remainder of 2022.

In ~~April~~July 2022, the Parent issued ~~$950 million~~$1.25 billion of fixed ~~rate senior notes maturing in 2025 at an annual interest rate of 3.350%, $400 million of~~to floating rate senior notes maturing in 2026. The annual fixed interest rate is 4.414% from issuance to, but excluding, July 24, 2025, atand then an annual interest rate of the compounded secured overnight financing rate (“SOFR”) plus 62134.5 basis ~~points and $350~~points. The Parent also issued $500 million of fixed to floating rate senior notes maturing in 2030. The annual fixed interest rate is 4.596% from issuance to, but excluding, July 26, 2029, atand then an annual interest rate of ~~3.850%.~~SOFR plus 175.5 basis points.

The Bank of New York Mellon may issue notes and certificates of deposit (“CDs”). At ~~March 31,~~June 30, 2022 and Dec. 31, 2021, $30 million of notes were outstanding. At ~~March 31,~~June 30, 2022, ~~$36~~$20 million of CDs were outstanding. There were no CDs outstanding at Dec. 31, 2021.

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,~~June 30, 2022 and Dec. 31, 2021. The average commercial

paper outstanding was $4$5 million for the first ~~three~~

six months of 2022. There was no average commercial paper outstanding for the first ~~three~~six months of 2021.

Subsequent to ~~March 31,~~June 30, 2022, our U.S. bank subsidiaries could declare dividends to the Parent of approximately ~~$1.6~~$2.3 billion, without the need for a regulatory waiver. In addition, at ~~March 31,~~June 30, 2022, non-bank subsidiaries of the Parent had liquid assets of approximately ~~$3.9~~$3.3 billion. Restrictions on our ability to obtain funds from our subsidiaries are 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 2021 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 average borrowings under these lines in the ~~first~~second quarter of 2022. Pershing Limited, an indirect UK-based subsidiary of BNY Mellon, has two separate uncommitted lines of credit amounting to ~~$262~~$254 million in aggregate. Average borrowings under these lines were ~~$14~~$5 million, in aggregate, in the ~~first~~second quarter of 2022.

BNY Mellon 35

The double leverage ratio is the ratio of our equity investment in subsidiaries divided by our consolidated Parent company equity, which includes

~~BNY Mellon 31~~

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 ~~80%~~78% of total revenue in the ~~first~~second quarter of 2022, and the dividend capacity of our banking subsidiaries. Our double leverage ratio was 119.2% at ~~March 31,~~June 30, 2022 and 119.3% at Dec. 31, 2021, 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~~May 2022, a quarterly dividend of $0.34 per common share was paid to common shareholders. Our common stock dividend payout ratio was ~~40%~~33% for the ~~first~~second quarter of 2022.

In July, our Board of Directors approved a 9% increase in the ~~first~~quarterly cash dividend on common stock, from $0.34 to $0.37 per share. The increased quarterly cash dividend is expected to be paid on Aug. 5, 2022.

In June 2021, our Board of Directors authorized the repurchase of up to $6.0 billion of common shares over the six quarters beginning in the third quarter of 2021 and continuing through the fourth quarter of 2022. This new share repurchase plan replaced all previously authorized share repurchase plans.

In the second quarter of 2022, we repurchased ~~1.9 million~~46 thousand common shares at an average price of ~~$61.64~~$60.87 per common share, for a total cost of ~~$118~~$3 million.

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,~~June 30, 2022, and the average HQLA and average LCR for the ~~first~~second quarter of 2022.


Consolidated HQLA and LCR	~~March 31,~~June 30, 2022
(dollars in billions)
Cash (a)	$	~~135~~125
Securities (b)	~~113~~110
Total consolidated HQLA (c)	$	~~248~~235

Total consolidated HQLA – average (c)	$	~~218~~212
Average LCR	~~109~~111		%

(a) Primarily includes cash on deposit with central banks.

(b) Primarily includes securities of U.S. government-sponsored enterprises, U.S. Treasury, sovereign securities, U.S. agency and investment-grade corporate debt.

(c) Consolidated HQLA presented before adjustments. After haircuts and the impact of trapped liquidity, consolidated HQLA totaled ~~$174~~$163 billion at ~~March 31,~~June 30, 2022 and averaged ~~$149~~$146 billion for the ~~first~~second quarter of 2022.

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~~second quarter of 2022.

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 provided by operating activities was ~~$3.4~~$8.4 billion in the ~~three~~six months ended ~~March 31,~~June 30, 2022, compared with net cash used for operating activities of ~~$3.2 billion~~$345 million in the ~~three~~six months ended ~~March 31,~~ June 30,

36 BNY Mellon

2021. In the ~~three~~six months ended ~~March 31,~~June 30, 2022, cash flows provided by operations primarily resulted from changes in trading assets and liabilities and earnings. In the ~~three~~six months ended ~~March 31,~~June 30, 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.

Net cash used for investing activities was ~~$33.9~~$24.6 billion in the ~~three~~six months ended ~~March 31,~~June 30, 2022, compared with net cash provided by investing activities of ~~$4.7~~$3.9 billion in the ~~three~~six months ended ~~March 31,~~June 30, 2021. In the ~~three~~six months ended ~~March 31,~~June 30, 2022, net cash used for ~~investing activities~~

~~32 BNY Mellon~~

primarily reflects changes in interest-bearing deposits with the Federal Reserve and other central banks and changes in interest-bearing deposits with banks, partially offset by changes in federal funds sold and securities purchased under resale agreements. 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 federal funds sold and securities purchased under resale agreements. In the six months ended June 30, 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 net changes in loans and ~~net change~~changes in ~~loans.~~interest-bearing deposits with banks.

Net cash provided by financing activities was ~~$30.1~~$15.6 billion in the ~~three~~six months ended ~~March 31,~~June 30, 2022,

compared with net cash used for financing activities of ~~$1.5~~$3.5 billion in the ~~three~~six months ended ~~March 31,~~June 30, 2021. In the ~~three~~six months ended ~~March 31,~~June 30, 2022, net cash provided by financing activities primarily reflects changes in deposits ~~changes in payables to customers~~ and ~~broker-dealers and changes in federal funds purchased and securities sold under repurchase agreements.~~net proceeds from the issuance of long-term debt, partially offset by repayments of long-term debt. In the ~~three~~six months ended ~~March 31,~~June 30, 2021, net cash used for financing activities primarily reflects ~~changes in deposits,~~ repayments of long-term debt, ~~and~~changes in deposits, changes in payables to customers and broker-dealers and treasury stock acquired, partially offset by net proceeds from the issuance of long-term debt and changes in federal funds purchased and securities sold under repurchase agreements.

Capital


Capital data	Capital data	March 31, 2022				Dec. 31, 2021			Capital data	June 30, 2022			March 31, 2022			Dec. 31, 2021
(dollars in millions, except per share amounts; common shares in thousands)	(dollars in millions, except per share amounts; common shares in thousands)				Dec. 31, 2021				June 30, 2022

BNY Mellon shareholders’ equity to total assets ratio	BNY Mellon shareholders’ equity to total assets ratio	8.8		%						9.7		%	BNY Mellon shareholders’ equity to total assets ratio		9.1		%	8.8	%	9.7	%
BNY Mellon common shareholders’ equity to total assets ratio	BNY Mellon common shareholders’ equity to total assets ratio	7.8		%		8.6		%	BNY Mellon common shareholders’ equity to total assets ratio	8.0		%	7.8		%	8.6		%
Total BNY Mellon shareholders’ equity	Total BNY Mellon shareholders’ equity	$	41,799			$	43,034		Total BNY Mellon shareholders’ equity	$	40,984		$	41,799		$	43,034
Total BNY Mellon common shareholders’ equity	Total BNY Mellon common shareholders’ equity	$	36,961			$	38,196		Total BNY Mellon common shareholders’ equity	$	36,146		$	36,961		$	38,196
BNY Mellon tangible common shareholders’ equity – Non-GAAP (a)	BNY Mellon tangible common shareholders’ equity – Non-GAAP (a)	$	18,388			$	19,547		BNY Mellon tangible common shareholders’ equity – Non-GAAP (a)	$	17,796		$	18,388		$	19,547
Book value per common share	Book value per common share	$	45.76			$	47.50		Book value per common share	$	44.73		$	45.76		$	47.50
Tangible book value per common share – Non-GAAP (a)	Tangible book value per common share – Non-GAAP (a)	$	22.76			$	24.31		Tangible book value per common share – Non-GAAP (a)	$	22.02		$	22.76		$	24.31
Closing stock price per common share	Closing stock price per common share	$	49.63			$	58.08		Closing stock price per common share	$	41.71		$	49.63		$	58.08
Market capitalization	Market capitalization	$	40,091			$	46,705		Market capitalization	$	33,706		$	40,091		$	46,705
Common shares outstanding	Common shares outstanding	807,798				804,145			Common shares outstanding	808,103			807,798			804,145

Cash dividends per common share	Cash dividends per common share	$	0.34			$	0.34		Cash dividends per common share	$	0.34		$	0.34		$	0.34
Common dividend payout ratio	Common dividend payout ratio	40		%		34		%	Common dividend payout ratio	33		%	40		%	34		%
Common dividend yield	Common dividend yield	2.8		%		2.3		%	Common dividend yield	3.3		%	2.8		%	2.3		%

(a) See “Supplemental information – Explanation of GAAP and Non-GAAP financial measures” beginning on page 4145 for a reconciliation of GAAP to Non-GAAP.

The Bank of New York Mellon Corporation total shareholders’ equity decreased to ~~$41.8~~$41.0 billion at ~~March 31,~~June 30, 2022 from $43.0 billion at Dec. 31, 2021. The decrease primarily reflects unrealized losses on securities available-for-sale, foreign currency translation and dividend payments, partially offset by earnings.

The unrealized loss (after-tax) on our available-for-sale securities portfolio, net of hedges, included in accumulated other comprehensive income was ~~$1.1~~ $2.0

billion at ~~March 31,~~June 30, 2022, compared with an unrealized gain (after-tax), net of hedges, of $362 million at Dec. 31, 2021. The increase in the unrealized loss, net of tax, was primarily driven by higher market interest rates.

In the first ~~quarter~~six months of 2022, we repurchased ~~1.9~~2.0 million common shares at an average price of ~~$61.64~~$61.62 per common share for a total of ~~$118~~$121 million.

BNY Mellon 37

In July, our Board of Directors approved a 9% increase in the quarterly cash dividend on common stock, from $0.34 to $0.37 per share. The increased quarterly cash dividend is expected to be paid on Aug. 5, 2022.

Capital adequacy

Regulators establish certain levels of capital for bank holding companies (“BHCs”) and banks, including BNY Mellon and our bank subsidiaries, in accordance with established quantitative

~~BNY Mellon 33~~

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,~~June

30, 2022 and Dec. 31, 2021, 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 – Capital and Liquidity 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 2021 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 2021 Annual Report.

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


Consolidated and largest bank subsidiary regulatory capital ratios	Consolidated and largest bank subsidiary regulatory capital ratios	March 31, 2022									Dec. 31, 2021			Consolidated and largest bank subsidiary regulatory capital ratios	June 30, 2022									March 31, 2022				Dec. 31, 2021
		Well capitalized			Minimum required			Capital ratios			Capital ratios				Well capitalized			Minimum required		Capital ratios				Capital ratios				Capital ratios
							(a)			Capital ratios			Well capitalized				(a)
Consolidated regulatory capital ratios: (b)	Consolidated regulatory capital ratios: (b)													Consolidated regulatory capital ratios: (b)
Advanced Approaches:	Advanced Approaches:													Advanced Approaches:
CET1 ratio	CET1 ratio	N/A		(c)	8.5	%		10.4	%		11.4	%		CET1 ratio	N/A		(c)	8.5	%			10.0	%			10.4	%			11.4	%
Tier 1 capital ratio	Tier 1 capital ratio	6	%		10			13.2			14.2			Tier 1 capital ratio	6	%		10		12.8				13.2				14.2
Total capital ratio	Total capital ratio	10			12			13.9			15.0			Total capital ratio	10			12		13.6				13.9				15.0
Standardized Approach:	Standardized Approach:													Standardized Approach:
CET1 ratio	CET1 ratio	N/A		(c)	8.5	%		10.1	%		11.2	%		CET1 ratio	N/A		(c)	8.5	%	10.1	%			10.1	%			11.2	%
Tier 1 capital ratio	Tier 1 capital ratio	6	%		10			12.9			14.0			Tier 1 capital ratio	6	%		10		12.9				12.9				14.0
Total capital ratio	Total capital ratio	10			12			13.7			14.9			Total capital ratio	10			12		13.8				13.7				14.9
Tier 1 leverage ratio	Tier 1 leverage ratio	N/A		(c)	4			5.3			5.5			Tier 1 leverage ratio	N/A		(c)	4		5.2				5.3				5.5
SLR (d)	SLR (d)	N/A		(c)	5			6.2			6.6			SLR (d)	N/A		(c)	5		6.2				6.2				6.6

The Bank of New York Mellon regulatory capital ratios: (b)	The Bank of New York Mellon regulatory capital ratios: (b)													The Bank of New York Mellon regulatory capital ratios: (b)
Advanced Approaches:	Advanced Approaches:													Advanced Approaches:
CET1 ratio	CET1 ratio	6.5	%		7	%		15.1	%		16.5	%		CET1 ratio	6.5	%		7	%	14.4	%			15.1	%			16.5	%
Tier 1 capital ratio	Tier 1 capital ratio	8			8.5			15.1			16.5			Tier 1 capital ratio	8			8.5		14.4				15.1				16.5
Total capital ratio	Total capital ratio	10			10.5			15.1			16.5			Total capital ratio	10			10.5		14.5				15.1				16.5
Tier 1 leverage ratio	Tier 1 leverage ratio	5			4			5.9			6.0			Tier 1 leverage ratio	5			4		5.8				5.9				6.0
SLR (d)	SLR (d)	6			3			7.1			7.6			SLR (d)	6			3		7.2				7.1				7.6

(a) Minimum requirements for ~~March 31,~~June 30, 2022 include minimum thresholds plus currently applicable buffers. The U.S. global systemically important banks (“G-SIB”) surcharge is 1.5%. The countercyclical capital buffer is currently set to 0%. The 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.

(d) The SLR is based on Tier 1 capital and total leverage exposure, which includes certain off-balance sheet exposures.

38 BNY Mellon

Our CET1 ratio was ~~10.1%~~10.0% under the Advanced Approaches at ~~March 31,~~June 30, 2022 and 11.2% at Dec. 31, 2021 under the Standardized Approach. The decrease was primarily driven by unrealized losses on securities available-for-sale, ~~higher RWAs and~~foreign currency translation, capital deployed through ~~dividend payments,~~dividends and higher RWAs, partially offset by capital generated through earnings.

In the first quarter of 2022, we implemented the Standardized Approach for Counterparty Credit Risk (“SA-CCR”), which replaced the current exposure method used to measure derivative counterparty exposure. This resulted in increases to the RWA of $4 billion for the Advanced Approaches and $6 billion for the Standardized Approach, as well as an

~~34 BNY Mellon~~

increase of $8 billion in the total leverage exposure used for the ~~SLR.~~SLR at March 31, 2022.

Tier 1 leverage ratio was ~~5.3%~~5.2% at ~~March 31,~~June 30, 2022, compared with 5.5% at Dec. 31, 2021. The decrease reflects the decrease in capital, partially offset by lower average assets.

Risk-based capital ratios vary depending on the size of the balance sheet at period-end and the levels and types of investments in assets, and leverage ratios vary based on the average size of the balance sheet over the quarter. 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.

The following table presents our capital components and RWAs.


Capital components and risk-weighted assets	Capital components and risk-weighted assets						Capital components and risk-weighted assets
		March 31, 2022			Dec. 31, 2021			June 30, 2022		March 31, 2022			Dec. 31, 2021
(in millions)	(in millions)			Dec. 31, 2021			June 30, 2022
CET1:	CET1:
Common shareholders’ equity	Common shareholders’ equity	$	36,961					$	38,196	Common shareholders’ equity		$	36,146		$	36,961	$	38,196
Adjustments for:	Adjustments for:						Adjustments for:
Goodwill and intangible assets (a)	Goodwill and intangible assets (a)	(18,573)			(18,649)		Goodwill and intangible assets (a)	(18,350)		(18,573)			(18,649)
Net pension fund assets	Net pension fund assets	(410)			(400)		Net pension fund assets	(388)		(410)			(400)
Equity method investments		(301)			(300)
Embedded goodwill							Embedded goodwill	(291)		(301)			(300)
Deferred tax assets	Deferred tax assets	(55)			(55)		Deferred tax assets	(53)		(55)			(55)
Other	Other	(43)			(46)		Other	3		(43)			(46)
Total CET1	Total CET1	17,579			18,746		Total CET1	17,067		17,579			18,746
Other Tier 1 capital:	Other Tier 1 capital:						Other Tier 1 capital:
Preferred stock	Preferred stock	4,838			4,838		Preferred stock	4,838		4,838			4,838
Other	Other	(82)			(99)		Other	(81)		(82)			(99)
Total Tier 1 capital	Total Tier 1 capital	$	22,335		$	23,485	Total Tier 1 capital	$	21,824	$	22,335		$	23,485
Tier 2 capital:	Tier 2 capital:						Tier 2 capital:
Subordinated debt	Subordinated debt	$	1,248		$	1,248	Subordinated debt	$	1,248	$	1,248		$	1,248
Allowance for credit losses	Allowance for credit losses	253			250		Allowance for credit losses	300		253			250
Other	Other	(1)			(11)		Other	(6)		(1)			(11)
Total Tier 2 capital – Standardized Approach	Total Tier 2 capital – Standardized Approach	1,500			1,487		Total Tier 2 capital – Standardized Approach	1,542		1,500			1,487

Excess of expected credit losses							Excess of expected credit losses	46		—			—
Less: Allowance for credit losses	Less: Allowance for credit losses	253			250		Less: Allowance for credit losses	300		253			250
Total Tier 2 capital – Advanced Approaches	Total Tier 2 capital – Advanced Approaches	$	1,247		$	1,237	Total Tier 2 capital – Advanced Approaches	$	1,288	$	1,247		$	1,237
Total capital:	Total capital:						Total capital:
Standardized Approach	Standardized Approach	$	23,835		$	24,972	Standardized Approach	$	23,366	$	23,835		$	24,972
Advanced Approaches	Advanced Approaches	$	23,582		$	24,722	Advanced Approaches	$	23,112	$	23,582		$	24,722

Risk-weighted assets:	Risk-weighted assets:						Risk-weighted assets:
Standardized Approach	Standardized Approach	$	173,629		$	167,608	Standardized Approach	$	169,710	$	173,629		$	167,608
Advanced Approaches:	Advanced Approaches:						Advanced Approaches:
Credit Risk	Credit Risk	$	102,049		$	98,310	Credit Risk	$	97,703	$	102,049		$	98,310
Market Risk	Market Risk	2,942			3,069		Market Risk	3,541		2,942			3,069
Operational Risk	Operational Risk	64,100			63,688		Operational Risk	68,675		64,100			63,688
Total Advanced Approaches	Total Advanced Approaches	$	169,091		$	165,067	Total Advanced Approaches	$	169,919	$	169,091		$	165,067

Average assets for Tier 1 leverage ratio	Average assets for Tier 1 leverage ratio	$	420,778		$	430,102	Average assets for Tier 1 leverage ratio	$	418,467	$	420,778		$	430,102
Total leverage exposure for SLR	Total leverage exposure for SLR	$	361,464		$	354,033	Total leverage exposure for SLR	$	351,552	$	361,464		$	354,033

(a) Reduced by deferred tax liabilities associated with intangible assets and tax-deductible goodwill.

BNY Mellon 3539

The table below presents the factors that impacted CET1 capital.


CET1 generation	~~1Q22~~2Q22
(in millions)
CET1 – Beginning of period	$	~~18,746~~17,579
Net income applicable to common shareholders of The Bank of New York Mellon Corporation	~~699~~835
Goodwill and intangible assets, net of related deferred tax liabilities	76223
Gross CET1 generated	~~775~~1,058
Capital deployed:
Common stock dividends (a)	~~(278)~~(279)
Common stock repurchases	~~(118)~~(3)
Total capital deployed	~~(396)~~(282)
Other comprehensive loss:
Unrealized loss on assets available-for-sale	~~(1,534)~~(882)
Foreign currency translation	~~(150)~~(552)
Unrealized loss on cash flow hedges	~~(2)~~(5)
Defined benefit plans	1813

Total other comprehensive loss	~~(1,668)~~(1,426)
Additional paid-in capital (b)	~~130~~58
Other ~~additions (deductions):~~additions:
Net pension fund assets	~~(10)~~22
Embedded goodwill	~~(1)~~10
Deferred tax assets	2
Other	346
Total other ~~deductions~~additions	~~(8)~~80
Net CET1 deployed	~~(1,167)~~(512)
CET1 – End of period	$	~~17,579~~17,067

(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,~~June 30, 2022 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, 2022
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 6 bps 6 bps
Advanced Approaches 6 6
Tier 1 capital:
Standardized Approach 6 7
Advanced Approaches 6 8
Total capital:
Standardized Approach 6 8
Advanced Approaches 6 8
Tier 1 leverage 2 1
SLR 3 2


Sensitivity of consolidated capital ratios at June 30, 2022
	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	6	bps	6	bps
Advanced Approaches	6		6

Tier 1 capital:
Standardized Approach	6		8
Advanced Approaches	6		8

Total capital:
Standardized Approach	6		8
Advanced Approaches	6		8

Tier 1 leverage	2		1

SLR	3		2

Stress capital buffer

In August 2021, the Federal Reserve announced that BNY Mellon’s SCB requirement would be 2.5%, equal to the regulatory floor, effective as of Oct. 1, 2021. The SCB replaced the static 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. In June 2022, the Federal Reserve notified BNY Mellon that its SCB requirement will remain at 2.5%, effective from Oct. 1, 2022. See “Recent Regulatory Developments” in this Form 10-Q and “Supervision and Regulation” in our 2021 Annual Report for additional information.

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.

Total Loss-Absorbing Capacity (“TLAC”)

The following summarizes the minimum requirements for BNY Mellon’s external TLAC and external long-term debt (“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 ratios	Regulatory 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.

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

40 BNY Mellon

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

~~36 BNY Mellon~~

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 ratios	TLAC and LTD ratios	March 31, 2022						TLAC and LTD ratios	June 30, 2022
		Minimum required		Minimum ratios with buffers					Minimum required		Minimum ratios with buffers
						Ratios							Ratios
Eligible external TLAC:	Eligible external TLAC:							Eligible external TLAC:
As a percentage of RWA	As a percentage of RWA	18.0	%	21.5	%	26.1	%	As a percentage of RWA	18.0	%	21.5	%	27.5	%
As a percentage of total leverage exposure	As a percentage of total leverage exposure	7.5	%	9.5	%	12.5	%	As a percentage of total leverage exposure	7.5	%	9.5	%	13.3	%

Eligible external LTD:	Eligible external LTD:							Eligible external LTD:
As a percentage of RWA	As a percentage of RWA	7.5	%	N/A		11.5	%	As a percentage of RWA	7.5	%	N/A		13.0	%
As a percentage of total leverage exposure	As a percentage of total leverage exposure	4.5	%	N/A		5.5	%	As a percentage of total leverage exposure	4.5	%	N/A		6.3	%

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.

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)	2Q22						June 30, 2022
(in millions)	Average		Minimum		Maximum
Interest rate	$	5.8	$	4.0	$	9.3	$	6.5
Foreign exchange	3.7		2.7		10.2		3.3
Equity	0.4		0.2		0.9		0.3
Credit	1.7		1.0		3.8		1.8
Diversification	(4.7)		N/M		N/M		(4.7)
Overall portfolio	6.9		4.7		11.4		7.2


VaR (a)	1Q22						March 31, 2022
(in millions)	Average		Minimum		Maximum
Interest rate	$	3.4	$	1.6	$	6.9	$	4.3
Foreign exchange	3.3		2.2		6.0		3.6
Equity	0.2		—		0.5		0.2
Credit	2.2		1.5		3.3		2.0
Diversification	(4.2)		N/M		N/M		(3.9)
Overall portfolio	4.9		2.8		8.1		6.2


VaR (a)	VaR (a)	4Q21						Dec. 31, 2021		VaR (a)	2Q21						June 30, 2021
(in millions)	(in millions)	Average		Minimum		Maximum				(in millions)	Average		Minimum		Maximum
Interest rate	Interest rate	$	2.1	$	1.5	$	3.5	$	1.7	Interest rate	$	2.2	$	1.6	$	2.7	$	1.9
Foreign exchange	Foreign exchange	2.6		1.9		4.1		2.7		Foreign exchange	2.6		1.9		3.7		2.3
Equity	Equity	0.1		—		0.4		0.1		Equity	0.1		—		0.3		0.2
Credit	Credit	1.6		1.2		2.3		1.7		Credit	1.8		1.4		2.6		2.0
Diversification	Diversification	(2.9)		N/M				(2.7)		Diversification	(3.7)		N/M				(3.5)
Overall portfolio	Overall portfolio	3.5		2.7		5.1		3.5		Overall portfolio	3.0		2.5		4.5		2.9

BNY Mellon 41


VaR (a)	YTD22
(in millions)	Average		Minimum		Maximum
Interest rate	$	4.6	$	1.6	$	9.3
Foreign exchange	3.5		2.2		10.2
Equity	0.3		—		0.9
Credit	2.0		1.0		3.8
Diversification	(4.5)		N/M		N/M
Overall portfolio	5.9		2.8		11.4


VaR (a)	VaR (a)	1Q21						March 31, 2021		VaR (a)	YTD21
(in millions)	(in millions)	Average		Minimum		Maximum				(in millions)	Average		Minimum		Maximum
Interest rate	Interest rate	$	2.1	$	1.6	$	2.7	$	2.5	Interest rate	$	2.1	$	1.6	$	2.7
Foreign exchange	Foreign exchange	2.7		2.2		3.9		3.0		Foreign exchange	2.7		1.9		3.9
Equity	Equity	0.1		0.1		0.9		0.1		Equity	0.1		—		0.9
Credit	Credit	1.8		1.3		2.8		2.2		Credit	1.8		1.3		2.8
Diversification	Diversification	(3.5)		N/M				(4.3)		Diversification	(3.6)		N/M
Overall portfolio	Overall portfolio	3.2		2.5		4.9		3.5		Overall portfolio	3.1		2.5		4.9

(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.

~~BNY Mellon 37~~

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, single

issuer credit default swaps, securities 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~~second quarter of 2022, interest rate risk generated ~~38%~~50% of average gross VaR, foreign exchange risk generated ~~36%~~32% of average gross VaR, equity risk generated 2%3% of average gross VaR and credit risk generated ~~24%~~15% of average gross VaR. During the ~~first~~second quarter of 2022, our daily trading loss ~~exceeded~~did not exceed our calculated VaR amount of the overall ~~portfolio on one occasion.~~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)	Distribution of trading revenue (loss) (a)						Distribution of trading revenue (loss) (a)
		Quarter ended						Quarter ended
(dollars in millions)	(dollars in millions)	March 31, 2022	Dec. 31, 2021	Sept. 30, 2021	June 30, 2021	March 31, 2021	(dollars in millions)	June 30, 2022	March 31, 2022	Dec. 31, 2021	Sept. 30, 2021	June 30, 2021
													(dollars in millions)	June 30, 2022	March 31, 2022	Dec. 31, 2021	Sept. 30, 2021	June 30, 2021
Revenue range:	Revenue range:	Number of days					Revenue range:	Number of days
Less than $(2.5)	Less than $(2.5)	1	—	—	—	—	Less than $(2.5)	1	1	—	—	—
$(2.5) – $0	$(2.5) – $0	8	3	2	7	6	$(2.5) – $0	4	8	3	2	7
$0 – $2.5	$0 – $2.5	12	27	23	22	17	$0 – $2.5	10	12	27	23	22
$2.5 – $5.0	$2.5 – $5.0	23	21	30	25	21	$2.5 – $5.0	24	23	21	30	25
More than $5.0	More than $5.0	18	12	9	10	17	More than $5.0	24	18	12	9	10

(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 ~~$14.7~~$10.8 billion at ~~March 31,~~June 30, 2022 and $16.6 billion at Dec. 31, 2021.

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 $5.6 billion at ~~March 31,~~June 30, 2022 and $5.5 billion at Dec. 31, 2021.

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,

42 BNY Mellon

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,~~June 30, 2022, our OTC derivative assets, including those in hedging relationships, of ~~$2.4~~$3.6 billion included a credit valuation adjustment (“CVA”) deduction of ~~$25~~$23 million. Our OTC derivative liabilities, including those in hedging relationships, of ~~$3.3~~$2.4 billion included a debit valuation adjustment (“DVA”) of $2$4 million related to our own credit spread. Net of hedges, the CVA ~~increased~~decreased by ~~less than~~ $1 million and the DVA ~~was unchanged~~increased by $1 million in the ~~first~~second quarter of 2022, which increased investment and other revenue - other trading revenue by $2 million. The net impact decreased investment and other revenue - other trading revenue by less than $1 ~~million. The net~~

~~38 BNY Mellon~~

~~impact decreased~~million in the first quarter of 2022 and increased investment and other revenue - other trading revenue by $1 million in the ~~fourth quarter of 2021 and first~~second quarter of 2021.

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. ~~Exposure~~Total exposure to foreign exchange and interest rate derivative counterparties with an A+ to A- rating, and in the aggregate, increased at ~~March 31,~~June 30, 2022 compared with ~~March 31, 2021 and Dec. 31,~~June 30, 2021.


Foreign exchange and other trading counterparty risk rating profile (a)	Foreign exchange and other trading counterparty risk rating profile (a)											Foreign exchange and other trading counterparty risk rating profile (a)
		Quarter ended											Quarter ended
		March 31, 2022		Dec. 31, 2021		Sept. 30, 2021		June 30, 2021		March 31, 2021			June 30, 2022		March 31, 2022		Dec. 31, 2021		Sept. 30, 2021		June 30, 2021

Rating:	Rating:												Rating:
AAA to AA-	AAA to AA-	39	%	51	%	52	%	52	%	45	%	AAA to AA-	36	%	39	%	51	%	52	%	52	%
A+ to A-	A+ to A-	47		27		17		19		26		A+ to A-	44		47		27		17		19
BBB+ to BBB-	BBB+ to BBB-	11		18		25		24		22		BBB+ to BBB-	14		11		18		25		24
BB+ and lower (b)	BB+ and lower (b)	3		4		6		5		7		BB+ and lower (b)	6		3		4		6		5
Total	Total	100	%	100	%	100	%	100	%	100	%	Total	100	%	100	%	100	%	100	%	100	%

(a) Represents credit rating agency equivalent of internal credit ratings.

(b) Non-investment grade.

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 between a baseline scenario and hypothetical interest rate scenarios. 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 baseline scenario incorporates the market’s forward rate expectations and management’s assumptions regarding client deposit rates, credit spreads, changes in the prepayment behavior of loans and securities and the impact of derivative financial instruments used for interest rate risk management purposes as of ~~March 31,~~June 30, 2022. 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. Client deposit levels and mix are key assumptions impacting net interest revenue in the baseline as well as the hypothetical interest rate scenarios. The earnings simulation model assumes static deposit levels and mix and it also assumes that no management actions will be taken to mitigate the effects of interest rate changes. Typically, the baseline scenario uses the average deposit balances of the quarter.

In the table below, we use the earnings simulation model to assess the impact of various hypothetical interest rate scenarios compared to the baseline scenario. Beginning in the third quarter of 2021, we have refined our scenario analysis by replacing gradual rate ramp scenarios with scenarios that reflect the impact of instantaneous interest rate shock movements. In each of the scenarios, all currencies’ interest rates are instantaneously shifted higher or lower. The scenarios assume instantaneous rate changes at the start of the forecast. Long-term interest rates are defined as all tenors equal to or

BNY Mellon 43

greater than three years and short-term interest rates are defined as all tenors equal to or less than three months. Interim term points are interpolated where applicable. The ~~refined~~ scenarios are intended to provide information on a basis that is consistent with industry practice.

The following table shows net interest revenue sensitivity for BNY Mellon. ~~The sensitivity for March 31, 2021 has been updated to reflect the impact of instantaneous interest rate shock movements.~~

~~BNY Mellon 39~~


Estimated changes in net interest revenue (in millions)	Estimated changes in net interest revenue (in millions)	March 31, 2022		Dec. 31, 2021		March 31, 2021		Estimated changes in net interest revenue (in millions)	June 30, 2022		March 31, 2022		June 30, 2021
Up 100 bps rate shock vs. baseline	Up 100 bps rate shock vs. baseline	$	268	$	688	$	930	Up 100 bps rate shock vs. baseline	$	161	$	268	$	857
Long-term up 100 bps, short-term unchanged	Long-term up 100 bps, short-term unchanged	24		204		215		Long-term up 100 bps, short-term unchanged	42		24		214
Short-term up 100 bps, long-term unchanged	Short-term up 100 bps, long-term unchanged	245		483		714		Short-term up 100 bps, long-term unchanged	119		245		643
Long-term down 50 bps, short-term unchanged	Long-term down 50 bps, short-term unchanged	(20)		(98)		(103)		Long-term down 50 bps, short-term unchanged	(18)		(20)		(113)
Down 100 bps rate shock vs. baseline	Down 100 bps rate shock vs. baseline	(315)		392		652		Down 100 bps rate shock vs. baseline	(370)		(315)		648

The ~~decreases~~decrease in nearly all of the rate sensitivities compared with ~~Dec.~~March 31, ~~2021 are~~2022 was primarily due to a higher baseline scenario, driven by ~~the forecasted difference in asset yield changes versus deposit rate changes given the anticipated interest rate increases and~~ higher ~~net interest revenue in the baseline scenario.~~market rates.

While the net interest revenue sensitivity scenario 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~~deposits would run off in a rising short-term rate environment. Noninterest-bearing deposits are particularly sensitive to changes in short-term rates.

To illustrate the net interest revenue sensitivity to deposit run-off, we ~~note~~estimate that a $5 billion instantaneous reduction of U.S. dollar denominated noninterest-bearing deposits would reduce the net interest revenue sensitivity results in the up 100 basis point scenario compared with the baseline in the table above by approximately ~~$140~~$205 million. The impact would be smaller if the run-off was assumed to be a mixture of interest-bearing and noninterest-bearing deposits.

Additionally, given the continued low short-term interest rates, money market mutual fund fees and other similar fees are being waived to protect investors from negative returns. See “Fee and other revenue” beginning on page 6 ~~for additional details on the impact of money market fee waivers on fee revenues.~~

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 2021 Annual Report.

4044 BNY Mellon

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 – Non-GAAP 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 – Non-GAAP 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 presented pre-tax operating margin, excluding an increase in litigation reserves for the Securities Services business segment. This measure is provided to permit investors to view the financial measures on a basis consistent with how management views the businesses.

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 segment, 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 segment 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 reconciliation	Return on common equity and tangible common equity reconciliation	1Q22			4Q21			1Q21						Return on common equity and tangible common equity reconciliation	2Q22			1Q22			2Q21			YTD22			YTD21
(dollars in millions)	(dollars in millions)										(dollars in millions)	2Q22	1Q22
Net income applicable to common shareholders of The Bank of New York Mellon Corporation – GAAP	Net income applicable to common shareholders of The Bank of New York Mellon Corporation – GAAP	$	699		$	822		$	858						$	835		$	699		$	991		$	1,534		$	1,849
Add: Amortization of intangible assets	Add: Amortization of intangible assets	17			19			24						Add: Amortization of intangible assets	17			17			20			34			44
Less: Tax impact of amortization of intangible assets	Less: Tax impact of amortization of intangible assets	4			5			6						Less: Tax impact of amortization of intangible assets	4			4			5			8			11
Adjusted net income applicable to common shareholders of The Bank of New York Mellon Corporation, excluding amortization of intangible assets – Non-GAAP	Adjusted net income applicable to common shareholders of The Bank of New York Mellon Corporation, excluding amortization of intangible assets – Non-GAAP	$	712		$	836		$	876					Adjusted net income applicable to common shareholders of The Bank of New York Mellon Corporation, excluding amortization of intangible assets – Non-GAAP	$	848		$	712		$	1,006		$	1,560		$	1,882

Average common shareholders’ equity	Average common shareholders’ equity	$	37,363		$	37,941		$	40,720					Average common shareholders’ equity	$	36,199		$	37,363		$	40,393		$	36,778		$	40,556
Less: Average goodwill	Less: Average goodwill	17,490			17,481			17,494						Less: Average goodwill	17,347			17,490			17,517			17,418			17,506
Average intangible assets	Average intangible assets	2,979			2,988			3,000						Average intangible assets	2,949			2,979			2,975			2,964			2,987
Add: Deferred tax liability – tax deductible goodwill	Add: Deferred tax liability – tax deductible goodwill	1,184			1,178			1,153						Add: Deferred tax liability – tax deductible goodwill	1,187			1,184			1,163			1,187			1,163
Deferred tax liability – intangible assets	Deferred tax liability – intangible assets	673			676			665						Deferred tax liability – intangible assets	668			673			675			668			675
Average tangible common shareholders’ equity – Non-GAAP	Average tangible common shareholders’ equity – Non-GAAP	$	18,751		$	19,326		$	22,044					Average tangible common shareholders’ equity – Non-GAAP	$	17,758		$	18,751		$	21,739		$	18,251		$	21,901

Return on common shareholders’ equity – GAAP		7.6		%	8.6		%	8.5		%
Return on tangible common shareholders’ equity – Non-GAAP		15.4		%	17.2		%	16.1		%
Return on common equity (annualized) – GAAP														Return on common equity (annualized) – GAAP	9.3		%	7.6		%	9.8		%	8.4		%	9.2		%
Return on tangible common equity (annualized) – Non-GAAP														Return on tangible common equity (annualized) – Non-GAAP	19.2		%	15.4		%	18.6		%	17.2		%	17.3		%

BNY Mellon 4145

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 reconciliation	Book value and tangible book value per common share reconciliation	March 31, 2022		Dec. 31, 2021		March 31, 2021					Book value and tangible book value per common share reconciliation	June 30, 2022		March 31, 2022		Dec. 31, 2021		June 30, 2021
(dollars in millions, except per share amounts and unless otherwise noted)	(dollars in millions, except per share amounts and unless otherwise noted)							(dollars in millions, except per share amounts and unless otherwise noted)		June 30, 2022
BNY Mellon shareholders’ equity at period end – GAAP	BNY Mellon shareholders’ equity at period end – GAAP	$	41,799	$	43,034			$	44,954					$	40,984	$	41,799	$	43,034	$	45,281
Less: Preferred stock	Less: Preferred stock	4,838		4,838		4,541					Less: Preferred stock	4,838		4,838		4,838		4,541
BNY Mellon common shareholders’ equity at period end – GAAP	BNY Mellon common shareholders’ equity at period end – GAAP	36,961		38,196		40,413					BNY Mellon common shareholders’ equity at period end – GAAP	36,146		36,961		38,196		40,740
Less: Goodwill	Less: Goodwill	17,462		17,512		17,469					Less: Goodwill	17,271		17,462		17,512		17,487
Intangible assets	Intangible assets	2,968		2,991		2,983					Intangible assets	2,934		2,968		2,991		2,964
Add: Deferred tax liability – tax deductible goodwill	Add: Deferred tax liability – tax deductible goodwill	1,184		1,178		1,153					Add: Deferred tax liability – tax deductible goodwill	1,187		1,184		1,178		1,163
Deferred tax liability – intangible assets	Deferred tax liability – intangible assets	673		676		665					Deferred tax liability – intangible assets	668		673		676		675
BNY Mellon tangible common shareholders’ equity at period end – Non-GAAP	BNY Mellon tangible common shareholders’ equity at period end – Non-GAAP	$	18,388	$	19,547	$	21,779				BNY Mellon tangible common shareholders’ equity at period end – Non-GAAP	$	17,796	$	18,388	$	19,547	$	22,127

Period-end common shares outstanding (in thousands)	Period-end common shares outstanding (in thousands)	807,798		804,145		875,481					Period-end common shares outstanding (in thousands)	808,103		807,798		804,145		863,174

Book value per common share – GAAP	Book value per common share – GAAP	$	45.76	$	47.50	$	46.16				Book value per common share – GAAP	$	44.73	$	45.76	$	47.50	$	47.20
Tangible book value per common share – Non-GAAP	Tangible book value per common share – Non-GAAP	$	22.76	$	24.31	$	24.88				Tangible book value per common share – Non-GAAP	$	22.02	$	22.76	$	24.31	$	25.64

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


Constant currency reconciliation – Consolidated	Constant currency reconciliation – Consolidated	1Q22		1Q21		1Q22 vs.		Constant currency reconciliation – Consolidated	2Q22		2Q21		2Q22 vs.
(dollars in millions)	(dollars in millions)					1Q21		(dollars in millions)					2Q21
Investment management and performance fees – GAAP	Investment management and performance fees – GAAP	$	883	$	890	(1)	%	Investment management and performance fees – GAAP	$	833	$	889	(6)	%
Impact of changes in foreign currency exchange rates	Impact of changes in foreign currency exchange rates	—		(15)				Impact of changes in foreign currency exchange rates	—		(33)
Adjusted investment management and performance fees – Non-GAAP	Adjusted investment management and performance fees – Non-GAAP	$	883	$	875	1	%	Adjusted investment management and performance fees – Non-GAAP	$	833	$	856	(3)	%

The following table presents the reconciliation of the pre-tax operating margin for the Securities Services business segment.


Pre-tax operating margin reconciliation – Securities Services business segment
(dollars in millions)	2Q22
Income before income taxes – GAAP	$	337
Add: Increase in litigation reserves	92
Adjusted income before income taxes, excluding increase in litigation reserves – Non-GAAP	$	429

Total revenue – GAAP	$	2,006

Pre-tax operating margin - GAAP (a)	17		%
Adjusted pre-tax operating margin, excluding increase in litigation reserves – Non-GAAP	21		%

(a) Income before taxes divided by total revenue.

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 segment.


Constant currency reconciliation – Investment and Wealth Management business segment	Constant currency reconciliation – Investment and Wealth Management business segment					1Q22 vs.		Constant currency reconciliation – Investment and Wealth Management business segment					2Q22 vs.
(dollars in millions)	(dollars in millions)	1Q22		1Q21		1Q21		(dollars in millions)	2Q22		2Q21		2Q21
Investment management and performance fees – GAAP	Investment management and performance fees – GAAP	$	882	$	890	(1)	%	Investment management and performance fees – GAAP	$	830	$	890	(7)	%
Impact of changes in foreign currency exchange rates	Impact of changes in foreign currency exchange rates	—		(15)				Impact of changes in foreign currency exchange rates	—		(33)
Adjusted investment management and performance fees – Non-GAAP	Adjusted investment management and performance fees – Non-GAAP	$	882	$	875	1	%	Adjusted investment management and performance fees – Non-GAAP	$	830	$	857	(3)	%

46 BNY Mellon

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


Pre-tax operating margin reconciliation – Investment and Wealth Management business segment	Pre-tax operating margin reconciliation – Investment and Wealth Management business segment																Pre-tax operating margin reconciliation – Investment and Wealth Management business segment
(dollars in millions)	(dollars in millions)	1Q22			4Q21			3Q21			2Q21			1Q21			(dollars in millions)	2Q22			1Q22			4Q21			3Q21			2Q21			YTD22			YTD21
Income before income taxes – GAAP	Income before income taxes – GAAP	$	212		$	278		$	348		$	326		$	278		Income before income taxes – GAAP	$	208		$	212		$	278		$	348		$	326		$	420		$	604

Total revenue – GAAP	Total revenue – GAAP	$	964		$	1,020		$	1,032		$	999		$	991		Total revenue – GAAP	$	899		$	964		$	1,020		$	1,032		$	999		$	1,863		$	1,990
Less: Distribution and servicing expense	Less: Distribution and servicing expense	79			75			76			74			75			Less: Distribution and servicing expense	91			79			75			76			74			170			149
Adjusted total revenue, net of distribution and servicing expense – Non-GAAP	Adjusted total revenue, net of distribution and servicing expense – Non-GAAP	$	885		$	945		$	956		$	925		$	916		Adjusted total revenue, net of distribution and servicing expense – Non-GAAP	$	808		$	885		$	945		$	956		$	925		$	1,693		$	1,841

Pre-tax operating margin – GAAP (a)	Pre-tax operating margin – GAAP (a)	22		%	27		%	34		%	33		%	28		%	Pre-tax operating margin – GAAP (a)	23		%	22		%	27		%	34		%	33		%	23		%	30		%
Adjusted pre-tax operating margin, net of distribution and servicing expense – Non-GAAP (a)	Adjusted pre-tax operating margin, net of distribution and servicing expense – Non-GAAP (a)	24		%	29		%	36		%	35		%	30		%	Adjusted pre-tax operating margin, net of distribution and servicing expense – Non-GAAP (a)	26		%	24		%	29		%	36		%	35		%	25		%	33		%

(a) Income before taxes divided by total revenue.

~~42 BNY Mellon~~

Recent accounting and regulatory developments

Recent accounting developments

The following accounting guidance issued by the Financial Accounting Standards Board (“FASB”) and Securities and Exchange Commission (“SEC”) staff has not yet been adopted as of ~~March 31,~~June 30, 2022.

Accounting Standards Update (“ASU”) 2022-01, Derivatives and Hedging (Topic 815): Fair Value Hedging – Portfolio Layer Method

In March 2022, the FASB issued ASU 2022-01, Derivatives and Hedging (Topic 815): Fair Value Hedging – Portfolio Layer Method, which provides guidance that expands the ability to hedge interest rate risk by permitting the use of multiple hedged layers of a single closed portfolio of assets and will (1) Allow multiple layer hedging within the same closed portfolio, (2) Expand the scope of the portfolio layer method to include non-prepayable assets, (3) Expand the eligible hedging instruments to be utilized in a single-layer hedge, and (4) Permit held-to-maturity debt securities to be transferred to available-for-sale at the date of adoption, provided such transferred securities are designated in a portfolio layer method hedge within 30 days of the adoption date.

The standard also provides further guidance and disclosure requirements with respect to hedge basis adjustments related to portfolio layer method hedges.

BNY Mellon is currently evaluating this guidance. This ASU is effective Jan. 1, 2023 with early adoption permitted.

ASU 2022-02, Financial Instruments – Credit Losses (Topic 326): Troubled Debt Restructurings and Vintage Disclosures

In March 2022, the FASB issued ASU 2022-02, Financial Instruments – Credit Losses (Topic 326): Troubled Debt Restructurings and Vintage Disclosures, which provides post-implementation guidance related to the adoption of ASU 2016-13,

Financial Instruments – Credit Losses: Measurement of Credit Losses on Financial Instruments, which was effective Jan. 1, 2020. This ASU amends the guidance related to two issues: Troubled Debt Restructurings (“TDRs”) and disclosure requirements for the credit profile of the loan portfolio.

This ASU eliminates the accounting guidance for TDRs by creditors, while enhancing disclosure requirements for certain loan refinancings and restructurings by creditors when a borrower is experiencing financial difficulty. An entity must apply the loan refinancing and restructuring guidance to determine whether a modification results in a new loan or a continuation of an existing loan.

This ASU also requires that an entity disclose current-period gross write-offs by year of origination for financing receivables and net investments in leases within the scope of Subtopic 326-20, Financial Instruments – Credit Losses – Measured at Amortized Cost.

BNY Mellon 47

We are currently evaluating this guidance. The ASU is effective Jan. 1, 2023 with early adoption permitted.

Staff Accounting Bulletin No. 121

In March 2022, the SEC staff released Staff Accounting Bulletin No. 121 (“SAB 121”). SAB 121 expresses the staff’s views regarding the accounting for entities that have obligations to safeguard “crypto-assets” held for their platform users. SAB 121 provides that these entities should present a liability and corresponding asset in respect of the crypto-assets safeguarded for their platform users, with the liability and asset measured at the fair value of the crypto-assets. This differs from the accounting treatment of non-crypto-assets held in custody, which ~~are~~do not result in assets recorded on a custodian’s balance sheet. This guidance iswas effective for interim and annual periods ending after June 15, 2022 with retrospective application as of the beginning of the fiscal year to which the interim or annual period relates. Currently, BNY Mellon does not hold in custody any assets that would be impacted by the standards of SAB 121. We ~~will evaluate~~are currently evaluating the applicability and impact of SAB 121 to our digital asset custody initiatives.

~~BNY Mellon 43~~

Recent regulatory developments

For a summary of additional regulatory matters relevant to our operations, see “Recent regulatory developments” in our Form 10-Q for the quarter ended March 31, 2022, and “Supervision and Regulation” in our 2021 Annual Report. The following discussions summarize certain regulatory, legislative and other developments that may affect BNY Mellon.

~~Proposed Climate-Related Disclosure Rules~~Federal Reserve Stress Test 2022 Results

On ~~March 21,~~June 23, 2022, the Federal Reserve released the results of its stress tests for 2022. The Federal Reserve also notified BNY Mellon that its indicative SCB requirement for the present stress test cycle will be 2.5%, which equals the regulatory floor. BNY Mellon expects that its final SCB will be confirmed later in 2022. The SCB will be effective on Oct. 1, 2022.

Consistent with the SCB framework, BNY Mellon increased its quarterly common stock dividend to $0.37 per share in the third quarter of 2022.

Securities and Exchange Commission (“SEC”) Proposed Amendments to Disclosure, Naming and Investment Practices Rules for Funds and Advisers

On May 25, 2022, the SEC proposed ~~climate related-disclosure~~for public comment a framework requiring certain registered investment companies (“RICs”), including mutual funds, closed end funds and exchange-traded funds, that consider environmental, social and governance (“ESG”) factors in their investment process to provide additional disclosures in their registration statements and shareholder reports. The disclosure requirements would vary depending on the fund’s investment strategy. The SEC also proposed similar amendments to the disclosure requirements for registered investment advisers (“RIAs”) that consider ESG factors as part of their advisory business. Specifically, the proposal would ~~among other things,~~ require ~~disclosure~~RIAs to provide a description of ~~direct~~the ESG factors they consider in providing advisory services and indirect greenhouse gas emissions, with certain emissions disclosures subject to third-party attestation requirements; climate-related scenario analysis (if the issuer conducts scenario analysis), together with qualitative and quantitative information about the hypothetical future climate scenarios used in its analysis; climate transition plans or climate-related targets or goals, along with disclosure of progress against any such plans, targets or goals; climate-related risks over the short-, medium- and long-term; qualitative and quantitative information regarding climate-related risks and historical impacts in audited financial statements; corporate governance of climate-related risks; and climate-related risk-management processes. Wehow they are ~~assessing the potential impacts of this proposal.~~incorporated when formulating investment advice.

~~Proposed Cybersecurity Disclosure Rules~~

~~On March 9,~~Also on May 25, 2022, the SEC ~~published~~ proposed ~~disclosure rules and~~for comment amendments regarding cybersecurity risk management, governance and incident reporting by public companies. Under the proposal, public companies, including The Bank of New York Mellon Corporation, would be required to ~~file an 8-K within 4 business days of determining that it had suffered a material cybersecurity incident.~~RIC naming convention rules. The proposal ~~also includes disclosure requirements regarding policies~~would expand the scope of terms that the SEC considers materially deceptive and ~~procedures for~~misleading in a RIC’s name without a corresponding policy to invest at least 80% of the ~~identification and management of cybersecurity risks, oversight~~fund’s net asset value (plus certain borrowings) in the manner suggested by the ~~Board~~fund’s name (“80% Policy”). The proposal would require an 80% Policy for a RIC with a name that indicates that the fund’s investment decisions incorporate one or more ESG factors and ~~management over cybersecurity risks, and Board member expertise~~for any fund that includes “growth” or “value” in ~~cybersecurity matters. We are currently~~its name. BNY Mellon is evaluating the potential impact of the ~~proposal.~~proposals.

EU Intermediate Parent Undertaking (“EU IPU”) Requirements

Under the Capital Requirements Directive V, certain non-EU banking groups with more than EUR40 billion of assets in the EU are required to establish a single EU IPU to serve as an EU holding company for all EU credit institutions and certain EU investment firms in the group. Following further review, BNY Mellon currently is not required to establish an EU IPU structure on the basis of its existing legal entity structure and operations.

~~Proposed Rule to Shorten the Settlement Cycle for Certain Transactions~~

On Feb. 9, 2022, the SEC proposed rule amendments to shorten the standard settlement cycle for certain broker-dealer securities transactions to T+1. The proposal includes additional amendments designed to accelerate the confirmation of such trades. We are conducting an initial evaluation of the proposal’s potential impacts.

~~Other matters~~

~~Replacement of Interbank Offered Rates (“IBORs”), including LIBOR~~

The UK Financial Conduct Authority (the “FCA”) and the administrator for LIBOR have announced that the publication of the most commonly used U.S. dollar LIBOR settings will cease to be published or cease to be representative after June 30, 2023. The publication of all other LIBOR settings ceased to be published or to be representative as of Dec. 31, 2021. In addition, the U.S. bank regulators had also issued guidance strongly encouraging banking organizations to cease using U.S. dollar LIBOR as a reference rate in new contracts by Dec. 31, 2021. As a result, financial market participants have begun to transition away from LIBOR and other IBORs to alternative reference rates. The transition event on Dec. 31, 2021 had minimal impact across BNY Mellon’s businesses, however the remaining USD LIBOR transition will impact assets and liabilities on our balance sheet that reference IBORs, investments that we manage linked to IBORs in our Investment Management business and the operational servicing of products that reference IBORs in our Market and Wealth Services and Securities Services business segments.

In March 2022, the Adjustable Interest Rate (LIBOR) Act (the “LIBOR Act”) was enacted. The LIBOR Act provides a statutory framework to replace USD LIBOR with a benchmark rate based on the Secured Overnight Financing Rate (“SOFR”) for contracts governed by U.S. law that have no fallbacks or fallbacks that would require the use of a poll or LIBOR-based rate. Under the LIBOR Act, the Federal Reserve must adopt rules to identify the SOFR-based replacement rate and conforming changes for legacy LIBOR-linked contracts by Sept. 11, 2022.

4448 BNY Mellon

We are working to facilitate an orderly transition from IBORs to alternative reference rates for us and our clients. Accordingly, we have created a global transition program with senior management oversight that focuses on, among other things, evaluating and monitoring the impacts of the discontinuance of reference IBORs and the transition to replacement benchmarks on our business operations and financial condition; identifying and evaluating the scope of impacted financial instruments and contracts and the attendant risks; and implementing technology systems, models and analytics to support the transition. In addition, we continue to actively engage with our regulators and clients and participate in central bank and sector working groups.

Despite the proximity of the June 30, 2023 cessation date, there remain, however, a number of unknown factors regarding the transition from the IBORs and/or interest rate benchmark reforms that could impact our business. For a further discussion of the various risks, see “Risk Factors – Market Risk – Transitions away from and the replacement of LIBOR and other IBORs could adversely impact our business, financial condition and results of operations” in our 2021 Annual Report.

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 4549


Item 1. Financial Statements
The Bank of New York Mellon Corporation (and its subsidiaries)

Consolidated Income Statement (unaudited)


		Quarter ended								Quarter ended								Year-to-date
		March 31, 2022		Dec. 31, 2021		March 31, 2021						June 30, 2022		March 31, 2022		June 30, 2021			June 30, 2022		June 30, 2021
(in millions)	(in millions)							(in millions)	June 30, 2022	March 31, 2022								June 30, 2021
Fee and other revenue	Fee and other revenue
Investment services fees	Investment services fees	$	1,993	$	2,061	$	2,056				Investment services fees	$	2,206	$	1,993	$	2,076				$	4,199	$	4,132
Investment management and performance fees	Investment management and performance fees	883		896		890					Investment management and performance fees	833		883		889			1,716		1,779
Foreign exchange revenue	Foreign exchange revenue	207		199		231					Foreign exchange revenue	222		207		184			429		415
Financing-related fees	Financing-related fees	45		47		51					Financing-related fees	44		45		48			89		99
Distribution and servicing fees	Distribution and servicing fees	30		28		29					Distribution and servicing fees	34		30		27			64		56
Total fee revenue	Total fee revenue	3,158		3,231		3,257					Total fee revenue	3,339		3,158		3,224			6,497		6,481
Investment and other revenue	Investment and other revenue	70		107		9					Investment and other revenue	91		70		91			161		100
Total fee and other revenue	Total fee and other revenue	3,228		3,338		3,266					Total fee and other revenue	3,430		3,228		3,315			6,658		6,581
Net interest revenue	Net interest revenue										Net interest revenue
Interest revenue	Interest revenue	778		729		738					Interest revenue	1,159		778		685			1,937		1,423
Interest expense	Interest expense	80		52		83					Interest expense	335		80		40			415		123
Net interest revenue	Net interest revenue	698		677		655					Net interest revenue	824		698		645			1,522		1,300
Total revenue	Total revenue	3,926		4,015		3,921					Total revenue	4,254		3,926		3,960			8,180		7,881
Provision for credit losses	Provision for credit losses	2		(17)		(83)					Provision for credit losses	47		2		(86)			49		(169)
Noninterest expense	Noninterest expense										Noninterest expense
Staff	Staff	1,702		1,633		1,602					Staff	1,623		1,702		1,518			3,325		3,120
Software and equipment	Software and equipment	399		379		362					Software and equipment	405		399		365			804		727
Professional, legal and other purchased services	Professional, legal and other purchased services	370		390		343					Professional, legal and other purchased services	379		370		363			749		706
Sub-custodian and clearing											Sub-custodian and clearing	131		118		132			249		256
Net occupancy	Net occupancy	122		133		123					Net occupancy	125		122		122			247		245
Sub-custodian and clearing		118		120		124
Distribution and servicing	Distribution and servicing	79		75		74					Distribution and servicing	90		79		73			169		147
Business development											Business development	43		30		22			73		41
Bank assessment charges	Bank assessment charges	35		30		34					Bank assessment charges	37		35		35			72		69
Business development		30		44		19
Amortization of intangible assets	Amortization of intangible assets	17		19		24					Amortization of intangible assets	17		17		20			34		44
Other	Other	134		144		146					Other	262		134		128			396		274
Total noninterest expense	Total noninterest expense	3,006		2,967		2,851					Total noninterest expense	3,112		3,006		2,778			6,118		5,629
Income	Income										Income
Income before income taxes	Income before income taxes	918		1,065		1,153					Income before income taxes	1,095		918		1,268			2,013		2,421
Provision for income taxes	Provision for income taxes	153		196		221					Provision for income taxes	231		153		241			384		462
Net income	Net income	765		869		932					Net income	864		765		1,027			1,629		1,959
Net loss (income) attributable to noncontrolling interests related to consolidated investment management funds	Net loss (income) attributable to noncontrolling interests related to consolidated investment management funds	8		(6)		(5)					Net loss (income) attributable to noncontrolling interests related to consolidated investment management funds	5		8		(5)			13		(10)
Net income applicable to shareholders of The Bank of New York Mellon Corporation	Net income applicable to shareholders of The Bank of New York Mellon Corporation	773		863		927					Net income applicable to shareholders of The Bank of New York Mellon Corporation	869		773		1,022			1,642		1,949
Preferred stock dividends	Preferred stock dividends	(74)		(41)		(69)					Preferred stock dividends	(34)		(74)		(31)			(108)		(100)
Net income applicable to common shareholders of The Bank of New York Mellon Corporation	Net income applicable to common shareholders of The Bank of New York Mellon Corporation	$	699	$	822	$	858				Net income applicable to common shareholders of The Bank of New York Mellon Corporation	$	835	$	699	$	991		$	1,534	$	1,849

4650 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 calculation	Net income applicable to common shareholders of The Bank of New York Mellon Corporation used for the earnings per share calculation	Quarter ended								Net income applicable to common shareholders of The Bank of New York Mellon Corporation used for the earnings per share calculation	Quarter ended												Year-to-date
		March 31, 2022		Dec. 31, 2021		March 31, 2021					Net income applicable to common shareholders of The Bank of New York Mellon Corporation used for the earnings per share calculation		June 30, 2022			March 31, 2022			June 30, 2021					June 30, 2022			June 30, 2021
(in millions)	(in millions)							(in millions)	June 30, 2022													March 31, 2022	June 30, 2021
Net income applicable to common shareholders of The Bank of New York Mellon Corporation	Net income applicable to common shareholders of The Bank of New York Mellon Corporation	$	699	$	822	$	858				Net income applicable to common shareholders of The Bank of New York Mellon Corporation		$	835		$	699		$	991					$	1,534		$	1,849
Less: Earnings allocated to participating securities	Less: Earnings allocated to participating securities	—		—		1						Less: Earnings allocated to participating securities		—			—			1					—			2
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	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	$	699	$	822	$	857					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		$	835		$	699		$	990				$	1,534		$	1,847


Average common shares and equivalents outstanding of The Bank of New York Mellon Corporation	Average common shares and equivalents outstanding of The Bank of New York Mellon Corporation	Quarter ended					Average common shares and equivalents outstanding of The Bank of New York Mellon Corporation	Quarter ended									Year-to-date
		March 31, 2022	Dec. 31, 2021	March 31, 2021				Average common shares and equivalents outstanding of The Bank of New York Mellon Corporation		June 30, 2022		March 31, 2022		June 30, 2021				June 30, 2022		June 30, 2021
(in thousands)	(in thousands)				(in thousands)	June 30, 2022										March 31, 2022	June 30, 2021
Basic	Basic	809,469	811,463	882,558				Basic		810,903		809,469		869,460					810,233		876,006
Common stock equivalents	Common stock equivalents	4,878	6,297	3,824					Common stock equivalents		2,834		4,878		4,315				3,915		3,904
Less: Participating securities	Less: Participating securities	(361)	(415)	(727)					Less: Participating securities		(147)		(361)		(300)				(254)		(501)
Diluted	Diluted	813,986	817,345	885,655					Diluted		813,590		813,986		873,475				813,894		879,409

Anti-dilutive securities (a)	Anti-dilutive securities (a)	2,647	489	4,133					Anti-dilutive securities (a)		4,112		2,647		547				3,205		807

(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 Corporation	Earnings per share applicable to common shareholders of The Bank of New York Mellon Corporation	Quarter ended								Earnings per share applicable to common shareholders of The Bank of New York Mellon Corporation	Quarter ended												Year-to-date
		March 31, 2022		Dec. 31, 2021		March 31, 2021					Earnings per share applicable to common shareholders of The Bank of New York Mellon Corporation		June 30, 2022			March 31, 2022			June 30, 2021					June 30, 2022			June 30, 2021
(in dollars)	(in dollars)							(in dollars)	June 30, 2022													March 31, 2022	June 30, 2021
Basic	Basic	$	0.86	$	1.01	$	0.97				Basic		$	1.03		$	0.86		$	1.14					$	1.89		$	2.11
Diluted	Diluted	$	0.86	$	1.01	$	0.97					Diluted		$	1.03		$	0.86		$	1.13				$	1.88		$	2.10

See accompanying unaudited Notes to Consolidated Financial Statements.

BNY Mellon 4751


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

Consolidated Comprehensive Income Statement (unaudited)


		Quarter ended								Quarter ended								Year-to-date
		March 31, 2022		Dec. 31, 2021		March 31, 2021						June 30, 2022		March 31, 2022		June 30, 2021			June 30, 2022		June 30, 2021
(in millions)	(in millions)							(in millions)	June 30, 2022	March 31, 2022								June 30, 2021
Net income	Net income	$	765	$	869	$	932					$	864	$	765	$	1,027		$	1,629	$	1,959
Other comprehensive income (loss), net of tax:	Other comprehensive income (loss), net of tax:										Other comprehensive income (loss), net of tax:
Foreign currency translation adjustments	Foreign currency translation adjustments	(153)		(75)		(150)					Foreign currency translation adjustments	(555)		(153)		51			(708)		(99)
Unrealized (loss) gain on assets available-for-sale:	Unrealized (loss) gain on assets available-for-sale:										Unrealized (loss) gain on assets available-for-sale:
Unrealized (loss) arising during the period		(1,531)		(371)		(703)
Unrealized (loss) gain arising during the period											Unrealized (loss) gain arising during the period	(882)		(1,531)		77			(2,413)		(626)
Reclassification adjustment	Reclassification adjustment	(3)		(1)		—					Reclassification adjustment	—		(3)		(1)			(3)		(1)
Total unrealized (loss) on assets available-for-sale		(1,534)		(372)		(703)
Total unrealized (loss) gain on assets available-for-sale											Total unrealized (loss) gain on assets available-for-sale	(882)		(1,534)		76			(2,416)		(627)
Defined benefit plans:	Defined benefit plans:										Defined benefit plans:

Net gain arising during the period		—		219		—

Amortization of prior service credit, net loss and initial obligation included in net periodic benefit cost	Amortization of prior service credit, net loss and initial obligation included in net periodic benefit cost	18		19		22					Amortization of prior service credit, net loss and initial obligation included in net periodic benefit cost	13		18		25			31		47
Total defined benefit plans	Total defined benefit plans	18		238		22					Total defined benefit plans	13		18		25			31		47
Net unrealized (loss) gain on cash flow hedges		(2)		1		(3)
Net unrealized (loss) on cash flow hedges											Net unrealized (loss) on cash flow hedges	(5)		(2)		(3)			(7)		(6)
Total other comprehensive (loss), net of tax (a)	Total other comprehensive (loss), net of tax (a)	(1,671)		(208)		(834)					Total other comprehensive (loss), net of tax (a)	(1,429)		(1,671)		149			(3,100)		(685)
Total comprehensive (loss) income	Total comprehensive (loss) income	(906)		661		98					Total comprehensive (loss) income	(565)		(906)		1,176			(1,471)		1,274
Net loss (income) attributable to noncontrolling interests	Net loss (income) attributable to noncontrolling interests	8		(6)		(5)					Net loss (income) attributable to noncontrolling interests	5		8		(5)			13		(10)
Other comprehensive loss (gain) attributable to noncontrolling interests	Other comprehensive loss (gain) attributable to noncontrolling interests	3		(2)		—					Other comprehensive loss (gain) attributable to noncontrolling interests	3		3		—			6		—
Comprehensive (loss) income applicable to shareholders of The Bank of New York Mellon Corporation	Comprehensive (loss) income applicable to shareholders of The Bank of New York Mellon Corporation	$	(895)	$	653	$	93				Comprehensive (loss) income applicable to shareholders of The Bank of New York Mellon Corporation	$	(557)	$	(895)	$	1,171		$	(1,452)	$	1,264

(a) Other comprehensive (loss) income attributable to The Bank of New York Mellon Corporation shareholders was $(1,426) million for the quarter ended June 30, 2022, $(1,668) million for the quarter ended March 31, 2022, ~~$(210)~~$149 million for the quarter ended ~~Dec. 31,~~June 30, 2021, ~~and $(834)~~$(3,094) million for the ~~quarter~~six months ended ~~March 31,~~June 30, 2022 and $(685) million for the six months ended June 30, 2021.

See accompanying unaudited Notes to Consolidated Financial Statements.

4852 BNY Mellon


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

Consolidated Balance Sheet (unaudited)


		March 31, 2022		Dec. 31, 2021			June 30, 2022		Dec. 31, 2021
(dollars in millions, except per share amounts)	(dollars in millions, except per share amounts)					(dollars in millions, except per share amounts)
Assets	Assets					Assets
Cash and due from banks, net of allowance for credit losses of $21 and $3		$	6,143	$	6,061
Cash and due from banks, net of allowance for credit losses of $51 and $3						Cash and due from banks, net of allowance for credit losses of $51 and $3	$	5,185	$	6,061
Interest-bearing deposits with the Federal Reserve and other central banks	Interest-bearing deposits with the Federal Reserve and other central banks	135,691		102,467		Interest-bearing deposits with the Federal Reserve and other central banks	125,372		102,467
Interest-bearing deposits with banks, net of allowance for credit losses of $3 and $2 (includes restricted of $3,401 and $3,822)		18,268		16,630
Interest-bearing deposits with banks, net of allowance for credit losses of $2 and $2 (includes restricted of $4,441 and $3,822)						Interest-bearing deposits with banks, net of allowance for credit losses of $2 and $2 (includes restricted of $4,441 and $3,822)	16,639		16,630
Federal funds sold and securities purchased under resale agreements	Federal funds sold and securities purchased under resale agreements	27,131		29,607		Federal funds sold and securities purchased under resale agreements	22,940		29,607
Securities:	Securities:					Securities:
Held-to-maturity, at amortized cost, net of allowance for credit losses of $1 and less than $1 (fair value of $57,659 and $56,775)		60,602		56,866
Available-for-sale, at fair value (amortized cost of $95,213 and $100,774, net of allowance for credit losses of $9 and $10)		92,794		101,839
Held-to-maturity, at amortized cost, net of allowance for credit losses of $1 and less than $1 (fair value of $55,127 and $56,775)						Held-to-maturity, at amortized cost, net of allowance for credit losses of $1 and less than $1 (fair value of $55,127 and $56,775)	59,566		56,866
Available-for-sale, at fair value (amortized cost of $95,627 and $100,774, net of allowance for credit losses of $9 and $10)						Available-for-sale, at fair value (amortized cost of $95,627 and $100,774, net of allowance for credit losses of $9 and $10)	91,278		101,839
Total securities	Total securities	153,396		158,705		Total securities	150,844		158,705
Trading assets	Trading assets	14,703		16,577		Trading assets	10,759		16,577
Loans	Loans	68,052		67,787		Loans	69,347		67,787
Allowance for credit losses	Allowance for credit losses	(171)		(196)		Allowance for credit losses	(181)		(196)
Net loans	Net loans	67,881		67,591		Net loans	69,166		67,591
Premises and equipment	Premises and equipment	3,359		3,431		Premises and equipment	3,354		3,431
Accrued interest receivable	Accrued interest receivable	467		457		Accrued interest receivable	548		457
Goodwill	Goodwill	17,462		17,512		Goodwill	17,271		17,512
Intangible assets	Intangible assets	2,968		2,991		Intangible assets	2,934		2,991
Other assets, net of allowance for credit losses on accounts receivable of $5 and $4 (includes $1,247 and $1,187, at fair value)		26,342		22,409
Other assets, net of allowance for credit losses on accounts receivable of $4 and $4 (includes $1,268 and $1,187, at fair value)						Other assets, net of allowance for credit losses on accounts receivable of $4 and $4 (includes $1,268 and $1,187, at fair value)	27,609		22,409
Total assets	Total assets	$	473,811	$	444,438	Total assets	$	452,621	$	444,438
Liabilities	Liabilities					Liabilities
Deposits:	Deposits:					Deposits:
Noninterest-bearing (principally U.S. offices)	Noninterest-bearing (principally U.S. offices)	$	100,036	$	93,695	Noninterest-bearing (principally U.S. offices)	$	106,060	$	93,695
Interest-bearing deposits in U.S. offices	Interest-bearing deposits in U.S. offices	134,373		120,903		Interest-bearing deposits in U.S. offices	117,075		120,903
Interest-bearing deposits in non-U.S. offices	Interest-bearing deposits in non-U.S. offices	111,156		105,096		Interest-bearing deposits in non-U.S. offices	102,678		105,096
Total deposits	Total deposits	345,565		319,694		Total deposits	325,813		319,694
Federal funds purchased and securities sold under repurchase agreements	Federal funds purchased and securities sold under repurchase agreements	13,181		11,566		Federal funds purchased and securities sold under repurchase agreements	11,434		11,566
Trading liabilities	Trading liabilities	5,587		5,469		Trading liabilities	5,595		5,469
Payables to customers and broker-dealers	Payables to customers and broker-dealers	26,608		25,150		Payables to customers and broker-dealers	25,769		25,150

Other borrowed funds	Other borrowed funds	312		749		Other borrowed funds	520		749
Accrued taxes and other expenses	Accrued taxes and other expenses	4,534		5,767		Accrued taxes and other expenses	5,011		5,767
Other liabilities (including allowance for credit losses on lending-related commitments of $53 and $45, also includes $207 and $496, at fair value)		10,626		6,721
Other liabilities (including allowance for credit losses on lending-related commitments of $62 and $45, also includes $31 and $496, at fair value)						Other liabilities (including allowance for credit losses on lending-related commitments of $62 and $45, also includes $31 and $496, at fair value)	9,724		6,721
Long-term debt	Long-term debt	25,246		25,931		Long-term debt	27,610		25,931
Total liabilities	Total liabilities	431,659		401,047		Total liabilities	411,476		401,047
Temporary equity	Temporary equity					Temporary equity
Redeemable noncontrolling interests	Redeemable noncontrolling interests	155		161		Redeemable noncontrolling interests	154		161
Permanent equity	Permanent equity					Permanent equity
Preferred stock – par value $0.01 per share; authorized 100,000,000 shares; issued 48,826 and 48,826 shares	Preferred stock – par value $0.01 per share; authorized 100,000,000 shares; issued 48,826 and 48,826 shares	4,838		4,838		Preferred stock – par value $0.01 per share; authorized 100,000,000 shares; issued 48,826 and 48,826 shares	4,838		4,838
Common stock – par value $0.01 per share; authorized 3,500,000,000 shares; issued 1,394,962,782 and 1,389,397,912 shares		14		14
Common stock – par value $0.01 per share; authorized 3,500,000,000 shares; issued 1,395,313,459 and 1,389,397,912 shares						Common stock – par value $0.01 per share; authorized 3,500,000,000 shares; issued 1,395,313,459 and 1,389,397,912 shares	14		14
Additional paid-in capital	Additional paid-in capital	28,258		28,128		Additional paid-in capital	28,316		28,128
Retained earnings	Retained earnings	37,088		36,667		Retained earnings	37,644		36,667
Accumulated other comprehensive loss, net of tax	Accumulated other comprehensive loss, net of tax	(3,881)		(2,213)		Accumulated other comprehensive loss, net of tax	(5,307)		(2,213)
Less: Treasury stock of 587,164,539 and 585,252,546 common shares, at cost		(24,518)		(24,400)
Less: Treasury stock of 587,210,236 and 585,252,546 common shares, at cost						Less: Treasury stock of 587,210,236 and 585,252,546 common shares, at cost	(24,521)		(24,400)
Total The Bank of New York Mellon Corporation shareholders’ equity	Total The Bank of New York Mellon Corporation shareholders’ equity	41,799		43,034		Total The Bank of New York Mellon Corporation shareholders’ equity	40,984		43,034
Nonredeemable noncontrolling interests of consolidated investment management funds	Nonredeemable noncontrolling interests of consolidated investment management funds	198		196		Nonredeemable noncontrolling interests of consolidated investment management funds	7		196
Total permanent equity	Total permanent equity	41,997		43,230		Total permanent equity	40,991		43,230
Total liabilities, temporary equity and permanent equity	Total liabilities, temporary equity and permanent equity	$	473,811	$	444,438	Total liabilities, temporary equity and permanent equity	$	452,621	$	444,438

See accompanying unaudited Notes to Consolidated Financial Statements.

BNY Mellon 4953


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

Consolidated Statement of Cash Flows (unaudited)


		Three months ended March 31,				Six months ended June 30,
(in millions)	(in millions)	2022		2021			(in millions)	2022		2021
Operating activities	Operating activities						Operating activities
Net income	Net income	$	765	$	932		Net income	$	1,629	$	1,959
Net (income) attributable to noncontrolling interests		8		(5)
Net loss (income) attributable to noncontrolling interests							Net loss (income) attributable to noncontrolling interests	13		(10)
Net income applicable to shareholders of The Bank of New York Mellon Corporation	Net income applicable to shareholders of The Bank of New York Mellon Corporation	773		927			Net income applicable to shareholders of The Bank of New York Mellon Corporation	1,642		1,949
Adjustments to reconcile net income to net cash provided by (used for) operating activities:	Adjustments to reconcile net income to net cash provided by (used for) operating activities:						Adjustments to reconcile net income to net cash provided by (used for) operating activities:
Provision for credit losses	Provision for credit losses	2		(83)			Provision for credit losses	49		(169)
Pension plan contributions	Pension plan contributions	(1)		(7)			Pension plan contributions	(2)		(16)
Depreciation and amortization	Depreciation and amortization	437		466			Depreciation and amortization	859		938
Deferred tax (benefit)	Deferred tax (benefit)	36		275			Deferred tax (benefit)	145		274
Net securities (gains)	Net securities (gains)	(4)		—			Net securities (gains)	(4)		(2)
Change in trading assets and liabilities	Change in trading assets and liabilities	2,251		(3,074)			Change in trading assets and liabilities	6,730		176
Change in accruals and other, net	Change in accruals and other, net	(65)		(1,678)			Change in accruals and other, net	(1,000)		(3,495)
Net cash provided by (used for) operating activities	Net cash provided by (used for) operating activities	3,429		(3,174)			Net cash provided by (used for) operating activities	8,419		(345)
Investing activities	Investing activities						Investing activities
Change in interest-bearing deposits with banks	Change in interest-bearing deposits with banks	(2,068)		(6,385)			Change in interest-bearing deposits with banks	39		(2,924)
Change in interest-bearing deposits with the Federal Reserve and other central banks	Change in interest-bearing deposits with the Federal Reserve and other central banks	(34,733)		13,940			Change in interest-bearing deposits with the Federal Reserve and other central banks	(28,461)		13,409
Purchases of securities held-to-maturity	Purchases of securities held-to-maturity	(1,299)		(3,425)			Purchases of securities held-to-maturity	(1,836)		(5,449)
Paydowns of securities held-to-maturity	Paydowns of securities held-to-maturity	2,198		2,969			Paydowns of securities held-to-maturity	4,124		5,869
Maturities of securities held-to-maturity	Maturities of securities held-to-maturity	400		161			Maturities of securities held-to-maturity	748		834
Purchases of securities available-for-sale	Purchases of securities available-for-sale	(10,902)		(12,247)			Purchases of securities available-for-sale	(20,522)		(25,820)
Sales of securities available-for-sale	Sales of securities available-for-sale	6,315		3,209			Sales of securities available-for-sale	8,788		7,624
Paydowns of securities available-for-sale	Paydowns of securities available-for-sale	1,754		3,498			Paydowns of securities available-for-sale	3,204		7,081
Maturities of securities available-for-sale	Maturities of securities available-for-sale	3,303		3,878			Maturities of securities available-for-sale	5,970		8,999
Net change in loans	Net change in loans	(497)		(4,254)			Net change in loans	(1,957)		(7,017)
Sales of loans and other real estate	Sales of loans and other real estate	—		1			Sales of loans and other real estate	—		1
Change in federal funds sold and securities purchased under resale agreements	Change in federal funds sold and securities purchased under resale agreements	2,501		2,630			Change in federal funds sold and securities purchased under resale agreements	6,655		1,129
Net change in seed capital investments	Net change in seed capital investments	(8)		(38)			Net change in seed capital investments	(14)		(55)
Purchases of premises and equipment/capitalized software	Purchases of premises and equipment/capitalized software	(271)		(220)			Purchases of premises and equipment/capitalized software	(871)		(465)
Proceeds from the sale of premises and equipment	Proceeds from the sale of premises and equipment	45		—			Proceeds from the sale of premises and equipment	45		27

Dispositions, net of cash	Dispositions, net of cash	—		8			Dispositions, net of cash	—		8
Other, net	Other, net	(639)		953			Other, net	(507)		648
Net cash (used for) provided by investing activities	Net cash (used for) provided by investing activities	(33,901)		4,678			Net cash (used for) provided by investing activities	(24,595)		3,899
Financing activities	Financing activities						Financing activities
Change in deposits	Change in deposits	27,557		(2,922)			Change in deposits	13,036		(1,428)
Change in federal funds purchased and securities sold under repurchase agreements	Change in federal funds purchased and securities sold under repurchase agreements	1,618		3,936			Change in federal funds purchased and securities sold under repurchase agreements	(60)		1,214
Change in payables to customers and broker-dealers	Change in payables to customers and broker-dealers	1,652		(1,229)			Change in payables to customers and broker-dealers	870		(1,360)
Change in other borrowed funds	Change in other borrowed funds	(441)		5			Change in other borrowed funds	(202)		107

Net proceeds from the issuance of long-term debt	Net proceeds from the issuance of long-term debt	1,295		1,196			Net proceeds from the issuance of long-term debt	4,939		2,691
Repayments of long-term debt	Repayments of long-term debt	(1,250)		(1,500)			Repayments of long-term debt	(2,250)		(2,750)
Proceeds from the exercise of stock options	Proceeds from the exercise of stock options	9		26			Proceeds from the exercise of stock options	9		32
Issuance of common stock	Issuance of common stock	130		3			Issuance of common stock	6		6

Treasury stock acquired	Treasury stock acquired	(118)		(699)			Treasury stock acquired	(121)		(1,317)

Common cash dividends paid	Common cash dividends paid	(278)		(277)			Common cash dividends paid	(557)		(550)
Preferred cash dividends paid	Preferred cash dividends paid	(74)		(69)			Preferred cash dividends paid	(108)		(100)

Other, net	Other, net	(5)		10			Other, net	(5)		(6)
Net cash provided by (used for) financing activities	Net cash provided by (used for) financing activities	30,095		(1,520)			Net cash provided by (used for) financing activities	15,557		(3,461)
Effect of exchange rate changes on cash	Effect of exchange rate changes on cash	38		(33)			Effect of exchange rate changes on cash	362		(41)
Change in cash and due from banks and restricted cash	Change in cash and due from banks and restricted cash						Change in cash and due from banks and restricted cash
Change in cash and due from banks and restricted cash	Change in cash and due from banks and restricted cash	(339)		(49)			Change in cash and due from banks and restricted cash	(257)		52
Cash and due from banks and restricted cash at beginning of period	Cash and due from banks and restricted cash at beginning of period	9,883		9,419			Cash and due from banks and restricted cash at beginning of period	9,883		9,419
Cash and due from banks and restricted cash at end of period	Cash and due from banks and restricted cash at end of period	$	9,544	$	9,370		Cash and due from banks and restricted cash at end of period	$	9,626	$	9,471
Cash and due from banks and restricted cash	Cash and due from banks and restricted cash						Cash and due from banks and restricted cash
Cash and due from banks at end of period (unrestricted cash)	Cash and due from banks at end of period (unrestricted cash)	$	6,143	$	5,991		Cash and due from banks at end of period (unrestricted cash)	$	5,185	$	5,154
Restricted cash at end of period	Restricted cash at end of period	3,401		3,379			Restricted cash at end of period	4,441		4,317
Cash and due from banks and restricted cash at end of period	Cash and due from banks and restricted cash at end of period	$	9,544	$	9,370		Cash and due from banks and restricted cash at end of period	$	9,626	$	9,471
Supplemental disclosures	Supplemental disclosures						Supplemental disclosures
Interest paid	Interest paid	$	107	$	126		Interest paid	$	374	$	145
Income taxes paid	Income taxes paid	125		122			Income taxes paid	262		266
Income taxes refunded	Income taxes refunded	5		4			Income taxes refunded	38		10

See accompanying unaudited Notes to Consolidated Financial Statements.

5054 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 shareholders												Nonredeemable noncontrolling interests of consolidated investment management funds		Total permanent equity			Redeemable non- controlling interests/ temporary equity			The Bank of New York Mellon Corporation shareholders												Nonredeemable noncontrolling interests of consolidated investment management funds		Total permanent equity			Redeemable non- controlling interests/ temporary equity
(in millions, except per share amount)	(in millions, except per share amount)	Preferred stock		Common stock		Additional paid-in capital		Retained earnings		Accumulated other comprehensive (loss), net of tax		Treasury stock									(in millions, except per share amount)	Preferred stock		Common stock		Additional paid-in capital		Retained earnings		Accumulated other comprehensive (loss), net of tax		Treasury stock
Balance at Dec. 31, 2021		$	4,838	$	14	$	28,128	$	36,667	$	(2,213)	$	(24,400)	$	196	$	43,230	(a)	$	161
Balance at March 31, 2022																					Balance at March 31, 2022	$	4,838	$	14	$	28,258	$	37,088	$	(3,881)	$	(24,518)	$	198	$	41,997	(a)	$	155

Shares issued to shareholders of noncontrolling interests	Shares issued to shareholders of noncontrolling interests	—		—		—		—		—		—		—		—			7		Shares issued to shareholders of noncontrolling interests	—		—		—		—		—		—		—		—			2
Redemption of subsidiary shares from noncontrolling interests		—		—		—		—		—		—		—		—			(14)

Other net changes in noncontrolling interests	Other net changes in noncontrolling interests	—		—		(5)		—		—		—		10		5			4		Other net changes in noncontrolling interests	—		—		—		—		—		—		(186)		(186)			—
Net income (loss)	Net income (loss)	—		—		—		773		—		—		(8)		765			—		Net income (loss)	—		—		—		869		—		—		(5)		864			—
Other comprehensive (loss)	Other comprehensive (loss)	—		—		—		—		(1,668)		—		—		(1,668)			(3)		Other comprehensive (loss)	—		—		—		—		(1,426)		—		—		(1,426)			(3)
Dividends:	Dividends:																				Dividends:
Common stock at $0.34 per share (b)	Common stock at $0.34 per share (b)	—		—		—		(278)		—		—		—		(278)			—		Common stock at $0.34 per share (b)	—		—		—		(279)		—		—		—		(279)			—
Preferred stock	Preferred stock	—		—		—		(74)		—		—		—		(74)			—		Preferred stock	—		—		—		(34)		—		—		—		(34)			—
Repurchase of common stock	Repurchase of common stock	—		—		—		—		—		(118)		—		(118)			—		Repurchase of common stock	—		—		—		—		—		(3)		—		(3)			—

Common stock issued under employee benefit plans	Common stock issued under employee benefit plans	—		—		5		—		—		—		—		5			—		Common stock issued under employee benefit plans	—		—		5		—		—		—		—		5			—

Stock awards and options exercised	Stock awards and options exercised	—		—		130		—		—		—		—		130			—		Stock awards and options exercised	—		—		53		—		—		—		—		53			—
Balance at March 31, 2022		$	4,838	$	14	$	28,258	$	37,088	$	(3,881)	$	(24,518)	$	198	$	41,997	(a)	$	155
Balance at June 30, 2022																					Balance at June 30, 2022	$	4,838	$	14	$	28,316	$	37,644	$	(5,307)	$	(24,521)	$	7	$	40,991	(a)	$	154

(a)Includes total The Bank of New York Mellon Corporation common shareholders’ equity of $36,961 million at March 31, 2022 and $36,146 million at June 30, 2022.

(b) Includes dividend-equivalents on share-based awards.


	The Bank of New York Mellon Corporation shareholders												Nonredeemable noncontrolling interests of consolidated investment management funds		Total permanent equity			Redeemable non- controlling interests/ temporary equity
(in millions, except per share amount)	Preferred stock		Common stock		Additional paid-in capital		Retained earnings		Accumulated other comprehensive (loss), net of tax		Treasury stock
Balance at Dec. 31, 2021	$	4,838	$	14	$	28,128	$	36,667	$	(2,213)	$	(24,400)	$	196	$	43,230	(a)	$	161


Shares issued to shareholders of noncontrolling interests	—		—		—		—		—		—		—		—			7
Redemption of subsidiary shares from noncontrolling interests	—		—		—		—		—		—		—		—			(14)
Other net changes in noncontrolling interests	—		—		(5)		—		—		—		10		5			4
Net income	—		—		—		773		—		—		(8)		765			—
Other comprehensive (loss)	—		—		—		—		(1,668)		—		—		(1,668)			(3)
Dividends:
Common stock at $0.34 per share (b)	—		—		—		(278)		—		—		—		(278)			—
Preferred stock	—		—		—		(74)		—		—		—		(74)			—
Repurchase of common stock	—		—		—		—		—		(118)		—		(118)			—

Common stock issued under employee benefit plans	—		—		5		—		—		—		—		5			—



Stock awards and options exercised	—		—		130		—		—		—		—		130			—


Balance at March 31, 2022	$	4,838	$	14	$	28,258	$	37,088	$	(3,881)	$	(24,518)	$	198	$	41,997	(a)	$	155

(a)Includes total The Bank of New York Mellon Corporation common shareholders’ equity of $38,196 million at Dec. 31, 2021 and $36,961 million at March 31, 2022.

(b) Includes dividend-equivalents on share-based awards.

The Bank of New York Mellon Corporation shareholders Nonredeemable
noncontrolling
interests of
consolidated
investment
management
funds Total
permanent
equity Redeemable
non-
controlling
interests/
temporary
equity
(in millions, except per
share amount) Preferred stock Common
stock Additional
paid-in
capital Retained
earnings Accumulated other comprehensive (loss) income, net of tax Treasury
stock
Balance at Sept. 30, 2021 $ 4,541 $ 14 $ 28,075 $ 36,125 $ (2,003) $ (23,151) $ 273 $ 43,874 (a) $ 178
Shares issued to shareholders of noncontrolling interests — — — — — — — — 11
Redemption of subsidiary shares from noncontrolling interests — — — — — — — — (42)
Other net changes in noncontrolling interests — — (12) — — — (83) (95) 12
Net income — — — 863 — — 6 869 —
Other comprehensive (loss) income — — — — (210) — — (210) 2
Dividends:
Common stock at $0.34 per
share (b)
— — — (280) — — — (280) —
Preferred stock — — — (31) — — — (31) —
Repurchase of common stock — — — — — (1,249) — (1,249) —
Common stock issued under employee benefit plans — — 4 — — — — 4 —
Preferred stock redemption (1,000) — — — — — — (1,000) —
Preferred stock issued 1,287 — — — — — — 1,287 —
Stock awards and options exercised — — 61 — — — — 61 —
Amortization of preferred stock discount 10 — — (10) — — — — —
Balance at Dec. 31, 2021 $ 4,838 $ 14 $ 28,128 $ 36,667 $ (2,213) $ (24,400) $ 196 $ 43,230 (a) $ 161

~~(a)Includes total The Bank of New York Mellon Corporation common shareholders’ equity of $39,060 million at Sept. 30, 2021 and $38,196 million at Dec. 31, 2021.~~

~~(b) Includes dividend-equivalents on share-based awards.~~

BNY Mellon 5155


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 shareholders												Nonredeemable noncontrolling interests of consolidated investment management funds		Total permanent equity			Redeemable non- controlling interests/ temporary equity			The Bank of New York Mellon Corporation shareholders												Nonredeemable noncontrolling interests of consolidated investment management funds		Total permanent equity			Redeemable non- controlling interests/ temporary equity
(in millions, except per share amount)	(in millions, except per share amount)	Preferred stock		Common stock		Additional paid-in capital		Retained earnings		Accumulated other comprehensive (loss), net of tax		Treasury stock									(in millions, except per share amount)	Preferred stock		Common stock		Additional paid-in capital		Retained earnings		Accumulated other comprehensive (loss) income, 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
Balance at March 31, 2021																					Balance at March 31, 2021	$	4,541	$	14	$	27,928	$	34,822	$	(1,819)	$	(20,532)	$	262	$	45,216	(a)	$	187

Shares issued to shareholders of noncontrolling interests	Shares issued to shareholders of noncontrolling interests	—		—		—		—		—		—		—		—			23		Shares issued to shareholders of noncontrolling interests	—		—		—		—		—		—		—		—			6
Redemption of subsidiary shares from noncontrolling interests	Redemption of subsidiary shares from noncontrolling interests	—		—		—		—		—		—		—		—			(30)		Redemption of subsidiary shares from noncontrolling interests	—		—		—		—		—		—		—		—			(22)
Other net changes in noncontrolling interests	Other net changes in noncontrolling interests	—		—		(33)		—		—		—		114		81			18		Other net changes in noncontrolling interests	—		—		9		—		—		—		77		86			(2)
Net income	Net income	—		—		—		927		—		—		5		932			—		Net income	—		—		—		1,022		—		—		5		1,027			—
Other comprehensive income	Other comprehensive income	—		—		—		—		(834)		—		—		(834)			—		Other comprehensive income	—		—		—		—		149		—		—		149			—
Dividends:	Dividends:																				Dividends:
Common stock at $0.31 per share(b)	Common stock at $0.31 per share(b)	—		—		—		(277)		—		—		—		(277)			—		Common stock at $0.31 per share(b)	—		—		—		(273)		—		—		—		(273)			—
Preferred stock	Preferred stock	—		—		—		(69)		—		—		—		(69)			—		Preferred stock	—		—		—		(31)		—		—		—		(31)			—
Repurchase of common stock	Repurchase of common stock	—		—		—		—		—		(699)		—		(699)			—		Repurchase of common stock	—		—		—		—		—		(618)		—		(618)			—

Common stock issued under employee benefit plans	Common stock issued under employee benefit plans	—		—		5		—		—		—		—		5			—		Common stock issued under employee benefit plans	—		—		5		—		—		—		—		5			—

Stock awards and options exercised	Stock awards and options exercised	—		—		133		—		—		—		—		133			—		Stock awards and options exercised	—		—		64		—		—		—		—		64			—

Balance at March 31, 2021		$	4,541	$	14	$	27,928	$	34,822	$	(1,819)	$	(20,532)	$	262	$	45,216	(a)	$	187
Balance at June 30, 2021																					Balance at June 30, 2021	$	4,541	$	14	$	28,006	$	35,540	$	(1,670)	$	(21,150)	$	344	$	45,625	(a)	$	169

(a) Includes total The Bank of New York Mellon Corporation common shareholders’ equity of $40,413 million at March 31, 2021 and $40,740 million at June 30, 2021.

(b) Includes dividend-equivalents on share-based awards.


	The Bank of New York Mellon Corporation shareholders												Nonredeemable noncontrolling interests of consolidated investment management funds		Total permanent equity			Redeemable non- controlling interests/ temporary equity
(in millions, except per share amount)	Preferred stock		Common stock		Additional paid-in capital		Retained earnings		Accumulated other comprehensive (loss), net of tax		Treasury stock
Balance at Dec. 31, 2021	$	4,838	$	14	$	28,128	$	36,667	$	(2,213)	$	(24,400)	$	196	$	43,230	(a)	$	161


Shares issued to shareholders of noncontrolling interests	—		—		—		—		—		—		—		—			9
Redemption of subsidiary shares from noncontrolling interests	—		—		—		—		—		—		—		—			(14)
Other net changes in noncontrolling interests	—		—		(5)		—		—		—		(176)		(181)			4
Net income (loss)	—		—		—		1,642		—		—		(13)		1,629			—
Other comprehensive (loss)	—		—		—		—		(3,094)		—		—		(3,094)			(6)
Dividends:
Common stock at $0.68 per share (b)	—		—		—		(557)		—		—		—		(557)			—
Preferred stock	—		—		—		(108)		—		—		—		(108)			—
Repurchase of common stock	—		—		—		—		—		(121)		—		(121)			—

Common stock issued under employee benefit plans	—		—		10		—		—		—		—		10			—

Preferred stock issued	—		—		—		—		—		—		—		—			—
Stock awards and options exercised	—		—		183		—		—		—		—		183			—
Balance at June 30, 2022	$	4,838	$	14	$	28,316	$	37,644	$	(5,307)	$	(24,521)	$	7	$	40,991	(a)	$	154

(a)Includes total The Bank of New York Mellon Corporation common shareholders’ equity of $38,196 million at Dec. 31, 2021 and $36,146 million at June 30, 2022.

(b)Includes dividend equivalents on share-based awards.

56 BNY Mellon


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


	The Bank of New York Mellon Corporation shareholders												Nonredeemable noncontrolling interests of consolidated investment management funds		Total permanent equity			Redeemable non- controlling interests/ temporary equity
(in millions, except per share amount)	Preferred stock		Common 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	—		—		—		—		—		—		—		—			29
Redemption of subsidiary shares from noncontrolling interests	—		—		—		—		—		—		—		—			(52)
Other net changes in noncontrolling interests	—		—		(24)		—		—		—		191		167			16
Net income	—		—		—		1,949		—		—		10		1,959			—
Other comprehensive (loss)	—		—		—		—		(685)		—		—		(685)			—
Dividends:
Common stock at $0.62 per share	—		—		—		(550)		—		—		—		(550)			—
Preferred stock	—		—		—		(100)		—		—		—		(100)			—
Repurchase of common stock	—		—		—		—		—		(1,317)		—		(1,317)			—

Common stock issued under employee benefit plans	—		—		10		—		—		—		—		10			—

Stock awards and options exercised	—		—		197		—		—		—		—		197			—
Balance at June 30, 2021	$	4,541	$	14	$	28,006	$	35,540	$	(1,670)	$	(21,150)	$	344	$	45,625	(a)	$	169

(a)Includes total The Bank of New York Mellon Corporation common shareholders’ equity of $41,260 million at Dec. 31, 2020 and ~~$40,413~~$40,740 million at ~~March 31,~~June 30, 2021.

~~(b) Includes dividend-equivalents on share-based awards.~~

See accompanying unaudited Notes to Consolidated Financial Statements.

52 BNY Mellon 57


Notes to Consolidated Financial Statements

Note 1–Basis of presentation

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 of the Notes to Consolidated Financial Statements in our Annual Report on Form 10-K for the year ended Dec. 31, 2021 (the “2021 Annual Report”).

The accompanying consolidated financial statements are unaudited. In the opinion of management, all adjustments necessary, consisting of normal recurring adjustments, 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 Consolidated Financial Statements included in our 2021 Annual Report. 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

We sometimes structure our acquisitions with both an initial payment and later contingent payments tied to post-closing revenue or income growth. There were no contingent payments in the first ~~quarter~~six months of 2022.

At ~~March 31,~~June 30, 2022, we are potentially obligated to pay additional consideration which, using reasonable assumptions and estimates, could range from $15 million to $45 million over the next 3three years.

Goodwill and intangible assets related to acquisitions completed in 2021 totaled $99 million and $70 million, respectively. See Note 3 of the Notes to Consolidated Financial Statements in our 2021 Annual Report for information related to the 2021 acquisitions.

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,~~June 30, 2022 and Dec. 31, 2021.

58 BNY Mellon 53


Notes to Consolidated Financial Statements (continued)


Securities at March 31, 2022				Gross unrealized				Fair value
Securities at June 30, 2022										Securities at June 30, 2022			Gross unrealized				Fair value
		Amortized cost		Gross unrealized							Amortized cost
(in millions)	(in millions)							Fair value		(in millions)			Gains		Losses
Available-for-sale:	Available-for-sale:									Available-for-sale:
U.S. Treasury	U.S. Treasury	$	29,114	$	276	$	1,423			U.S. Treasury	$	32,360	$	114	$	2,007	$	30,467
Sovereign debt/sovereign guaranteed										Sovereign debt/sovereign guaranteed	11,429		6		343		11,092
Agency residential mortgage-backed securities (“RMBS”)	Agency residential mortgage-backed securities (“RMBS”)	9,700		152		202		9,650		Agency residential mortgage-backed securities (“RMBS”)	8,501		130		328		8,303
Sovereign debt/sovereign guaranteed		12,176		22		244		11,954
Agency commercial mortgage-backed securities (“MBS”)	Agency commercial mortgage-backed securities (“MBS”)	8,450		143		234		8,359		Agency commercial mortgage-backed securities (“MBS”)	8,479		110		410		8,179
Supranational	Supranational	7,689		7		188		7,508		Supranational	7,806		6		264		7,548
Foreign covered bonds	Foreign covered bonds	6,365		7		122		6,250		Foreign covered bonds	6,010		3		185		5,828
Collateralized loan obligations (“CLOs”)	Collateralized loan obligations (“CLOs”)	4,872		1		32		4,841		Collateralized loan obligations (“CLOs”)	5,247		1		151		5,097
Non-agency commercial MBS	Non-agency commercial MBS	3,228		—		144		3,084		Non-agency commercial MBS	3,270		—		267		3,003
Foreign government agencies										Foreign government agencies	2,620		—		84		2,536
Non-agency RMBS	Non-agency RMBS	2,519		70		91		2,498		Non-agency RMBS	2,413		57		159		2,311
Foreign government agencies		2,780		—		61		2,719
State and political subdivisions										State and political subdivisions	2,262		2		241		2,023
U.S. government agencies	U.S. government agencies	2,507		71		92		2,486		U.S. government agencies	2,003		58		136		1,925
State and political subdivisions		2,304		3		166		2,141
Other asset-backed securities (“ABS”)	Other asset-backed securities (“ABS”)	1,953		—		73		1,880		Other asset-backed securities (“ABS”)	1,771		—		103		1,668
Corporate bonds	Corporate bonds	1,555		4		103		1,456		Corporate bonds	1,455		—		158		1,297
Other debt securities	Other debt securities	1		—		—		1		Other debt securities	1		—		—		1
Total securities available-for-sale (a)(b)	Total securities available-for-sale (a)(b)	$	95,213	$	756	$	3,175	$	92,794	Total securities available-for-sale (a)(b)	$	95,627	$	487	$	4,836	$	91,278
Held-to-maturity:	Held-to-maturity:									Held-to-maturity:
Agency RMBS	Agency RMBS	$	38,043	$	23	$	1,934	$	36,132	Agency RMBS	$	36,947	$	12	$	3,019	$	33,940
U.S. Treasury	U.S. Treasury	11,704		3		526		11,181		U.S. Treasury	11,347		—		685		10,662
Agency commercial MBS	Agency commercial MBS	4,318		1		216		4,103		Agency commercial MBS	4,319		2		298		4,023
U.S. government agencies	U.S. government agencies	4,064		—		276		3,788		U.S. government agencies	4,061		—		380		3,681
Sovereign debt/sovereign guaranteed	Sovereign debt/sovereign guaranteed	1,151		7		14		1,144		Sovereign debt/sovereign guaranteed	1,472		2		28		1,446
CLOs	CLOs	983		—		9		974		CLOs	983		—		34		949

Supranational	Supranational	236		—		5		231		Supranational	325		—		10		315
Foreign government agencies	Foreign government agencies	52		—		—		52		Foreign government agencies	64		—		1		63
Non-agency RMBS	Non-agency RMBS	38		2		—		40		Non-agency RMBS	34		2		1		35
State and political subdivisions	State and political subdivisions	13		1		—		14		State and political subdivisions	14		—		1		13
Total securities held-to-maturity (a)	Total securities held-to-maturity (a)	$	60,602	$	37	$	2,980	$	57,659	Total securities held-to-maturity (a)	$	59,566	$	18	$	4,457	$	55,127
Total securities	Total securities	$	155,815	$	793	$	6,155	$	150,453	Total securities	$	155,193	$	505	$	9,293	$	146,405

(a) The amortized cost of available-for-sale and held-to-maturity securities are net of the allowance for credit loss of $9 million and $1 million, respectively. The allowance for credit loss related to available-for-sale securities primarily relates to CLOs.

(b) Includes gross unrealized gains of ~~$441~~$407 million and gross unrealized losses of ~~$139~~$200 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~~relate to agency RMBS, U.S. Treasury securities and agency commercial MBS. The unrealized losses ~~are~~ primarily ~~related~~relate to agency RMBS and U.S. Treasury ~~securities and U.S. government agencies.~~securities. The unrealized gains and losses will be amortized into net interest revenue over the contractual lives of the securities.


Securities at Dec. 31, 2021			Gross unrealized
	Amortized cost						Fair value
(in millions)			Gains		Losses
Available-for-sale:
U.S. Treasury	$	28,966	$	771	$	328	$	29,409
Agency RMBS	14,333		270		73		14,530
Sovereign debt/sovereign guaranteed	13,367		79		67		13,379
Agency commercial MBS	8,102		345		42		8,405
Supranational	7,599		24		50		7,573
Foreign covered bonds	6,236		25		23		6,238
CLOs	4,441		3		5		4,439
Non-agency commercial MBS	3,083		65		23		3,125
Non-agency RMBS	2,641		132		25		2,748
Foreign government agencies	2,694		9		17		2,686
U.S. government agencies	2,464		99		27		2,536
State and political subdivisions	2,543		11		40		2,514
Other ABS	2,205		7		22		2,190
Corporate bonds	2,099		19		52		2,066
Other debt securities	1		—		—		1
Total securities available-for-sale (a)(b)	$	100,774	$	1,859	$	794	$	101,839
Held-to-maturity:
Agency RMBS	$	36,167	$	428	$	388	$	36,207
U.S. Treasury	11,617		36		103		11,550
Agency commercial MBS	4,068		41		52		4,057
U.S. government agencies	2,998		—		71		2,927
CLOs	983		—		1		982
Sovereign debt/sovereign guaranteed	922		18		2		938
Supranational	54		—		—		54
Non-agency RMBS	43		2		—		45
State and political subdivisions	14		1		—		15
Total securities held-to-maturity	$	56,866	$	526	$	617	$	56,775
Total securities	$	157,640	$	2,385	$	1,411	$	158,614

(a) 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.

(b) Includes gross unrealized gains of $455 million and gross unrealized losses of $75 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~~relate to U.S. Treasury securities, agency RMBS and agency commercial MBS. The unrealized losses ~~are~~ primarily ~~related~~relate to U.S. Treasury securities and agency RMBS. The unrealized gains and losses will be amortized into net interest revenue over the contractual lives of the securities.

54 BNY Mellon 59


Notes to Consolidated Financial Statements (continued)

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


Net securities gains (losses)	Net securities gains (losses)							Net securities gains (losses)
(in millions)	(in millions)	1Q22		4Q21		1Q21		(in millions)	2Q22		1Q22		2Q21		YTD22		YTD21
Realized gross gains	Realized gross gains	$	73	$	7	$	12	Realized gross gains	$	7	$	73	$	6	$	80	$	18
Realized gross losses	Realized gross losses	(69)		(6)		(12)		Realized gross losses	(7)		(69)		(4)		(76)		(16)

Total net securities gains	Total net securities gains	$	4	$	1	$	—	Total net securities gains	$	—	$	4	$	2	$	4	$	2

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


Net securities gains (losses)	Net securities gains (losses)							Net securities gains (losses)
(in millions)	(in millions)	1Q22		4Q21		1Q21		(in millions)	2Q22		1Q22		2Q21		YTD22		YTD21
Agency RMBS		$	49	$	—	$	1
Non-agency RMBS								Non-agency RMBS	$	—	$	49	$	—	$	49	$	2
U.S. Treasury	U.S. Treasury	11		1		(4)		U.S. Treasury	1		11		—		12		(4)
State and political subdivisions	State and political subdivisions	(13)		—		—		State and political subdivisions	—		(13)		—		(13)		—
Corporate bonds	Corporate bonds	(47)		(3)		—		Corporate bonds	(4)		(47)		—		(51)		—
Other	Other	4		3		3		Other	3		4		2		7		4
Total net securities gains	Total net securities gains	$	4	$	1	$	—	Total net securities gains	$	—	$	4	$	2	$	4	$	2

In the second quarter of 2022, agency RMBS and agency commercial MBS, with an aggregate amortized cost of $975 million and fair value of $906 million were transferred from available-for-sale securities to held-to-maturity securities. In the first quarter of 2022, agency RMBS, U.S. government agencies and agency commercial MBS, with an aggregate amortized cost of $5.3 billion and fair value of $5.2 billion were transferred from available-for-sale securities to held-to-maturity ~~securities to~~securities. Both transfers reduce the impact of changes in interest rates on accumulated other comprehensive income.

Allowance for credit losses – Securities

The allowance for credit losses related to securities was $10 million at ~~March 31,~~June 30, 2022 and $10 million at Dec. 31, 2021, and primarily relates to the available-for-sale CLO portfolio.

Credit quality indicators – Securities

At ~~March 31,~~June 30, 2022, the gross unrealized losses on the securities portfolio were primarily attributable to an increase in interest rates from the date of purchase, and for certain securities that were transferred from available-for-sale to held-to-maturity, an increase in interest rates through the date they were transferred. Specifically, ~~$139~~$200 million of the unrealized losses at ~~March 31,~~June 30, 2022 and $75 million at Dec. 31, 2021 reflected in the tables below relate to certain securities that were previously transferred 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.

60 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, 2022		Less than 12 months						12 months or more							Total
		Fair value		Unrealized losses				Fair value			Unrealized losses				Fair value			Unrealized losses
Available-for-sale securities in an unrealized loss position without an allowance for credit losses at June 30, 2022						Available-for-sale securities in an unrealized loss position without an allowance for credit losses at June 30, 2022	Less than 12 months														12 months or more						Total
																					Fair value		Unrealized losses				Fair value		Unrealized losses			Fair value		Unrealized losses
(in millions)	(in millions)						Fair value						Unrealized losses				Fair value			Unrealized losses											Fair value					Unrealized losses	(in millions)
U.S. Treasury	U.S. Treasury					U.S. Treasury				$	26,959			$	1,593									$	3,198	$	414			$		30,157	$	2,007
Sovereign debt/sovereign guaranteed	Sovereign debt/sovereign guaranteed	7,654		172				1,013			72				8,667			244			Sovereign debt/sovereign guaranteed	8,200		221				1,409		122			9,609		343
Agency RMBS	Agency RMBS	6,401		171				221			31				6,622			202			Agency RMBS	7,709		305				297		23			8,006		328
Agency commercial MBS	Agency commercial MBS	4,922		220				533			14				5,455			234			Agency commercial MBS	6,511		353				805		57			7,316		410
Supranational	Supranational	4,420		140				731			48				5,151			188			Supranational	4,480		179				904		85			5,384		264
CLOs	CLOs	4,341		28				280			4				4,621			32			CLOs	4,748		135				313		12			5,061		147
Foreign covered bonds	Foreign covered bonds	4,175		114				98			8				4,273			122			Foreign covered bonds	4,307		151				481		34			4,788		185
Non-agency commercial MBS	Non-agency commercial MBS	2,515		103				407			41				2,922			144			Non-agency commercial MBS	2,565		205				438		62			3,003		267
Foreign government agencies	Foreign government agencies	1,991		42				303			19				2,294			61			Foreign government agencies	1,966		59				381		25			2,347		84
Non-agency RMBS	Non-agency RMBS	1,441		59				613			32				2,054			91			Non-agency RMBS	1,245		73				823		86			2,068		159
State and political subdivisions	State and political subdivisions	1,673		149				163			17				1,836			166			State and political subdivisions	1,306		173				461		68			1,767		241
U.S. government agencies	U.S. government agencies	1,409		62				364			30				1,773			92			U.S. government agencies	1,517		113				182		23			1,699		136
Other ABS	Other ABS	1,231		53				436			20				1,667			73			Other ABS	1,087		71				495		32			1,582		103
Corporate bonds	Corporate bonds	524		33				556			70				1,080			103			Corporate bonds	653		49				559		109			1,212		158

Total securities available-for-sale (a)	Total securities available-for-sale (a)	$	64,683	$	2,470			$	8,600		$	705			$	73,283		$	3,175		Total securities available-for-sale (a)	$	73,253	$	3,680			$	10,746	$	1,152		$	83,999	$	4,832

(a) Includes ~~$115~~$134 million gross unrealized losses for less than 12 months and ~~$24~~$66 million of gross unrealized losses 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 U.S. Treasury securities ~~and U.S. government agencies~~ and will be amortized into net interest revenue over the contractual lives of the securities.


Available-for-sale securities in an unrealized loss position without an allowance for credit losses at Dec. 31, 2021	Less than 12 months				12 months or more				Total
	Fair value		Unrealized losses		Fair value		Unrealized losses		Fair value		Unrealized losses
(in millions)
U.S. Treasury	$	16,855	$	235	$	1,944	$	93	$	18,799	$	328
Sovereign debt/sovereign guaranteed	6,040		66		58		1		6,098		67
Agency RMBS	4,089		44		457		29		4,546		73
Supranational	3,093		44		305		6		3,398		50
Agency commercial MBS	2,233		39		585		3		2,818		42
Foreign covered bonds	2,694		23		—		—		2,694		23
CLOs	1,808		3		318		2		2,126		5
Non-agency RMBS	1,573		20		345		5		1,918		25
State and political subdivisions	1,848		40		13		—		1,861		40
U.S. government agencies	1,780		27		—		—		1,780		27
Other ABS	1,383		20		201		2		1,584		22
Foreign government agencies	1,446		17		15		—		1,461		17
Corporate bonds	1,247		42		198		10		1,445		52
Non-agency commercial MBS	947		16		222		7		1,169		23

Total securities available-for-sale (a)	$	47,036	$	636	$	4,661	$	158	$	51,697	$	794

(a) Includes $47 million of gross unrealized losses for less than 12 months and $28 million of gross unrealized losses 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 U.S. Treasury securities and agency RMBS and will be amortized into net interest revenue over the contractual lives of the securities.

56 BNY Mellon 61


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, 2022								Ratings (a)
Held-to-maturity securities portfolio at June 30, 2022																				Held-to-maturity securities portfolio at June 30, 2022									Ratings (a)
				Net unrealized gain (loss)										BB+ and lower											Net unrealized gain (loss)										BB+ and lower
(dollars in millions)	(dollars in millions)	Amortized cost				AAA/ AA-		A+/ A-		BBB+/ BBB-		Not rated				(dollars in millions)	Amortized cost				Net unrealized gain (loss)		AAA/ AA-				A+/ A-		BBB+/ BBB-		BB+ and lower
Agency RMBS	Agency RMBS	$	38,043			$	(1,911)			100	%	—	%	—	%	—	%			—			%	Agency RMBS	$	36,947	$	(3,007)					100	%	—	%	—	%			—	%
U.S. Treasury	U.S. Treasury	11,704		(523)				100		—		—		—				—		U.S. Treasury	11,347				(685)				100		—		—		—				—
Agency commercial MBS	Agency commercial MBS	4,318		(215)				100		—		—		—				—		Agency commercial MBS	4,319				(296)				100		—		—		—				—
U.S. government agencies	U.S. government agencies	4,064		(276)				100		—		—		—				—		U.S. government agencies	4,061				(380)				100		—		—		—				—
Sovereign debt/sovereign guaranteed (b)	Sovereign debt/sovereign guaranteed (b)	1,151		(7)				100		—		—		—				—		Sovereign debt/sovereign guaranteed (b)	1,472				(26)				100		—		—		—				—
CLOs	CLOs	983		(9)				100		—		—		—				—		CLOs	983				(34)				100		—		—		—				—
Supranational	Supranational	236		(5)				100		—		—		—				—		Supranational	325				(10)				100		—		—		—				—
Foreign government agencies	Foreign government agencies	52		—				100		—		—		—				—		Foreign government agencies	64				(1)				100		—		—		—				—
Non-agency RMBS	Non-agency RMBS	38		2				23		59		2		15				1		Non-agency RMBS	34				1				22		59		2		16				1
State and political subdivisions	State and political subdivisions	13		1				5		2		3		—				90		State and political subdivisions	14				(1)				3		2		3		—				92
Total held-to-maturity securities	Total held-to-maturity securities	$	60,602	$	(2,943)			100	%	—	%	—	%	—	%			—	%	Total held-to-maturity securities	$	59,566			$	(4,439)			100	%	—	%	—	%	—	%			—	%

(a) Represents ratings by Standard & Poor’s (“S&P”) or the equivalent.

(b) Primarily consists of exposure to Germany, France ~~Germany~~ and ~~the~~ UK.


Held-to-maturity securities portfolio at Dec. 31, 2021					Ratings (a)
			Net unrealized gain (loss)								BB+ and lower
(dollars in millions)	Amortized cost				AAA/ AA-		A+/ A-		BBB+/ BBB-				Not rated
Agency RMBS	$	36,167	$	40	100	%	—	%	—	%	—	%		—	%
U.S. Treasury	11,617		(67)		100		—		—		—			—
Agency commercial MBS	4,068		(11)		100		—		—		—			—
U.S. government agencies	2,998		(71)		100		—		—		—			—
CLOs	983		(1)		100		—		—		—			—
Sovereign debt/sovereign guaranteed (b)	922		16		100		—		—		—			—
Supranational	54		—		100		—		—		—			—
Non-agency RMBS	43		2		23		59		2		15			1
State and political subdivisions	14		1		5		2		5		—			88


Total held-to-maturity securities	$	56,866	$	(91)	100	%	—	%	—	%	—	%		—	%

(a) Represents ratings by S&P or the equivalent.

(b) Primarily consists of exposure to France, UK and Germany.

62 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, 2022
		Within 1 year				1-5 years				5-10 years				After 10 years				Total
Maturity distribution and yields on securities at June 30, 2022																						Maturity distribution and yields on securities at June 30, 2022
																							Within 1 year				1-5 years				5-10 years				After 10 years				Total
(dollars in millions)	(dollars in millions)	Amount		Yield (a)		Amount		Yield (a)		Amount		Yield (a)		Amount		Yield (a)		Amount		Yield (a)		(dollars in millions)	Amount		Yield (a)		Amount		Yield (a)		Amount		Yield (a)		Amount		Yield (a)		Amount		Yield (a)
Available-for-sale:	Available-for-sale:																					Available-for-sale:
U.S. Treasury	U.S. Treasury	$	811	1.65	%	$	14,321	0.97	%	$	10,321	1.13	%	$	2,514	2.92	%	$	27,967	1.21	%	U.S. Treasury	$	3,978	1.84	%	$	15,195	1.05	%	$	9,052	1.15	%	$	2,242	2.92	%	$	30,467	1.32	%
Sovereign debt/sovereign guaranteed	Sovereign debt/sovereign guaranteed	3,581		0.79		7,052		0.61		1,314		0.42		7		(0.12)		11,954		0.64		Sovereign debt/sovereign guaranteed	3,750		1.27		6,242		0.79		1,020		0.38		80		1.78		11,092		0.91
Supranational	Supranational	727		0.80		5,123		0.71		1,638		0.80		20		(0.09)		7,508		0.73		Supranational	905		1.05		4,964		1.15		1,662		1.50		17		(0.09)		7,548		1.21
Foreign covered bonds	Foreign covered bonds	1,638		1.14		3,909		0.76		703		0.04		—		—		6,250		0.77		Foreign covered bonds	1,503		1.27		3,735		1.09		590		0.08		—		—		5,828		1.03
Foreign government agencies	Foreign government agencies	608		0.74		1,987		0.57		124		0.22		—		—		2,719		0.59		Foreign government agencies	583		0.91		1,918		0.99		35		0.16		—		—		2,536		0.96
State and political subdivisions																						State and political subdivisions	145		3.47		646		1.63		1,030		1.61		202		2.33		2,023		1.81
U.S. government agencies	U.S. government agencies	—		��		1,158		1.10		1,127		2.04		201		2.53		2,486		1.64		U.S. government agencies	—		—		579		2.19		1,160		2.22		186		2.52		1,925		2.24
State and political subdivisions		169		3.51		610		1.71		1,141		1.59		221		2.29		2,141		1.84
Corporate bonds	Corporate bonds	161		2.27		388		2.46		883		1.61		24		2.01		1,456		1.90		Corporate bonds	114		2.30		357		2.59		804		1.61		22		2.01		1,297		1.92
Other debt securities	Other debt securities	—		—		—		—		—		—		1		3.73		1		3.73		Other debt securities	—		—		—		—		—		—		1		3.70		1		3.70
Mortgage-backed securities:	Mortgage-backed securities:																					Mortgage-backed securities:
Agency RMBS	Agency RMBS																	9,650		1.53		Agency RMBS																	8,303		2.14
Non-agency RMBS	Non-agency RMBS																	2,498		2.85		Non-agency RMBS																	2,311		3.20
Agency commercial MBS	Agency commercial MBS																	8,359		2.11		Agency commercial MBS																	8,179		2.31
Non-agency commercial MBS	Non-agency commercial MBS																	3,084		2.28		Non-agency commercial MBS																	3,003		2.45
CLOs	CLOs																	4,841		1.41		CLOs																	5,097		2.15
Other ABS	Other ABS																	1,880		1.61		Other ABS																	1,668		1.72
Total securities available-for-sale	Total securities available-for-sale	$	7,695	1.04	%	$	34,548	0.85	%	$	17,251	1.11	%	$	2,988	2.80	%	$	92,794	1.30	%	Total securities available-for-sale	$	10,978	1.48	%	$	33,636	1.06	%	$	15,353	1.22	%	$	2,750	2.78	%	$	91,278	1.57	%
Held-to-maturity:	Held-to-maturity:																					Held-to-maturity:
U.S. Treasury	U.S. Treasury	$	1,841	1.93	%	$	7,664	1.27	%	$	2,199	1.15	%	$	—	—	%	$	11,704	1.35	%	U.S. Treasury	$	1,590	1.91	%	$	7,800	1.26	%	$	1,957	1.16	%	$	—	—	%	$	11,347	1.33	%
U.S. government agencies	U.S. government agencies	—		—		1,848		1.13		1,955		1.57		261		1.90		4,064		1.39		U.S. government agencies	—		—		1,937		1.20		1,864		1.52		260		1.90		4,061		1.39
Sovereign debt/sovereign guaranteed	Sovereign debt/sovereign guaranteed	169		0.30		887		0.88		95		0.53		—		—		1,151		0.77		Sovereign debt/sovereign guaranteed	193		0.25		1,190		0.87		89		0.53		—		—		1,472		0.77
Supranational																						Supranational	—		—		325		0.70		—		—		—		—		325		0.70
Foreign government agencies	Foreign government agencies	—		—		52		0.40		—		—		—		—		52		0.40		Foreign government agencies	—		—		64		0.79		—		—		—		—		64		0.79
Supranational		—		—		236		0.69		—		—		—		—		236		0.69
State and political subdivisions	State and political subdivisions	1		5.47		1		5.70		3		4.65		8		4.80		13		4.87		State and political subdivisions	1		5.51		1		5.76		4		4.65		8		4.80		14		4.84
Mortgage-backed securities:	Mortgage-backed securities:																					Mortgage-backed securities:
Agency RMBS	Agency RMBS																	38,043		2.29		Agency RMBS																	36,947		2.29
Non-agency RMBS	Non-agency RMBS																	38		1.66		Non-agency RMBS																	34		1.80
Agency commercial MBS	Agency commercial MBS																	4,318		2.29		Agency commercial MBS																	4,319		2.28
CLOs	CLOs																	983		1.37		CLOs																	983		2.10
Total securities held-to-maturity	Total securities held-to-maturity	$	2,011	1.79	%	$	10,688	1.20	%	$	4,252	1.33	%	$	269	1.99	%	$	60,602	2.00	%	Total securities held-to-maturity	$	1,784	1.73	%	$	11,317	1.19	%	$	3,914	1.32	%	$	268	1.98	%	$	59,566	2.00	%
Total securities	Total securities	$	9,706	1.20	%	$	45,236	0.93	%	$	21,503	1.15	%	$	3,257	2.73	%	$	153,396	1.57	%	Total securities	$	12,762	1.52	%	$	44,953	1.09	%	$	19,267	1.24	%	$	3,018	2.72	%	$	150,844	1.73	%

(a) Yields are based upon the amortized cost of securities and consider the contractual coupon, amortization of premiums and accretion of discounts, excluding the effect of related hedging derivatives.

Pledged assets

At ~~March 31,~~June 30, 2022, BNY Mellon had pledged assets of ~~$141~~$140 billion, including ~~$112~~$111 billion pledged as collateral for potential borrowings at the Federal Reserve Discount Window and $7$8 billion pledged as collateral for borrowing at the Federal Home Loan Bank. The components of the assets pledged at ~~March 31,~~June 30, 2022 included ~~$124~~$123 billion of securities, ~~$12~~$13 billion of loans, $5$3 billion of trading assets and ~~less than~~ $1 billion of interest-bearing deposits with banks.

If there has been no borrowing at the Federal Reserve Discount Window, the Federal Reserve generally

allows banks to freely move assets in and out of their

pledged assets account to sell or repledge the assets for other purposes. BNY Mellon regularly moves assets in and out of its pledged assets account at the Federal Reserve.

At Dec. 31, 2021, BNY Mellon had pledged assets of $144 billion, including $112 billion pledged as collateral for potential borrowing at the Federal Reserve Discount Window and $7 billion pledged as collateral for borrowing at the Federal Home Loan Bank. The components of the assets pledged at Dec. 31, 2021 included $126 billion of securities, $12 billion of loans, $5 billion of trading assets and $1 billion of interest-bearing deposits with banks.

58 BNY Mellon 63


Notes to Consolidated Financial Statements (continued)

At ~~March 31,~~June 30, 2022 and Dec. 31, 2021, pledged assets included $21 billion and $24 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,~~June 30, 2022 and Dec. 31, 2021, the market value of the securities received that can be sold or repledged was ~~$109~~$92 billion and $122 billion, respectively. We routinely sell or repledge these securities through delivery to third parties. As of ~~March 31,~~June 30, 2022 and Dec. 31, 2021, the market value of securities collateral sold or repledged was ~~$68~~$57 billion and $78 billion, respectively.

Restricted cash and securities

Cash and securities may be segregated under federal and other regulations or requirements. At ~~March 31,~~June 30, 2022 and Dec. 31, 2021, cash segregated under federal and other regulations or requirements was ~~$3 billion and~~ $4 ~~billion, respectively.~~billion. Restricted cash is primarily included in interest-bearing deposits with banks on the consolidated balance sheet. Securities segregated under federal and other regulations or requirements were $4$5 billion at ~~March 31,~~June 30, 2022 and $4 billion at Dec. 31, 2021. Restricted securities were sourced from securities purchased under resale agreements and are included in federal funds sold and securities purchased under resale agreements on the consolidated balance sheet.

Note 4–Loans and asset quality

Loans

The table below provides the details of our loan portfolio.


Loans	Loans	March 31, 2022		Dec. 31, 2021		Loans	June 30, 2022		Dec. 31, 2021
(in millions)	(in millions)					(in millions)
Commercial	Commercial	$	1,839	$	2,128	Commercial	$	2,423	$	2,128
Commercial real estate	Commercial real estate	6,031		6,033		Commercial real estate	6,095		6,033
Financial institutions	Financial institutions	9,230		10,232		Financial institutions	10,627		10,232
Lease financings	Lease financings	707		731		Lease financings	702		731
Wealth management loans	Wealth management loans	10,134		9,792		Wealth management loans	10,853		9,792
Wealth management mortgages	Wealth management mortgages	8,416		8,200		Wealth management mortgages	8,777		8,200
Other residential mortgages	Other residential mortgages	285		299		Other residential mortgages	369		299
Capital call financing	Capital call financing	2,625		2,284		Capital call financing	3,602		2,284
Other	Other	2,626		2,541		Other	2,790		2,541
Overdrafts	Overdrafts	4,040		3,060		Overdrafts	3,793		3,060
Margin loans	Margin loans	22,119		22,487		Margin loans	19,316		22,487
Total loans (a)	Total loans (a)	$	68,052	$	67,787	Total loans (a)	$	69,347	$	67,787

(a) Net of unearned income of ~~$233~~$235 million at ~~March 31,~~June 30, 2022 and $240 million at Dec. 31, 2021 primarily related to lease financings.

We disclose information related to our loans and asset quality by the class of the financing receivable in the following tables.

64 BNY Mellon 59


Notes to Consolidated Financial Statements (continued)

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, 2022										Wealth management loans		Wealth management mortgages		Other residential mortgages		Capital call financing
Allowance for credit losses activity for the quarter ended June 30, 2022																		Allowance for credit losses activity for the quarter ended June 30, 2022								Wealth management loans		Wealth management mortgages		Other residential mortgages		Capital call financing
(in millions)	(in millions)	Commercial		Commercial real estate		Financial institutions		Lease financings						Wealth management loans		Wealth management mortgages		Other residential mortgages	Capital call financing				Total		(in millions)									Commercial		Commercial real estate		Financial institutions	Lease financings		Total
Beginning balance	Beginning balance	$	12	$	199	$	13	$	1			$	241								Beginning balance	$	12	$	176	$	15	$	1	$	1	$	9	$	7	$	3		$	224
Charge-offs	Charge-offs	—		—		—		—		—		—		—		—			—		Charge-offs	—		—		—		—		—		—		—		—			—
Recoveries	Recoveries	—		—		—		—		—		—		1		—			1		Recoveries	—		—		—		—		—		—		1		—			1
Net recoveries		—		—		—		—		—		—		1		—			1
Net (charge-offs) recoveries																					Net (charge-offs) recoveries	—		—		—		—		—		—		1		—			1
Provision (a)	Provision (a)	—		(23)		2		—		—		3		(1)		1			(18)		Provision (a)	4		8		6		—		—		(2)		(1)		3			18
Ending balance	Ending balance	$	12	$	176	$	15	$	1	$	1	$	9	$	7	$	3		$	224	Ending balance	$	16	$	184	$	21	$	1	$	1	$	7	$	7	$	6		$	243
Allowance for:	Allowance for:																				Allowance for:
Loan losses	Loan losses	$	2	$	142	$	7	$	1	$	1	$	8	$	7	$	3		$	171	Loan losses	$	4	$	147	$	10	$	1	$	1	$	6	$	7	$	5		$	181
Lending-related commitments	Lending-related commitments	10		34		8		—		—		1		—		—			53		Lending-related commitments	12		37		11		—		—		1		—		1			62
Individually evaluated for impairment:	Individually evaluated for impairment:																				Individually evaluated for impairment:
Loan balance (b)	Loan balance (b)	$	—	$	121	$	—	$	—	$	—	$	18	$	1	$	—		$	140	Loan balance (b)	$	—	$	121	$	—	$	—	$	—	$	14	$	1	$	—		$	136
Allowance for loan losses	Allowance for loan losses	—		1		—		—		—		1		—		—			2		Allowance for loan losses	—		1		—		—		—		—		—		—			1

(a) Does not include the provision for credit losses related to other financial instruments of $29 million for the quarter ended June 30, 2022.

(b) Includes collateral-dependent loans of $136 million with $179 million of collateral at fair value.


Allowance for credit losses activity for the quarter ended March 31, 2022									Wealth management loans		Wealth management mortgages		Other residential mortgages		Capital call financing
(in millions)	Commercial		Commercial real estate		Financial institutions		Lease financings										Total
Beginning balance	$	12	$	199	$	13	$	1	$	1	$	6	$	7	$	2	$	241
Charge-offs	—		—		—		—		—		—		—		—		—
Recoveries	—		—		—		—		—		—		1		—		1
Net recoveries	—		—		—		—		—		—		1		—		1
Provision (a)	—		(23)		2		—		—		3		(1)		1		(18)
Ending balance	$	12	$	176	$	15	$	1	$	1	$	9	$	7	$	3	$	224
Allowance for:
Loan losses	$	2	$	142	$	7	$	1	$	1	$	8	$	7	$	3	$	171
Lending-related commitments	10		34		8		—		—		1		—		—		53
Individually evaluated for impairment:
Loan balance (b)	$	—	$	121	$	—	$	—	$	—	$	18	$	1	$	—	$	140
Allowance for loan losses	—		1		—		—		—		1		—		—		2

(a) Does not include the provision for credit losses related to other financial instruments of $20 million for the quarter ended March 31, 2022.

(b) Includes collateral-dependent loans of $140 million with $183 million of collateral at fair value.

Allowance for credit losses activity for the quarter ended Dec. 31, 2021 Wealth management loans Wealth management mortgages Other
residential
mortgages Capital call financing
(in millions) Commercial Commercial
real estate Financial
institutions Lease
financings Other Total
Beginning balance $ 10 $ 226 $ 8 $ 1 $ 1 $ 4 $ 6 $ 1 $ 16 $ 273
Charge-offs — — — — — — — — (16) (16)
Recoveries — — — — — — 2 — — 2
Net (charge-offs) recoveries — — — — — — 2 — (16) (14)
Provision (a)
2 (27) 5 — — 2 (1) 1 — (18)
Ending balance $ 12 $ 199 $ 13 $ 1 $ 1 $ 6 $ 7 $ 2 $ — $ 241
Allowance for:
Loan losses $ 3 $ 171 $ 6 $ 1 $ 1 $ 5 $ 7 $ 2 $ — $ 196
Lending-related commitments 9 28 7 — — 1 — — — 45
Individually evaluated for impairment:
Loan balance (b)
$ — $ 111 $ — $ — $ — $ 18 $ 1 $ — $ — $ 130
Allowance for loan losses — 5 — — — — — — — 5

~~(a) Does not include the provision for credit losses benefit related to other financial instruments of $1 million for the quarter ended Dec. 31, 2021.~~

~~(b) Includes collateral-dependent loans of $130 million with $149 million of collateral at fair value.~~

60 BNY Mellon 65


Notes to Consolidated Financial Statements (continued)


Allowance for credit losses activity for the quarter ended March 31, 2021 (a)										Wealth management loans (b)		Wealth management mortgages (b)		Other residential mortgages		Capital call financing			Total
Allowance for credit losses activity for the quarter ended June 30, 2021																		Allowance for credit losses activity for the quarter ended June 30, 2021									Wealth management loans (a)		Wealth management mortgages (a)		Other residential mortgages		Capital call financing (a)				Total
(in millions)	(in millions)	Commercial		Commercial real estate		Financial institutions		Lease financings				Wealth management loans (b)		Wealth management mortgages (b)		Other residential mortgages		Capital call financing				Total		(in millions)	Commercial										Commercial real estate				Financial institutions		Lease financings		Wealth management loans (a)
Beginning balance	Beginning balance	$	16	$	430	$	10	$	2	$	479								Beginning balance		$			11	$	365	$	6	$	—	$	6	$	9	$	1			$	400
Charge-offs	Charge-offs	—		—		—		—		—		(1)		—		—			(1)			Charge-offs	—		—		—		—		—		—		(1)		—				(1)
Recoveries	Recoveries	—		—		—		—		—		—		2		—			2			Recoveries	—		—		2		—		—		—		1		—				3
Net (charge-offs) recoveries		—		—		—		—		—		(1)		2		—			1
Net recoveries																						Net recoveries	—		—		2		—		—		—		—		—				2
Provision ~~(a)~~(b)	Provision ~~(a)~~(b)	(5)		(65)		(4)		—		(1)		—		(6)		1			(80)			Provision ~~(a)~~(b)	(3)		(76)		(2)		—		1		(2)		(1)		—				(83)
Ending balance	Ending balance	$	11	$	365	$	6	$	2	$	—	$	6	$	9	$	1		$	400		Ending balance	$	8	$	289	$	6	$	2	$	1	$	4	$	8	$	1			$	319
Allowance for:	Allowance for:																					Allowance for:
Loan losses	Loan losses	$	4	$	303	$	3	$	2	$	—	$	5	$	9	$	1		$	327		Loan losses	$	3	$	248	$	3	$	2	$	1	$	3	$	8	$	1			$	269
Lending-related commitments	Lending-related commitments	7		62		3		—		—		1		—		—			73			Lending-related commitments	5		41		3		—		—		1		—		—				50
Individually evaluated for impairment:	Individually evaluated for impairment:																					Individually evaluated for impairment:
Loan balance (c)	Loan balance (c)	$	—	$	26	$	—	$	—	$	—	$	18	$	1	$	—		$	45		Loan balance (c)	$	—	$	26	$	—	$	—	$	—	$	17	$	1	$	—			$	44
Allowance for loan losses	Allowance for loan losses	—		5		—		—		—		—		—		—			5			Allowance for loan losses	—		3		—		—		—		—		—		—				3

(a) ~~Does not include the provision for credit losses related to other financial instruments of $3 million for the first quarter of 2021.~~

~~(b)~~ In 2021, we began disclosing wealth management loans and wealth management mortgages ~~separately.~~separately and capital call financing loans. Beginning balances and the ~~first~~activity for the second quarter of 2021 ~~activity~~ have been revised to be comparable.

(b) Does not include the provision for credit losses benefit related to other financial instruments of $3 million for the second quarter of 2021.


Allowance for credit losses activity for the six months ended June 30, 2022													Other residential mortgages		Capital call financing		Total
(in millions)	Commercial		Commercial real estate		Financial institutions		Lease financings		Wealth management loans		Wealth management mortgages
Beginning balance	$	12	$	199	$	13	$	1	$	1	$	6	$	7	$	2	$	241
Charge-offs	—		—		—		—		—		—		—		—		—
Recoveries	—		—		—		—		—		—		2		—		2
Net recoveries	—		—		—		—		—		—		2		—		2
Provision (b)	4		(15)		8		—		—		1		(2)		4		—
Ending balance	$	16	$	184	$	21	$	1	$	1	$	7	$	7	$	6	$	243

(a) Does not include provision for credit losses related to other financial instruments of $49 million for the six months ended June 30, 2022.


Allowance for credit losses activity for the six months ended June 30, 2021													Other residential mortgages		Capital call financing (a)		Total
(in millions)	Commercial		Commercial real estate		Financial institutions		Lease financings		Wealth management loans (a)		Wealth management mortgages (a)
Beginning balance	$	16	$	430	$	10	$	2	$	1	$	7	$	13	$	—	$	479
Charge-offs	—		—		—		—		—		(1)		(1)		—		(2)
Recoveries	—		—		2		—		—		—		3		—		5
Net recoveries (charge-offs)	—		—		2		—		—		(1)		2		—		3
Provision (b)	(8)		(141)		(6)		—		—		(2)		(7)		1		(163)
Ending balance	$	8	$	289	$	6	$	2	$	1	$	4	$	8	$	1	$	319

(a) In 2021, we began disclosing wealth management loans and wealth management mortgages separately and capital call financing loans. Beginning balances and the activity for the first six months of 2021 have been revised to be comparable.

(b) Does not include provision for credit losses benefit related to other financial instruments of $6 million for the six months ended June 30, 2021.

66 BNY Mellon


Notes to Consolidated Financial Statements (continued)

Nonperforming assets

The table below presents our nonperforming assets.


Nonperforming assets	Nonperforming assets	March 31, 2022						Dec. 31, 2021						Nonperforming assets	June 30, 2022						Dec. 31, 2021
		Recorded investment						Recorded investment							Recorded investment						Recorded investment
		With an allowance		Without an allowance				With an allowance		Without an allowance					With an allowance		Without an allowance				With an allowance		Without an allowance
(in millions)	(in millions)					Total						Total		(in millions)					Total						Total
Nonperforming loans:	Nonperforming loans:													Nonperforming loans:

Commercial real estate														Commercial real estate	$	—	$	54	$	54	$	12	$	42	$	54
Other residential mortgages	Other residential mortgages	$	36	$	1	$	37	$	38	$	1	$	39	Other residential mortgages	34		1		35		38		1		39
Wealth management mortgages	Wealth management mortgages	10		16		26		8		17		25		Wealth management mortgages	9		13		22		8		17		25
Commercial real estate		12		42		54		12		42		54

Total nonperforming loans	Total nonperforming loans	58		59		117		58		60		118		Total nonperforming loans	43		68		111		58		60		118
Other assets owned	Other assets owned	—		2		2		—		2		2		Other assets owned	—		3		3		—		2		2
Total nonperforming assets	Total nonperforming assets	$	58	$	61	$	119	$	58	$	62	$	120	Total nonperforming assets	$	43	$	71	$	114	$	58	$	62	$	120

Past due loans

The table below presents our past due loans.


Past due loans and still accruing interest	Past due loans and still accruing interest	March 31, 2022											Dec. 31, 2021										Past due loans and still accruing interest	June 30, 2022															Dec. 31, 2021
		Days past due							Total past due				Days past due								Total past due
Past due loans and still accruing interest															Past due loans and still accruing interest		Days past due											Total past due				Days past due							Total past due
	(in millions)	30-59			60-89		≥90						Total past due							30-59			60-89		≥90		Total past due					30-59						60-89							≥90			30-59			60-89	≥90
Wealth management loans		$	101		$	5	$	—	$	33	$	—			$	—
Capital call financing	Capital call financing	50			17		—		67				—		—			—			—		Capital call financing	$	—				$	120			$	—		$	120			$	—		$	—		$	—		$	—
Commercial real estate	Commercial real estate	31			15		—		46				3		—			—			3		Commercial real estate	39				—				—			39				3			—			—			3
Wealth management loans																							Wealth management loans	26				1				—			27				33			—			—			33
Financial institutions																							Financial institutions	9				10				—			19				31			—			—			31
Other residential mortgages																							Other residential mortgages	8				—				—			8				2			1			—			3
Wealth management mortgages	Wealth management mortgages	16			—		—		16				24		—			—			24		Wealth management mortgages	—				—				—			—				24			—			—			24
Other residential mortgages		3			—		—		3				2		1			—			3
Commercial		1			—		—		1				—		—			—			—
Financial institutions		—			—		—		—				31		—			—			31

Total past due loans	Total past due loans	$	202	(a)	$	37	$	—	$	239			$	93	$	1		$	—		$	94	Total past due loans	$	82	(a)		$	131		(a)	$	—		$	213			$	93		$	1		$	—		$	94

(a) ~~Over $130~~Past due loans for 30-59 days of $26 million ~~of the 30-59 days~~and past due loans for 60-89 days of $121 million have been collected since ~~March 31,~~June 30, 2022.

Loan modifications

A modified loan is considered a troubled debt restructuring (“TDR”) if the debtor is experiencing

financial difficulties and the creditor grants a concession to the debtor that would not otherwise be considered. A TDR may include a transfer of real estate or other assets from the debtor to the creditor, or a modification of the term of the loan. Not all

~~BNY Mellon 61~~


~~Notes to Consolidated Financial Statements~~ ~~(continued)~~

modified loans are considered TDRs. There were no TDRs in the first ~~quarter~~six months of 2022.

Due to the coronavirus pandemic, there were 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. The extension period ended Jan. 1, 2022. See Note 1 of the Notes to Consolidated Financial Statements in our 2021 Annual Report for additional details on the CARES Act, Consolidated Appropriations Act, 2021, and Interagency Guidance. Loans modified under the CARES Act or Interagency Guidance totaled $6$3 million in the ~~first quarter of 2021 and $58 million in the fourth~~second quarter of 2021. 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. ~~There were no long-term loan modifications in the fourth quarter of 2021.~~ At ~~March 31,~~June 30, 2022, the unpaid principal balance of the loans modified under the CARES Act or Interagency Guidance was $122 million.

BNY Mellon 67


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 portfolio	Credit profile of the loan portfolio													March 31, 2022								Credit profile of the loan portfolio													June 30, 2022
														Revolving loans																					Revolving loans
		Originated, at amortized cost												Amortized cost		Converted to term loans – Amortized cost				Accrued interest receivable			Originated, at amortized cost												Amortized cost		Converted to term loans – Amortized cost				Accrued interest receivable
(in millions)	(in millions)	1Q22		2021		2020		2019		2018		Prior to 2018						Total (a)				(in millions)	YTD22		2021		2020		2019		2018		Prior to 2018						Total (a)
Commercial:	Commercial:																					Commercial:
Investment grade	Investment grade	$	94	$	380	$	20	$	—	$	13	$	145	$	1,029	$	—	$	1,681			Investment grade	$	375	$	324	$	20	$	—	$	17	$	145	$	1,409	$	—	$	2,290
Non-investment grade	Non-investment grade	89		6		—		—		—		—		63		—		158				Non-investment grade	86		6		—		—		—		—		41		—		133
Total commercial	Total commercial	183		386		20		—		13		145		1,092		—		1,839		$	1	Total commercial	461		330		20		—		17		145		1,450		—		2,423		$	2
Commercial real estate:	Commercial real estate:																					Commercial real estate:
Investment grade	Investment grade	232		1,437		443		705		173		866		203		—		4,059				Investment grade	568		1,288		452		814		173		890		233		—		4,418
Non-investment grade	Non-investment grade	162		670		159		507		284		94		70		26		1,972				Non-investment grade	387		469		156		378		189		50		23		25		1,677
Total commercial real estate	Total commercial real estate	394		2,107		602		1,212		457		960		273		26		6,031		9		Total commercial real estate	955		1,757		608		1,192		362		940		256		25		6,095		12
Financial institutions:	Financial institutions:																					Financial institutions:
Investment grade	Investment grade	70		631		—		—		—		53		7,489		—		8,243				Investment grade	162		566		—		—		—		38		8,240		—		9,006
Non-investment grade	Non-investment grade	35		15		—		—		—		—		937		—		987				Non-investment grade	60		—		—		—		—		—		1,561		—		1,621
Total financial institutions	Total financial institutions	105		646		—		—		—		53		8,426		—		9,230		14		Total financial institutions	222		566		—		—		—		38		9,801		—		10,627		26
Wealth management loans:	Wealth management loans:																					Wealth management loans:
Investment grade	Investment grade	12		107		18		72		4		226		9,669		—		10,108				Investment grade	22		105		18		71		—		226		10,353		—		10,795
Non-investment grade	Non-investment grade	—		—		—		—		—		—		26		—		26				Non-investment grade	—		—		—		—		—		—		58		—		58
Total wealth management loans	Total wealth management loans	12		107		18		72		4		226		9,695		—		10,134		14		Total wealth management loans	22		105		18		71		—		226		10,411		—		10,853		22
Wealth management mortgages	Wealth management mortgages	529		2,040		979		822		519		3,504		23		—		8,416		16		Wealth management mortgages	1,169		2,031		959		805		508		3,289		16		—		8,777		17
Lease financings	Lease financings	20		—		59		14		9		605		—		—		707		—		Lease financings	19		—		54		13		8		608		—		—		702		—
Other residential mortgages	Other residential mortgages	—		—		—		—		—		285		—		—		285		1		Other residential mortgages	—		—		—		—		—		369		—		—		369		1
Capital call financing	Capital call financing	—		—		—		—		—		—		2,625		—		2,625		5		Capital call financing	—		—		—		—		—		—		3,602		—		3,602		10
Other loans	Other loans	—		—		—		—		—		—		2,626		—		2,626		2		Other loans	—		—		—		—		—		—		2,790		—		2,790		3
Margin loans	Margin loans	7,092		750		—		—		—		—		14,277		—		22,119		11		Margin loans	5,119		500		—		—		—		—		13,697		—		19,316		17
Total loans	Total loans	$	8,335	$	6,036	$	1,678	$	2,120	$	1,002	$	5,778	$	39,037	$	26	$	64,012	$	73	Total loans	$	7,967	$	5,289	$	1,659	$	2,081	$	895	$	5,615	$	42,023	$	25	$	65,554	$	110

(a) Excludes overdrafts of ~~$4,040~~$3,793 million. Overdrafts occur on a daily basis primarily in the custody and securities clearance business and are generally repaid within two business days.

6268 BNY Mellon


Notes to Consolidated Financial Statements (continued)


Credit profile of the loan portfolio													Dec. 31, 2021
													Revolving loans
	Originated, at amortized cost												Amortized cost		Converted to term loans – Amortized cost				Accrued interest receivable
(in millions)	2021		2020		2019		2018		2017		Prior to 2017						Total (a)
Commercial:
Investment grade	$	348	$	20	$	—	$	8	$	145	$	—	$	1,450	$	—	$	1,971
Non-investment grade	81		—		—		—		—		—		76		—		157
Total commercial	429		20		—		8		145		—		1,526		—		2,128		$	1
Commercial real estate:
Investment grade	1,577		528		683		173		298		601		205		—		4,065
Non-investment grade	660		97		568		351		50		95		121		26		1,968
Total commercial real estate	2,237		625		1,251		524		348		696		326		26		6,033		7
Financial institutions:
Investment grade	705		—		—		—		—		60		8,015		—		8,780
Non-investment grade	20		—		—		—		—		—		1,432		—		1,452
Total financial institutions	725		—		—		—		—		60		9,447		—		10,232		11
Wealth management loans:
Investment grade	117		18		73		6		104		122		9,320		—		9,760
Non-investment grade	1		—		—		—		—		—		31		—		32
Total wealth management loans	118		18		73		6		104		122		9,351		—		9,792		12
Wealth management mortgages	2,058		1,008		855		542		885		2,838		14		—		8,200		14
Lease financings	25		67		15		10		2		612		—		—		731		—
Other residential mortgages	—		—		—		—		—		299		—		—		299		1
Capital call financing	—		—		—		—		—		—		2,284		—		2,284		3
Other loans	—		—		—		—		—		—		2,541		—		2,541		2
Margin loans	7,697		—		—		—		—		—		14,790		—		22,487		10
Total loans	$	13,289	$	1,738	$	2,194	$	1,090	$	1,484	$	4,627	$	40,279	$	26	$	64,727	$	61

(a) Excludes overdrafts of $3,060 million. Overdrafts occur on a daily basis primarily in the custody and securities clearance business and are generally repaid within two business days.

Commercial loans

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 ~~97%~~96% of the exposures meeting the investment grade

equivalent criteria of our internal credit rating classification at ~~March 31,~~June 30, 2022. In addition, ~~64%~~65% 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 84% expiring within one year.

Wealth management loans

Wealth management 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 loan portfolio, therefore, would equate to investment grade external

~~BNY Mellon 63~~


~~Notes to Consolidated Financial Statements~~ ~~(continued)~~

ratings. Wealth management loans are provided to select customers based on the pledge of other types of assets. For the loans collateralized by other assets, the credit quality of the obligor is carefully analyzed,

BNY Mellon 69


Notes to Consolidated Financial Statements (continued)

but we do not consider this portion of wealth management loan portfolio to be investment grade.

Wealth management mortgages

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 61% at origination. Delinquency rate is a key indicator of credit quality in the wealth management portfolio. At ~~March 31,~~June 30, 2022, less than 1% of the mortgages were past due.

Lease financings

At ~~March 31,~~June 30, 2022, the lease financings portfolio consisted of exposures backed by well-diversified assets, primarily real estate and large-ticket transportation equipment. The largest components of our lease residual value exposure relate to aircraft and freight-related rail cars. Assets are both domestic and foreign-based, with primary concentrations in Germany and the U.S.

Other residential mortgages

The other residential mortgages portfolio primarily consists of 1-4 family residential mortgage loans and

totaled ~~$285~~$369 million at ~~March 31,~~June 30, 2022 and $299 million at Dec. 31, 2021. Included in this portfolio at June 30, 2022 were $96 million of fixed-rate jumbo mortgage loans purchased in the second quarter of

2022 with a weighted-average loan-to-value ratio of 69% at origination. These loans are not typically correlated to external ratings.

~~Overdrafts~~Capital call financing

~~Overdrafts primarily relate~~Capital call financing includes loans to ~~custody~~private equity funds that are secured by the fund investors’ capital commitments and ~~securities clearance clients and totaled $4.1 billion at March 31, 2022 and $3.1 billion at Dec. 31, 2021. Overdrafts occur on a daily basis and are generally repaid within~~ ~~two~~ ~~business days.~~the funds’ right to call capital.

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 ~~$22.1~~$19.3 billion of secured margin loans at ~~March 31,~~June 30, 2022, compared with $22.5 billion at Dec. 31, 2021. 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.

~~Capital call financing~~Overdrafts

~~Capital call financing includes loans~~Overdrafts primarily relate to ~~private equity funds that~~custody and securities clearance clients and totaled $3.8 billion at June 30, 2022 and $3.1 billion at Dec. 31, 2021. Overdrafts occur on a daily basis and are ~~secured by the fund investors’ capital commitments and the funds’ right to call capital.~~generally repaid within two business days.

Reverse repurchase agreements

Reverse repurchase agreements at ~~March 31,~~June 30, 2022 and Dec. 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,~~June 30, 2022 and Dec. 31, 2021.

6470 BNY Mellon


Notes to Consolidated Financial Statements (continued)

Note 5–Goodwill and intangible assets

Goodwill

The tables below provide a breakdown of goodwill by business segment.


Goodwill by business segment (in millions)	Goodwill by business segment (in millions)	Securities Services		Market and Wealth Services		Investment and Wealth Management		Consolidated		Goodwill by business segment (in millions)	Securities Services		Market and Wealth Services		Investment and Wealth Management		Consolidated
Balance at Dec. 31, 2021	Balance at Dec. 31, 2021	$	7,062	$	1,435	$	9,015	$	17,512	Balance at Dec. 31, 2021	$	7,062	$	1,435	$	9,015	$	17,512

Foreign currency translation	Foreign currency translation	(18)		(3)		(29)		(50)		Foreign currency translation	(87)		(10)		(144)		(241)
Balance at March 31, 2022		$	7,044	$	1,432	$	8,986	$	17,462
Balance at June 30, 2022										Balance at June 30, 2022	$	6,975	$	1,425	$	8,871	$	17,271


Goodwill by business segment (in millions)	Goodwill by business segment (in millions)	Securities Services		Market and Wealth Services		Investment and Wealth Management		Consolidated		Goodwill by business segment (in millions)	Securities Services		Market and Wealth Services		Investment and Wealth Management		Consolidated
Balance at Dec. 31, 2020	Balance at Dec. 31, 2020	$	7,033	$	1,423	$	9,040	$	17,496	Balance at Dec. 31, 2020	$	7,033	$	1,423	$	9,040	$	17,496
Dispositions	Dispositions	—		—		(5)		(5)		Dispositions	—		—		(5)		(5)
Foreign currency translation	Foreign currency translation	(29)		1		6		(22)		Foreign currency translation	(22)		1		17		(4)

Balance at March 31, 2021		$	7,004	$	1,424	$	9,041	$	17,469
Balance at June 30, 2021										Balance at June 30, 2021	$	7,011	$	1,424	$	9,052	$	17,487

Intangible assets

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


Intangible assets – net carrying amount by business segment (in millions)	Intangible assets – net carrying amount by business segment (in millions)	Securities Services		Market and Wealth Services		Investment and Wealth Management		Other		Consolidated		Intangible assets – net carrying amount by business segment (in millions)	Securities Services		Market and Wealth Services		Investment and Wealth Management		Other		Consolidated
Balance at Dec. 31, 2021	Balance at Dec. 31, 2021	$	230	$	392	$	1,520	$	849	$	2,991	Balance at Dec. 31, 2021	$	230	$	392	$	1,520	$	849	$	2,991

Amortization	Amortization	(8)		(2)		(7)		—		(17)		Amortization	(17)		(4)		(13)		—		(34)
Foreign currency translation	Foreign currency translation	(1)		—		(5)		—		(6)		Foreign currency translation	(6)		—		(17)		—		(23)
Balance at March 31, 2022		$	221	$	390	$	1,508	$	849	$	2,968
Balance at June 30, 2022												Balance at June 30, 2022	$	207	$	388	$	1,490	$	849	$	2,934


Intangible assets – net carrying amount by business segment (in millions)	Intangible assets – net carrying amount by business segment (in millions)	Securities Services		Market and Wealth Services		Investment and Wealth Management		Other		Consolidated		Intangible assets – net carrying amount by business segment (in millions)	Securities Services		Market and Wealth Services		Investment and Wealth Management		Other		Consolidated
Balance at Dec. 31, 2020	Balance at Dec. 31, 2020	$	194	$	414	$	1,555	$	849	$	3,012	Balance at Dec. 31, 2020	$	194	$	414	$	1,555	$	849	$	3,012
Disposition	Disposition	—		—		(6)		—		(6)		Disposition	—		—		(6)		—		(6)
Amortization	Amortization	(8)		(9)		(7)		—		(24)		Amortization	(15)		(14)		(15)		—		(44)
Foreign currency translation	Foreign currency translation	—		(1)		2		—		1		Foreign currency translation	—		—		2		—		2
Balance at March 31, 2021		$	186	$	404	$	1,544	$	849	$	2,983
Balance at June 30, 2021												Balance at June 30, 2021	$	179	$	400	$	1,536	$	849	$	2,964

BNY Mellon 6571


Notes to Consolidated Financial Statements (continued)

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


Intangible assets	Intangible assets	March 31, 2022							Dec. 31, 2021						Intangible assets	June 30, 2022							Dec. 31, 2021
(dollars in millions)	(dollars in millions)	Gross carrying amount		Accumulated amortization		Net carrying amount		Remaining weighted- average amortization period	Gross carrying amount		Accumulated amortization		Net carrying amount		(dollars 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)	Subject to amortization: (a)														Subject to amortization: (a)
Customer contracts—Securities Services	Customer contracts—Securities Services	$	746	$	(526)	$	220	11 years	$	747	$	(518)	$	229	Customer contracts—Securities Services	$	739	$	(532)	$	207	11 years	$	747	$	(518)	$	229
Customer contracts—Market and Wealth Services	Customer contracts—Market and Wealth Services	320		(301)		19		4 years	378		(356)		22		Customer contracts—Market and Wealth Services	314		(297)		17		4 years	378		(356)		22
Customer relationships—Investment and Wealth Management	Customer relationships—Investment and Wealth Management	568		(461)		107		9 years	568		(456)		112		Customer relationships—Investment and Wealth Management	553		(451)		102		9 years	568		(456)		112
Other	Other	47		(10)		37		13 years	47		(8)		39		Other	47		(11)		36		13 years	47		(8)		39
Total subject to amortization	Total subject to amortization	1,681		(1,298)		383		10 years	1,740		(1,338)		402		Total subject to amortization	1,653		(1,291)		362		10 years	1,740		(1,338)		402
Not subject to amortization: (b)	Not subject to amortization: (b)														Not subject to amortization: (b)
Tradename	Tradename	1,293		N/A		1,293		N/A	1,294		N/A		1,294		Tradename	1,290		N/A		1,290		N/A	1,294		N/A		1,294
Customer relationships	Customer relationships	1,292		N/A		1,292		N/A	1,295		N/A		1,295		Customer relationships	1,282		N/A		1,282		N/A	1,295		N/A		1,295
Total not subject to amortization	Total not subject to amortization	2,585		N/A		2,585		N/A	2,589		N/A		2,589		Total not subject to amortization	2,572		N/A		2,572		N/A	2,589		N/A		2,589
Total intangible assets	Total intangible assets	$	4,266	$	(1,298)	$	2,968	N/A	$	4,329	$	(1,338)	$	2,991	Total intangible assets	$	4,225	$	(1,291)	$	2,934	N/A	$	4,329	$	(1,338)	$	2,991

(a) Excludes fully amortized intangible assets.

(b) Intangible assets not subject to amortization have an indefinite life.

N/A – Not applicable.

Estimated annual amortization expense for current intangibles for the next five years is as follows:


For the year ended Dec. 31,	For the year ended Dec. 31,	Estimated amortization expense (in millions)			For the year ended Dec. 31,	Estimated amortization expense (in millions)
2022	2022		$	68	2022		$	67
2023	2023		57		2023		57
2024	2024		50		2024		50
2025	2025		43		2025		43
2026	2026		34		2026		34

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.

BNY Mellon’s business segments include 6 reporting units for which goodwill impairment testing is performed on an annual basis. As a result of the annual goodwill impairment test of the 6 reporting units conducted in the second quarter of 2022, no goodwill impairment was recognized.

Note 6–Other assets

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


Other assets	Other assets	March 31, 2022		Dec. 31, 2021		Other assets	June 30, 2022		Dec. 31, 2021
(in millions)	(in millions)					(in millions)
Corporate/bank-owned life insurance	Corporate/bank-owned life insurance	$	5,375	$	5,359	Corporate/bank-owned life insurance	$	5,380	$	5,359
Fails to deliver	Fails to deliver	4,697		1,561		Fails to deliver	5,037		1,561
Accounts receivable	Accounts receivable	4,171		4,178		Accounts receivable	4,199		4,178
Software	Software	2,115		2,096		Software	2,147		2,096
Prepaid pension assets	Prepaid pension assets	1,981		1,946		Prepaid pension assets	1,996		1,946
Qualified affordable housing project investments	Qualified affordable housing project investments	1,143		1,153		Qualified affordable housing project investments	1,258		1,153
Renewable energy investments	Renewable energy investments	990		1,027		Renewable energy investments	944		1,027
Equity method investments	Equity method investments	917		939		Equity method investments	850		939
Prepaid expense	Prepaid expense	656		476		Prepaid expense	756		476
Other equity investments (a)						Other equity investments (a)	622		449
Income taxes receivable	Income taxes receivable	552		538		Income taxes receivable	577		538
Other equity investments (a)		520		449
Assets of consolidated investment management funds		481		462
Fair value of hedging derivatives						Fair value of hedging derivatives	525		206
Federal Reserve Bank stock	Federal Reserve Bank stock	473		472		Federal Reserve Bank stock	476		472
Seed capital (b)	Seed capital (b)	370		357		Seed capital (b)	374		357
Fair value of hedging derivatives		230		206
Assets of consolidated investment management funds						Assets of consolidated investment management funds	196		462
Other (c)	Other (c)	1,671		1,190		Other (c)	2,272		1,190
Total other assets	Total other assets	$	26,342	$	22,409	Total other assets	$	27,609	$	22,409

(a) Includes strategic equity, private equity and other investments.

(b) Includes investments in BNY Mellon funds which hedge deferred incentive awards.

(c) At ~~March 31,~~June 30, 2022 and Dec. 31, 2021, other assets include $7$6 million and $7 million, respectively, of Federal Home Loan Bank stock, at cost.

6672 BNY Mellon


Notes to Consolidated Financial Statements (continued)

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 revenue on the consolidated income statement. Our non-readily marketable equity securities totaled ~~$327~~$424 million at ~~March 31,~~June 30, 2022 and $264 million at Dec. 31, 2021 and are included in other equity investments in the table above.

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


Adjustments on non-readily marketable equity securities	Adjustments on non-readily marketable equity securities							Life-to-date		Adjustments on non-readily marketable equity securities											Life-to-date
(in millions)	(in millions)	1Q22		4Q21		1Q21				(in millions)	2Q22		1Q22		2Q21		YTD22		YTD21
Upward adjustments	Upward adjustments	$	46	$	44	$	—	$	204	Upward adjustments	$	76	$	46	$	6	$	122	$	6	$	280
Downward adjustments	Downward adjustments	—		—		—		(4)		Downward adjustments	(7)		—		—		(7)		—		(11)
Net adjustments	Net adjustments	$	46	$	44	$	—	$	200	Net adjustments	$	69	$	46	$	6	$	115	$	6	$	269

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~~$1.3 billion at ~~March 31,~~June 30, 2022 and $1.2 billion at Dec. 31, 2021. Commitments to fund future investments in qualified affordable housing projects totaled ~~$524~~

$623 million at ~~March 31,~~June 30, 2022 and $543 million at Dec. 31,

2021 and are recorded in other liabilities on the consolidated balance sheet. A summary of the commitments to fund future investments is as follows: remainder of 2022 – ~~$202~~$150 million; 2023 – ~~$195~~$205 million; 2024 – ~~$98~~$125 million; 2025 – $2$90 million; 2026 – $2$21 million; and 2027 and thereafter – ~~$25~~$32 million.

Tax credits and other tax benefits recognized were $38 million in the ~~first~~second quarter of 2022, ~~$34 million in the fourth quarter of 2021 and~~ $38 million in the first quarter of 2022, $38 million in the second quarter of 2021, $76 million in the first six months of 2022 and $76 million in the first six months of 2021.

Amortization expense included in the provision for income taxes was $33 million in the second quarter of 2022, $32 million in the first quarter of 2022, ~~$28 million in the fourth quarter of 2021 and~~ $32 million in the second quarter of 2021, $65 million in the first ~~quarter~~six months of 2022 and $64 million in the first six months of 2021.

Investments valued using net asset value (“NAV”) per share

In our Investment and Wealth Management business segment, we make seed capital investments in certain funds we manage. We also hold private equity investments, primarily 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 NAV	Investments valued using NAV	March 31, 2022					Dec. 31, 2021					Investments valued using NAV	June 30, 2022					Dec. 31, 2021
(in millions)	(in millions)	Fair value		Unfunded commitments			Fair value		Unfunded commitments			(in millions)	Fair value		Unfunded commitments			Fair value		Unfunded commitments
Seed capital (a)(b)	Seed capital (a)(b)	$	100		$	19	$	101		$	21	Seed capital (a)(b)	$	90		$	19	$	101		$	21
Private equity investments (c)	Private equity investments (c)	121			59		113			61		Private equity investments (c)	129			62		113			61
Other	Other	4			—		4			—		Other	4			—		4			—
Total	Total	$	225		$	78	$	218		$	82	Total	$	223		$	81	$	218		$	82

(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,~~June 30, 2022 and Dec. 31, 2021, are liquidated.

(b) Includes investments in funds that relate to deferred compensation arrangements with employees.

(c) Private equity investments primarily 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.

BNY Mellon 6773


Notes to Consolidated Financial Statements (continued)

Note 7–Contract revenue

Fee and other revenue in the Securities Services, Market and Wealth Services and Investment and Wealth Management business segments 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 2021 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 2021 Annual Report for additional information on our principal business segments, Securities Services,

Market and Wealth 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 tables present fee and other revenue related to contracts with customers, disaggregated by type of fee revenue, 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.


Disaggregation of contract revenue by business segment	Disaggregation of contract revenue by business segment																								Disaggregation of contract revenue by business segment
		Quarter ended											Quarter ended
		March 31, 2022										March 31, 2021						June 30, 2022																June 30, 2021
(in millions)	(in millions)	Securities Services		Market and Wealth Services		Investment and Wealth Management		Other		Total				Securities Services		Market and Wealth Services			Investment and Wealth Management		Other		Total		(in millions)	Securities Services		Market and Wealth Services		Investment and Wealth Management		Other		Total		Securities Services		Market and Wealth Services		Investment and Wealth Management		Other		Total
Fee and other revenue – contract revenue:	Fee and other revenue – contract revenue:																								Fee and other revenue – contract revenue:
Investment services fees	Investment services fees	$	1,130	$	846	$	25	$	(17)	$	1,984			$	1,187	$	847		$	25	$	(17)	$	2,042	Investment services fees	$	1,294	$	898	$	24	$	(17)	$	2,199	$	1,238	$	817	$	24	$	(17)	$	2,062
Investment management and performance fees	Investment management and performance fees	—		6		887		(6)		887				—		4			883		(5)		882		Investment management and performance fees	—		6		822		(2)		826		—		4		870		(4)		870
Financing-related fees	Financing-related fees	3		14		—		—		17				5		15			—		—		20		Financing-related fees	11		4		—		—		15		4		12		—		—		16
Distribution and servicing fees	Distribution and servicing fees	1		(4)		32		1		30				2		(1)			28		—		29		Distribution and servicing fees	1		(17)		51		(1)		34		1		(1)		28		(1)		27
Investment and other revenue	Investment and other revenue	47		9		(27)		(1)		28				33		3			(11)		—		25		Investment and other revenue	54		38		(66)		1		27		32		—		(7)		—		25
Total fee and other revenue – contract revenue	Total fee and other revenue – contract revenue	1,181		871		917		(23)		2,946				1,227		868			925		(22)		2,998		Total fee and other revenue – contract revenue	1,360		929		831		(19)		3,101		1,275		832		915		(22)		3,000
Fee and other revenue – not in scope of Accounting Standards Codification (“ASC”) 606 (a)(b)	Fee and other revenue – not in scope of Accounting Standards Codification (“ASC”) 606 (a)(b)	222		35		(10)		43		290				204		46			18		(5)		263		Fee and other revenue – not in scope of Accounting Standards Codification (“ASC”) 606 (a)(b)	189		45		6		94		334		158		71		37		44		310
Total fee and other revenue	Total fee and other revenue	$	1,403	$	906	$	907	$	20	$	3,236			$	1,431	$	914		$	943	$	(27)	$	3,261	Total fee and other revenue	$	1,549	$	974	$	837	$	75	$	3,435	$	1,433	$	903	$	952	$	22	$	3,310

(a) Primarily includes investment services fees, foreign exchange revenue, financing-related fees and investment and other revenue, all of which are accounted for using other accounting guidance.

(b) The Investment and Wealth Management business segment is net of (loss) income attributable to noncontrolling interests related to consolidated investment management funds of ~~$(8)~~$(5) million in the ~~first~~second quarter of 2022 and $5 million in the ~~first~~second quarter of 2021.


Disaggregation of contract revenue by business segment	Disaggregation of contract revenue by business segment	Quarter ended										Disaggregation of contract revenue by business segment	Quarter ended
		Dec. 31, 2021												March 31, 2022
(in millions)	(in millions)	Securities Services		Market and Wealth Services		Investment and Wealth Management		Other		Total					(in millions)	Securities Services		Market and Wealth Services		Investment and Wealth Management		Other		Total
Fee and other revenue – contract revenue:	Fee and other revenue – contract revenue:														Fee and other revenue – contract revenue:
Investment services fees	Investment services fees	$	1,234	$	810	$	25	$	(19)	$	2,050				Investment services fees	$	1,130	$	846	$	25	$	(17)	$	1,984
Investment management and performance fees	Investment management and performance fees	—		5		899		(4)		900					Investment management and performance fees	—		6		887		(6)		887
Financing-related fees	Financing-related fees	6		9		—		1		16					Financing-related fees	3		14		—		—		17
Distribution and servicing fees	Distribution and servicing fees	1		(1)		29		(1)		28					Distribution and servicing fees	1		(4)		32		1		30
Investment and other revenue	Investment and other revenue	32		(2)		(7)		—		23					Investment and other revenue	47		9		(27)		(1)		28
Total fee and other revenue – contract revenue	Total fee and other revenue – contract revenue	1,273		821		946		(23)		3,017					Total fee and other revenue – contract revenue	1,181		871		917		(23)		2,946
Fee and other revenue – not in scope of ASC 606 (a)(b)	Fee and other revenue – not in scope of ASC 606 (a)(b)	193		55		23		44		315					Fee and other revenue – not in scope of ASC 606 (a)(b)	222		35		(10)		43		290
Total fee and other revenue	Total fee and other revenue	$	1,466	$	876	$	969	$	21	$	3,332				Total fee and other revenue	$	1,403	$	906	$	907	$	20	$	3,236

(a) Primarily includes investment services fees, foreign exchange revenue, financing-related fees and investment and other revenue, all of which are accounted for using other accounting guidance.

(b) The Investment and Wealth Management business segment is net of ~~income~~(loss) attributable to noncontrolling interests related to consolidated investment management funds of $6$(8) million in the ~~fourth~~first quarter of ~~2021.~~2022.

6874 BNY Mellon


Notes to Consolidated Financial Statements (continued)


Disaggregation of contract revenue by business segment
	Year-to-date
	June 30, 2022										June 30, 2021
(in millions)	Securities Services		Market and Wealth Services		Investment and Wealth Management		Other		Total		Securities Services		Market and Wealth Services		Investment and Wealth Management		Other		Total
Fee and other revenue – contract revenue:
Investment services fees	$	2,424	$	1,744	$	49	$	(34)	$	4,183	$	2,425	$	1,664	$	49	$	(34)	$	4,104
Investment management and performance fees	—		12		1,709		(8)		1,713		—		8		1,753		(9)		1,752
Financing-related fees	14		18		—		—		32		9		27		—		—		36
Distribution and servicing fees	2		(21)		83		—		64		3		(2)		56		(1)		56
Investment and other revenue	101		47		(93)		—		55		65		3		(18)		—		50
Total fee and other revenue – contract revenue	2,541		1,800		1,748		(42)		6,047		2,502		1,700		1,840		(44)		5,998
Fee and other revenue – not in scope of ASC 606 (a)(b)	411		80		(4)		137		624		362		117		55		39		573
Total fee and other revenue	$	2,952	$	1,880	$	1,744	$	95	$	6,671	$	2,864	$	1,817	$	1,895	$	(5)	$	6,571

(a) Primarily includes investment services fees, foreign exchange revenue, financing-related fees and investment and other revenue, all of which are accounted for using other accounting guidance.

(b) The Investment and Wealth Management business segment is net of (loss) income attributable to noncontrolling interests related to consolidated investment management funds of $(13) million in the first six months of 2022 and $10 million in the first six months of 2021.

Contract balances

Our clients are billed based on fee schedules that are agreed upon in each customer contract. Receivables from customers were ~~$2.7~~$2.5 billion at ~~March 31,~~June 30, 2022 and ~~$2.5 billion at~~ Dec. 31, 2021.

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 ~~$59~~$79 million at ~~March 31,~~June 30, 2022 and $42 million at Dec. 31, 2021. 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 ~~$189~~$193 million at ~~March 31,~~June 30, 2022 and $163 million at Dec. 31, 2021. Contract liabilities are included in other liabilities on the consolidated balance sheet. Revenue recognized in the second quarter of 2022 relating to contract liabilities as of March 31, 2022 was $63 million. Revenue recognized in the first ~~quarter~~six months of 2022 relating to contract liabilities as of Dec. 31, 2021 was ~~$53~~$85 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 ~~$65~~$60 million at ~~March 31,~~June 30, 2022

and $64 million at Dec. 31, 2021. 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 $4 million in the second quarter of 2022, $5 million in the second quarter of 2021 and first quarter of 2022, $9 million in the first ~~quarter~~six months of ~~2021~~2022 and ~~fourth quarter~~$10 million in the first six months of 2021.

Costs to fulfill a contract are capitalized when they relate directly to an existing contract or a specific 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 ~~$21~~$20 million at ~~March 31,~~June 30, 2022 and $23 million at Dec. 31, 2021. 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

BNY Mellon 75


Notes to Consolidated Financial Statements (continued)

consolidated income statement and totaled less than $1 million in the second quarter of 2022, second quarter of 2021 and first quarter of 2022 and $1 million in the first ~~quarter~~six months of ~~2021~~2022 and ~~fourth quarter~~first six months of 2021.

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.

~~BNY Mellon 69~~


~~Notes to Consolidated Financial Statements~~ ~~(continued)~~

Note 8–Net interest revenue

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


Net interest revenue	Net interest revenue	Quarter ended						Net interest revenue	Quarter ended								Year-to-date
(in millions)	(in millions)	March 31, 2022		Dec. 31, 2021		March 31, 2021				(in millions)	June 30, 2022		March 31, 2022		June 30, 2021			June 30, 2022		June 30, 2021
Interest revenue	Interest revenue									Interest revenue
Deposits with the Federal Reserve and other central banks	Deposits with the Federal Reserve and other central banks	$	2	$	(15)	$	(16)			Deposits with the Federal Reserve and other central banks	$	99	$	2	$	(25)		$	101	$	(41)
Deposits with banks	Deposits with banks	14		11		14				Deposits with banks	33		14		11			47		25
Federal funds sold and securities purchased under resale agreements	Federal funds sold and securities purchased under resale agreements	37		31		32				Federal funds sold and securities purchased under resale agreements	116		37		25			153		57
Loans	Loans	260		253		230				Loans	370		260		237			630		467
Securities:	Securities:									Securities:
Taxable	Taxable	434		424		450				Taxable	509		434		415			943		865
Exempt from federal income taxes	Exempt from federal income taxes	10		11		9				Exempt from federal income taxes	10		10		11			20		20
Total securities	Total securities	444		435		459				Total securities	519		444		426			963		885
Trading securities	Trading securities	21		14		19				Trading securities	22		21		11			43		30
Total interest revenue	Total interest revenue	778		729		738				Total interest revenue	1,159		778		685			1,937		1,423
Interest expense	Interest expense									Interest expense
Deposits	Deposits	(37)		(45)		(37)				Deposits	90		(37)		(49)			53		(86)
Federal funds purchased and securities sold under repurchase agreements	Federal funds purchased and securities sold under repurchase agreements	12		2		(3)				Federal funds purchased and securities sold under repurchase agreements	77		12		(5)			89		(8)
Trading liabilities	Trading liabilities	4		2		3				Trading liabilities	10		4		2			14		5
Other borrowed funds	Other borrowed funds	3		2		2				Other borrowed funds	2		3		1			5		3

Customer payables	Customer payables	—		—		(1)				Customer payables	9		—		—			9		(1)
Long-term debt	Long-term debt	98		91		119				Long-term debt	147		98		91			245		210
Total interest expense	Total interest expense	80		52		83				Total interest expense	335		80		40			415		123
Net interest revenue	Net interest revenue	698		677		655				Net interest revenue	824		698		645			1,522		1,300
Provision for credit losses	Provision for credit losses	2		(17)		(83)				Provision for credit losses	47		2		(86)			49		(169)
Net interest revenue after provision for credit losses	Net interest revenue after provision for credit losses	$	696	$	694	$	738			Net interest revenue after provision for credit losses	$	777	$	696	$	731		$	1,473	$	1,469

76 BNY Mellon


Notes to Consolidated Financial Statements (continued)

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	Net periodic benefit (credit) cost	Quarter ended							Net periodic benefit (credit) cost	Quarter ended
		March 31, 2022						March 31, 2021				Net periodic benefit (credit) cost	June 30, 2022											March 31, 2022											June 30, 2021
(in millions)	(in millions)	Domestic pension benefits		Foreign pension benefits		Health care benefits					Domestic pension benefits		Foreign pension benefits	Health care benefits			(in millions)		Domestic pension benefits		Foreign pension benefits			Health care benefits						Domestic pension benefits		Foreign pension benefits			Health care benefits						Domestic pension benefits		Foreign pension benefits			Health care benefits
Service cost	Service cost	$	—	$	3	$	—				$		—		$	4		$	—	Service cost		$	—		$	3		$	—				$	—		$	3		$	—				$	—		$	3		$	—
Interest cost	Interest cost	35		8		1					34		6			1			Interest cost	35			7			1					35			8			1					34			7			1
Expected return on assets	Expected return on assets	(78)		(10)		(2)					(75)		(9)			(2)			Expected return on assets	(78)			(9)			(1)					(78)			(10)			(2)					(75)			(8)			(1)
Other	Other	17		1		(1)					25		4			—			Other	17			1			(1)					17			1			(1)					24			3			—
Net periodic benefit (credit) cost	Net periodic benefit (credit) cost	$	(26)	$	2	$	(2)				$	(16)	$	5		$	(1)		Net periodic benefit (credit) cost	$	(26)		$	2		$	(1)				$	(26)		$	2		$	(2)				$	(17)		$	5		$	—


Net periodic benefit (credit) cost	Year-to-date
	June 30, 2022						June 30, 2021
(in millions)	Domestic pension benefits		Foreign pension benefits		Health care benefits		Domestic pension benefits		Foreign pension benefits		Health care benefits
Service cost	$	—	$	6	$	—	$	—	$	7	$	—
Interest cost	70		15		2		68		13		2
Expected return on assets	(156)		(19)		(3)		(150)		(17)		(3)
Other	34		2		(2)		49		7		—
Net periodic benefit (credit) cost	$	(52)	$	4	$	(3)	$	(33)	$	10	$	(1)

Note 10–Income taxes

Our total tax reserves as of ~~March 31,~~June 30, 2022 were ~~$141~~$143 million compared with $138 million at Dec. 31, 2021. If these tax reserves were unnecessary, ~~$141~~$143 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,~~June 30, 2022 is accrued interest, where applicable, of ~~$41~~$43 million. The additional tax expense related to interest

~~70 BNY Mellon~~


~~Notes to Consolidated Financial Statements~~ ~~(continued)~~

for the ~~three~~six months ended ~~March 31,~~June 30, 2022 was $2$4 million, compared with $2$4 million for the ~~three~~six months ended ~~March 31,~~June 30, 2021.

It is reasonably possible the total reserve for uncertain tax positions could decrease within the next 12 months by approximately $6$21 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 income tax returns are closed to examination through 2014. Our New York City income tax returns are closed to examination through 2012. Our UK income tax returns are closed to examination through ~~2018.~~2019.

Note 11–Variable interest entities

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

BNY Mellon 77


Notes to Consolidated Financial Statements (continued)

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,~~June 30, 2022 and Dec. 31, 2021. 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 investment management funds	Consolidated investment management funds									Consolidated investment management funds
		March 31, 2022		Dec. 31, 2021		June 30, 2022			Dec. 31, 2021
(in millions)	(in millions)				(in millions)

Trading assets	Trading assets	$	466				$	443			Trading assets	$	191	$	443
Other assets	Other assets	15					19				Other assets	5		19
Total assets (a)	Total assets (a)	$	481				$	462			Total assets (a)	$	196	$	462

Other liabilities	Other liabilities	$	5				$	3			Other liabilities	$	1	$	3
Total liabilities (b)	Total liabilities (b)	$	5				$	3			Total liabilities (b)	$	1	$	3
Nonredeemable noncontrolling interests (c)	Nonredeemable noncontrolling interests (c)	$	198				$	196			Nonredeemable noncontrolling interests (c)	$	7	$	196

(a) Includes voting model entities (“VMEs”) with assets of ~~$169~~$105 million at ~~March 31,~~June 30, 2022 and $187 million at Dec. 31, 2021.

(b) Includes VMEs with liabilities of $3$1 million at ~~March 31,~~June 30, 2022 and $2 million at Dec. 31, 2021.

(c) Includes VMEs with nonredeemable noncontrolling interests of ~~$27~~$7 million at ~~March 31,~~June 30, 2022 and $43 million at Dec. 31, 2021.

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.

Non-consolidated VIEs

As of ~~March 31,~~June 30, 2022 and Dec. 31, 2021, 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 VIEs March 31, 2022 Dec. 31, 2021
(in millions) Assets Liabilities Maximum
loss exposure Assets Liabilities Maximum
loss exposure
Securities – Available-for-sale (a)
$ 181 $ — $ 181 $ 189 $ — $ 189
Other 2,322 524 2,862 2,385 543 2,946


Non-consolidated VIEs	June 30, 2022						Dec. 31, 2021
(in millions)	Assets		Liabilities		Maximum loss exposure		Assets		Liabilities		Maximum loss exposure
Securities – Available-for-sale (a)	$	162	$	—	$	162	$	189	$	—	$	189
Other	2,384		623		3,022		2,385		543		2,946

(a) Includes investments in the Company’s sponsored CLOs.

78 BNY Mellon 71


Notes to Consolidated Financial Statements (continued)

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,~~June 30, 2022 and Dec. 31, 2021.


Preferred stock summary (a)	Preferred stock summary (a)		Total shares issued and outstanding		Carrying value (b)				Preferred stock summary (a)		Total shares issued and outstanding		Carrying value (b)
					(in millions)								(in millions)
			March 31, 2022	Dec. 31, 2021	March 31, 2022		Dec. 31, 2021				June 30, 2022	Dec. 31, 2021	June 30, 2022		Dec. 31, 2021
		Per annum dividend rate								Per annum dividend rate
Series A	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 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	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 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 F	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 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	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 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	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		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
Series I	Series I	3.750% to but excluding Dec. 20, 2026, then a floating rate equal to the five-year treasury rate plus 2.630%	13,000	13,000	1,287		1,287		Series I	3.750% to but excluding Dec. 20, 2026, then a floating rate equal to the five-year treasury rate plus 2.630%	13,000	13,000	1,287		1,287
Total	Total		48,826	48,826	$	4,838	$	4,838	Total		48,826	48,826	$	4,838	$	4,838

(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 F, Series G, Series H and Series I preferred stock is recorded net of issuance costs.

The table below presents the Parent’s preferred dividends.


Preferred dividends	Preferred dividends																		Preferred dividends
(dollars in millions, except per share amounts)	(dollars in millions, except per share amounts)	Depositary shares per share		1Q22				4Q21					1Q21				(dollars in millions, except per share amounts)	Depositary shares per share			2Q22					1Q22								2Q21					YTD22						YTD21
				Per share		Total dividend		Per share		Total dividend			Per share		Total dividend					Depositary shares per share				Per share		Total dividend				Per share		Total dividend					Per share		Total dividend				Per share		Total dividend				Per share		Total dividend
Series A	Series A	100	(a)	$	1,011.11	$	5	$	1,011.11	$	5		$	1,011.11	$	5			Series A			$	1,022.22	$	5			$	1,011.11	$	5				$	1,011.11	$	5			$	2,033.33	$	10			$	2,022.22	$	10
Series D	Series D	100		N/A		—		2,250.00		12			N/A		—				Series D		100					2,250.00		11				N/A		—					2,250.00		11				2,250.00		11				2,250.00		11
Series E	Series E	100		N/A				895.34		19		(b)	924.82		9				Series E	100				N/A						N/A							911.68		9				N/A						1,836.50		18
Series F	Series F	100		2,312.50		23		N/A		—			2,312.50		23				Series F	100				N/A		—				2,312.50		23					N/A		—				2,312.50		23				2,312.50		23
Series G	Series G	100		2,350.00		24		N/A		—			2,350.00		24				Series G	100				N/A		—				2,350.00		24					N/A		—				2,350.00		24				2,350.00		24
Series H	Series H	100		925.00		5		925.00		5			1,408.06		8				Series H	100				925.00		6				925.00		5					925.00		6				1,850.00		11				2,333.06		14
Series I	Series I	100		1,270.83		17		N/A					N/A						Series I	100				937.50		12				1,270.83		17					N/A						2,208.33		29				N/A
Total	Total					$	74			$	41				$	69			Total							$	34					$	74						$	31					$	108					$	100

(a) Represents Normal Preferred Capital Securities.

~~(b) Includes deferred fees of approximately $10 million related to the redemption of the Series E preferred stock.~~

N/A – Not applicable.

In December 2021, all of the outstanding shares of the Series E 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 2021 Annual Report.

72 BNY Mellon 79


Notes to Consolidated Financial Statements (continued)

Note 13–Other comprehensive income (loss)


Components of other comprehensive income (loss)	Components of other comprehensive income (loss)	Quarter ended																		Components of other comprehensive income (loss)	Quarter ended
		March 31, 2022						Dec. 31, 2021						March 31, 2021							June 30, 2022						March 31, 2022						June 30, 2021
(in millions)	(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		(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:																			Foreign currency translation:
Foreign currency translation adjustments arising during the period (a)	Foreign currency translation adjustments arising during the period (a)	$	(120)	$	(33)	$	(153)	$	(66)	$	(9)	$	(75)	$	(127)	$	(23)	$	(150)	Foreign currency translation adjustments arising during the period (a)	$	(436)	$	(119)	$	(555)	$	(120)	$	(33)	$	(153)	$	38	$	13	$	51
Total foreign currency translation	Total foreign currency translation	(120)		(33)		(153)		(66)		(9)		(75)		(127)		(23)		(150)		Total foreign currency translation	(436)		(119)		(555)		(120)		(33)		(153)		38		13		51
Unrealized (loss) on assets available-for-sale:
Unrealized (loss) arising during period		(2,021)		490		(1,531)		(494)		123		(371)		(926)		223		(703)
Unrealized (loss) gain on assets available-for-sale:																				Unrealized (loss) gain on assets available-for-sale:
Unrealized (loss) gain arising during period																				Unrealized (loss) gain arising during period	(1,167)		285		(882)		(2,021)		490		(1,531)		106		(29)		77
Reclassification adjustment (b)	Reclassification adjustment (b)	(4)		1		(3)		(1)		—		(1)		—		—		—		Reclassification adjustment (b)	—		—		—		(4)		1		(3)		(2)		1		(1)
Net unrealized (loss) on assets available-for-sale		(2,025)		491		(1,534)		(495)		123		(372)		(926)		223		(703)
Net unrealized (loss) gain on assets available-for-sale																				Net unrealized (loss) gain on assets available-for-sale	(1,167)		285		(882)		(2,025)		491		(1,534)		104		(28)		76
Defined benefit plans:	Defined benefit plans:																			Defined benefit plans:
Net gain arising during the period		—		—		—		296		(77)		219		—		—		—

Amortization of prior service credit, net loss and initial obligation included in net periodic benefit cost (b)	Amortization of prior service credit, net loss and initial obligation included in net periodic benefit cost (b)	17		1		18		30		(11)		19		28		(6)		22		Amortization of prior service credit, net loss and initial obligation included in net periodic benefit cost (b)	17		(4)		13		17		1		18		27		(2)		25
Total defined benefit plans	Total defined benefit plans	17		1		18		326		(88)		238		28		(6)		22		Total defined benefit plans	17		(4)		13		17		1		18		27		(2)		25
Unrealized (loss) gain on cash flow hedges:
Unrealized hedge gain arising during period		(3)		1		(2)		1		—		1		1		—		1
Unrealized (loss) on cash flow hedges:																				Unrealized (loss) on cash flow hedges:
Unrealized hedge (loss) arising during period																				Unrealized hedge (loss) arising during period	(8)		2		(6)		(3)		1		(2)		—		—		—
Reclassification of net loss (gain) to net income:	Reclassification of net loss (gain) to net income:																			Reclassification of net loss (gain) to net income:

Foreign exchange (“FX”) contracts – staff expense	Foreign exchange (“FX”) contracts – staff expense	—		—		—		(1)		1		—		(5)		1		(4)		Foreign exchange (“FX”) contracts – staff expense	1		—		1		—		—		—		(4)		1		(3)
Total reclassifications to net income	Total reclassifications to net income	—		—		—		(1)		1		—		(5)		1		(4)		Total reclassifications to net income	1		—		1		—		—		—		(4)		1		(3)
Net unrealized (loss) gain on cash flow hedges		(3)		1		(2)		—		1		1		(4)		1		(3)
Net unrealized (loss) on cash flow hedges																				Net unrealized (loss) on cash flow hedges	(7)		2		(5)		(3)		1		(2)		(4)		1		(3)
Total other comprehensive (loss) income	Total other comprehensive (loss) income	$	(2,131)	$	460	$	(1,671)	$	(235)	$	27	$	(208)	$	(1,029)	$	195	$	(834)	Total other comprehensive (loss) income	$	(1,593)	$	164	$	(1,429)	$	(2,131)	$	460	$	(1,671)	$	165	$	(16)	$	149

(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.


Components of other comprehensive income (loss)	Year-to-date
	June 30, 2022						June 30, 2021
(in millions)	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)	$	(556)	$	(152)	$	(708)	$	(89)	$	(10)	$	(99)
Total foreign currency translation	(556)		(152)		(708)		(89)		(10)		(99)
Unrealized (loss) on assets available-for-sale:
Unrealized (loss) arising during period	(3,188)		775		(2,413)		(820)		194		(626)
Reclassification adjustment (b)	(4)		1		(3)		(2)		1		(1)
Net unrealized (loss) on assets available-for-sale	(3,192)		776		(2,416)		(822)		195		(627)
Defined benefit plans:

Amortization of prior service credit, net loss and initial obligation included in net periodic benefit cost (b)	34		(3)		31		55		(8)		47
Total defined benefit plans	34		(3)		31		55		(8)		47
Unrealized (loss) on cash flow hedges:
Unrealized hedge (loss) gain arising during period	(11)		3		(8)		1		—		1
Reclassification of net losses (gains) to net income:




FX contracts – staff expense	1		—		1		(9)		2		(7)
Total reclassifications to net income	1		—		1		(9)		2		(7)
Net unrealized (loss) on cash flow hedges	(10)		3		(7)		(8)		2		(6)
Total other comprehensive (loss)	$	(3,724)	$	624	$	(3,100)	$	(864)	$	179	$	(685)

(a) Includes the impact of hedges of net investments in foreign subsidiaries. See Note 16 for additional information.

80 BNY Mellon


Notes to Consolidated Financial Statements (continued)

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 2021 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,~~June 30, 2022 and Dec. 31, 2021, 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.


Assets measured at fair value on a recurring basis at June 30, 2022												Total carrying value
(dollars in millions)	Level 1			Level 2			Level 3			Netting (a)

Available-for-sale securities:
U.S. Treasury	$	30,467		$	—		$	—		$	—	$	30,467
Sovereign debt/sovereign guaranteed	4,933			6,159			—			—		11,092
Agency RMBS	—			8,303			—			—		8,303
Agency commercial MBS	—			8,179			—			—		8,179
Supranational	—			7,548			—			—		7,548
Foreign covered bonds	—			5,828			—			—		5,828
CLOs	—			5,097			—			—		5,097
Non-agency commercial MBS	—			3,003			—			—		3,003
Foreign government agencies	—			2,536			—			—		2,536
Non-agency RMBS	—			2,311			—			—		2,311
State and political subdivisions	—			2,023			—			—		2,023
U.S. government agencies	—			1,925			—			—		1,925
Other ABS	—			1,668			—			—		1,668
Corporate bonds	—			1,297			—			—		1,297
Other debt securities	—			1			—			—		1
Total available-for-sale securities	35,400			55,878			—			—		91,278
Trading assets:
Debt instruments	1,059			1,203			—			—		2,262
Equity instruments	5,428			—			—			—		5,428
Derivative assets not designated as hedging:
Interest rate	18			1,632			—			(920)		730
Foreign exchange	—			10,555			—			(8,387)		2,168
Equity and other contracts	3			240			—			(72)		171
Total derivative assets not designated as hedging	21			12,427			—			(9,379)		3,069
Total trading assets	6,508			13,630			—			(9,379)		10,759
Other assets:
Derivative assets designated as hedging:
Interest rate	—			57			—			—		57
Foreign exchange	—			468			—			—		468
Total derivative assets designated as hedging	—			525			—			—		525
Other assets (b)	285			235			—			—		520
Total other assets	285			760			—			—		1,045
Assets measured at NAV (b)												223
Total assets	$	42,193		$	70,268		$	—		$	(9,379)	$	103,305
Percentage of total assets prior to netting	38		%	62		%	—		%

BNY Mellon 7381


Notes to Consolidated Financial Statements (continued)

Assets measured at fair value on a recurring basis at March 31, 2022 Total carrying
value
(dollars in millions) Level 1 Level 2 Level 3
Netting (a)
Available-for-sale securities:
U.S. Treasury $ 27,967 $ — $ — $ — $ 27,967
Sovereign debt/sovereign guaranteed 5,414 6,540 — — 11,954
Agency RMBS — 9,650 — — 9,650
Agency commercial MBS — 8,359 — — 8,359
Supranational — 7,508 — — 7,508
Foreign covered bonds — 6,250 — — 6,250
CLOs — 4,841 — — 4,841
Non-agency commercial MBS — 3,084 — — 3,084
Foreign government agencies — 2,719 — — 2,719
Non-agency RMBS — 2,498 — — 2,498
U.S. government agencies — 2,486 — — 2,486
State and political subdivisions — 2,141 — — 2,141
Other ABS — 1,880 — — 1,880
Corporate bonds — 1,456 — — 1,456
Other debt securities — 1 — — 1
Total available-for-sale securities 33,381 59,413 — — 92,794
Trading assets:
Debt instruments 648 2,201 — — 2,849
Equity instruments 9,657 — — — 9,657
Derivative assets not designated as hedging:
Interest rate 21 2,377 — (1,178) 1,220
Foreign exchange — 7,981 — (7,008) 973
Equity and other contracts 1 67 — (64) 4
Total derivative assets not designated as hedging 22 10,425 — (8,250) 2,197
Total trading assets 10,327 12,626 — (8,250) 14,703
Other assets:
Derivative assets designated as hedging:
Foreign exchange — 230 — — 230
Total derivative assets designated as hedging — 230 — — 230
Other assets (b)
429 363 — — 792
Total other assets 429 593 — — 1,022
Assets measured at NAV (b)
225
Total assets $ 44,137 $ 72,632 $ — $ (8,250) $ 108,744
Percentage of total assets prior to netting 38 % 62 % — %


Liabilities measured at fair value on a recurring basis at June 30, 2022												Total carrying value
(dollars in millions)	Level 1			Level 2			Level 3			Netting (a)
Trading liabilities:
Debt instruments	$	3,067		$	38		$	—		$	—	$	3,105
Equity instruments	90			—			—			—		90
Derivative liabilities not designated as hedging:
Interest rate	7			1,766			—			(1,255)		518
Foreign exchange	—			10,426			—			(8,563)		1,863
Equity and other contracts	1			54			—			(36)		19
Total derivative liabilities not designated as hedging	8			12,246			—			(9,854)		2,400
Total trading liabilities	3,165			12,284			—			(9,854)		5,595
Other liabilities:
Derivative liabilities designated as hedging:
Interest rate	—			3			—			—		3
Foreign exchange	—			27			—			—		27
Total derivative liabilities designated as hedging	—			30			—			—		30
Other liabilities	—			1			—			—		1
Total other liabilities	—			31			—			—		31
Total liabilities	$	3,165		$	12,315		$	—		$	(9,854)	$	5,626
Percentage of total liabilities prior to netting	20		%	80		%	—		%

(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 seed capital, private equity investments and other assets.

7482 BNY Mellon


Notes to Consolidated Financial Statements (continued)

Liabilities measured at fair value on a recurring basis at March 31, 2022 Total carrying
value
(dollars in millions) Level 1 Level 2 Level 3
Netting (a)
Trading liabilities:
Debt instruments $ 2,365 $ 41 $ — $ — $ 2,406
Equity instruments 58 — — — 58
Derivative liabilities not designated as hedging:
Interest rate 5 2,285 — (1,424) 866
Foreign exchange — 8,218 — (5,985) 2,233
Equity and other contracts 10 194 — (180) 24
Total derivative liabilities not designated as hedging 15 10,697 — (7,589) 3,123
Total trading liabilities 2,438 10,738 — (7,589) 5,587
Other liabilities:
Derivative liabilities designated as hedging:
Interest rate — 147 — — 147
Foreign exchange — 55 — — 55
Total derivative liabilities designated as hedging — 202 — — 202
Other liabilities 1 4 — — 5
Total other liabilities 1 206 — — 207
Total liabilities $ 2,439 $ 10,944 $ — $ (7,589) $ 5,794
Percentage of total liabilities prior to netting 18 % 82 % — %


Assets and liabilities measured at fair value on a recurring basis at Dec. 31, 2021												Total carrying value
(dollars in millions)	Level 1			Level 2			Level 3			Netting (a)
Assets
Available-for-sale securities:
U.S. Treasury	$	29,409		$	—		$	—		$	—	$	29,409
Agency RMBS	—			14,530			—			—		14,530
Sovereign debt/sovereign guaranteed	6,017			7,362			—			—		13,379
Agency commercial MBS	—			8,405			—			—		8,405
Supranational	—			7,573			—			—		7,573
Foreign covered bonds	—			6,238			—			—		6,238
CLOs	—			4,439			—			—		4,439
Non-agency commercial MBS	—			3,125			—			—		3,125
Non-agency RMBS	—			2,748			—			—		2,748
Foreign government agencies	—			2,686			—			—		2,686
U.S. government agencies	—			2,536			—			—		2,536
State and political subdivisions	—			2,514			—			—		2,514
Other ABS	—			2,190			—			—		2,190
Corporate bonds	—			2,066			—			—		2,066
Other debt securities	—			1			—			—		1
Total available-for-sale securities	35,426			66,413			—			—		101,839
Trading assets:
Debt instruments	1,447			2,750			—			—		4,197
Equity instruments	9,766			—			—			—		9,766
Derivative assets not designated as hedging:
Interest rate	6			3,253			—			(1,424)		1,835
Foreign exchange	—			6,279			—			(5,501)		778
Equity and other contracts	—			49			—			(48)		1
Total derivative assets not designated as hedging	6			9,581			—			(6,973)		2,614
Total trading assets	11,219			12,331			—			(6,973)		16,577
Other assets:
Derivative assets designated as hedging:

Foreign exchange	—			206			—			—		206
Total derivative assets designated as hedging	—			206			—			—		206
Other assets (b)	438			325			—			—		763
Total other assets	438			531			—			—		969
Assets measured at NAV (b)												218
Total assets	$	47,083		$	79,275		$	—		$	(6,973)	$	119,603
Percentage of total assets prior to netting	37		%	63		%	—		%




Liabilities
Trading liabilities:
Debt instruments	$	2,452		$	46		$	—		$	—	$	2,498
Equity instruments	40			—			—			—		40
Derivative liabilities not designated as hedging:
Interest rate	1			2,834			—			(2,028)		807
Foreign exchange	—			6,215			—			(4,111)		2,104
Equity and other contracts	5			211			—			(196)		20
Total derivative liabilities not designated as hedging	6			9,260			—			(6,335)		2,931
Total trading liabilities	2,498			9,306			—			(6,335)		5,469
Other liabilities:
Derivative liabilities designated as hedging:
Interest rate	—			453			—			—		453
Foreign exchange	—			40			—			—		40
Total derivative liabilities designated as hedging	—			493			—			—		493
Other liabilities	1			2			—			—		3
Total other liabilities	1			495			—			—		496
Total liabilities	$	2,499		$	9,801		$	—		$	(6,335)	$	5,965
Percentage of total liabilities prior to netting	20		%	80		%	—		%

(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 seed capital, private equity investments and other assets.

BNY Mellon 75


~~Notes to Consolidated Financial Statements~~ ~~(continued)~~

Assets measured at fair value on a recurring basis at Dec. 31, 2021 Total carrying
value
(dollars in millions) Level 1 Level 2 Level 3
Netting (a)
Available-for-sale securities:
U.S. Treasury $ 29,409 $ — $ — $ — $ 29,409
Agency RMBS — 14,530 — — 14,530
Sovereign debt/sovereign guaranteed 6,017 7,362 — — 13,379
Agency commercial MBS — 8,405 — — 8,405
Supranational — 7,573 — — 7,573
Foreign covered bonds — 6,238 — — 6,238
CLOs — 4,439 — — 4,439
Non-agency commercial MBS — 3,125 — — 3,125
Non-agency RMBS — 2,748 — — 2,748
Foreign government agencies — 2,686 — — 2,686
U.S. government agencies — 2,536 — — 2,536
State and political subdivisions — 2,514 — — 2,514
Other ABS — 2,190 — — 2,190
Corporate bonds — 2,066 — — 2,066
Other debt securities — 1 — — 1
Total available-for-sale securities 35,426 66,413 — — 101,839
Trading assets:
Debt instruments 1,447 2,750 — — 4,197
Equity instruments 9,766 — — — 9,766
Derivative assets not designated as hedging:
Interest rate 6 3,253 — (1,424) 1,835
Foreign exchange — 6,279 — (5,501) 778
Equity and other contracts — 49 — (48) 1
Total derivative assets not designated as hedging 6 9,581 — (6,973) 2,614
Total trading assets 11,219 12,331 — (6,973) 16,577
Other assets:
Derivative assets designated as hedging:
Foreign exchange — 206 — — 206
Total derivative assets designated as hedging — 206 — — 206
Other assets (b)
438 325 — — 763
Total other assets 438 531 — — 969
Assets measured at NAV (b)
218
Total assets $ 47,083 $ 79,275 $ — $ (6,973) $ 119,603
Percentage of total assets prior to netting 37 % 63 % — %

~~76 BNY Mellon~~


~~Notes to Consolidated Financial Statements~~ ~~(continued)~~

Liabilities measured at fair value on a recurring basis at Dec. 31, 2021 Total carrying
value
(dollars in millions) Level 1 Level 2 Level 3
Netting (a)
Trading liabilities:
Debt instruments $ 2,452 $ 46 $ — $ — $ 2,498
Equity instruments 40 — — — 40
Derivative liabilities not designated as hedging:
Interest rate 1 2,834 — (2,028) 807
Foreign exchange — 6,215 — (4,111) 2,104
Equity and other contracts 5 211 — (196) 20
Total derivative liabilities not designated as hedging 6 9,260 — (6,335) 2,931
Total trading liabilities 2,498 9,306 — (6,335) 5,469
Other liabilities:
Derivative liabilities designated as hedging:
Interest rate — 453 — — 453
Foreign exchange — 40 — — 40
Total derivative liabilities designated as hedging — 493 — — 493
Other liabilities 1 2 — — 3
Total other liabilities 1 495 — — 496
Total liabilities $ 2,499 $ 9,801 $ — $ (6,335) $ 5,965
Percentage of total liabilities prior to netting 20 % 80 % — %

~~(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 seed capital, private equity investments and other assets.~~

~~BNY Mellon 77~~83


Notes to Consolidated Financial Statements (continued)


Details of certain available-for-sale securities measured at fair value on a recurring basis	Details of certain available-for-sale securities measured at fair value on a recurring basis	March 31, 2022												Dec. 31, 2021										Details of certain available-for-sale securities measured at fair value on a recurring basis	June 30, 2022																Dec. 31, 2021
		Total carrying value (b)			Ratings (a)											Total carrying value (b)			Ratings (a)								Details of certain available-for-sale securities measured at fair value on a recurring basis		Total carrying value (b)				Ratings (a)															Total carrying value (b)				Ratings (a)
				AAA/ AA-	A+/ A-		BBB+/ BBB-		BB+ and lower				Not rated				AAA/ AA-		A+/ A-	BBB+/ BBB-		BB+ and lower				Not rated				AAA/ AA-			A+/ A-			BBB+/ BBB-	BB+ and lower					Not rated								AAA/ AA-		A+/ A-		BBB+/ BBB-		BB+ and lower			Not rated
(dollars in millions)	(dollars in millions)																								Total carrying value (b)																																Total carrying value (b)
Non-agency RMBS, originated in:	Non-agency RMBS, originated in:																															Non-agency RMBS, originated in:
2008-2022	2008-2022	$	2,117		100	%	—	%	—	%	—	%		—	%		$	2,190		100	%	—	%	—				%		—		%	2008-2022		$	1,970		100		%	—		%	—		%	—		%		—		%		$	2,190			—		%	—		%	—		%			—	%
2007	2007	66			—		6		—		51			43			114			—		4		—			39				57			2007		59			—			6			—			50				44				114					—			4			—		39				57
2006	2006	112			—		35		—		49			16			181			—		24		—		33				43			2006		100			—			34			—			50				16				181			—			24			—			33				43
2005	2005	115			5		5		1		40			49			167			3		5		1		37				54			2005		102			5			4			1			41				49				167			3			5			1			37				54
2004 and earlier	2004 and earlier	88			15		10		5		57			13			96			16		10		5		57				12			2004 and earlier		80			15			9			5			57				14				96			16			10			5			57				12
Total non-agency RMBS	Total non-agency RMBS	$	2,498		81	%	2	%	—	%	8	%		9	%		$	2,748		81	%	2	%	—	%	8		%		9		%	Total non-agency RMBS		$	2,311		86		%	2		%	—		%	7		%		5		%		$	2,748		81		%	2		%	—		%	8	%			9	%
Non-agency commercial MBS originated in:	Non-agency commercial MBS originated in:																																Non-agency commercial MBS originated in:
2009-2022	2009-2022	$	3,084		100	%	—	%	—	%	—	%		—	%		$	3,125		100	%	—	%	—	%	—		%		—		%	2009-2022		$	3,003		100		%	—		%	—		%	—		%		—		%		$	3,125		100		%	—		%	—		%	—	%			—	%
Foreign covered bonds:	Foreign covered bonds:																																Foreign covered bonds:
Canada	Canada	$	2,421		100	%	—	%	—	%	—	%		—	%		$	2,332		100	%	—	%	—	%	—		%		—		%	Canada		$	2,307		100		%	—		%	—		%	—		%		—		%		$	2,332		100		%	—		%	—		%	—	%			—	%
UK	UK	1,213			100		—		—		—			—			1,141			100		—		—		—				—			UK		1,168			100			—			—			—				—				1,141			100			—			—			—				—
Australia	Australia	703			100		—		—		—			—			762			100		—		—		—				—			Australia		648			100			—			—			—				—				762			100			—			—			—				—
Germany	Germany	637			100		—		—		—			—			638			100		—		—		—				—			Germany		593			100			—			—			—				—				638			100			—			—			—				—
Norway	Norway	420			100		—		—		—			—			457			100		—		—		—				—			Norway		385			100			—			—			—				—				457			100			—			—			—				—
Other	Other	856			100		—		—		—			—			908			100		—		—		—				—			Other		727			100			—			—			—				—				908			100			—			—			—				—
Total foreign covered bonds	Total foreign covered bonds	$	6,250		100	%	—	%	—	%	—	%		—	%		$	6,238		100	%	—	%	—	%	—		%		—		%	Total foreign covered bonds		$	5,828		100		%	—		%	—		%	—		%		—		%		$	6,238		100		%	—		%	—		%	—	%			—	%
Sovereign debt/sovereign guaranteed:	Sovereign debt/sovereign guaranteed:																																Sovereign debt/sovereign guaranteed:
Germany	Germany	$	3,190		100	%	—	%	—	%	—	%		—	%		$	3,585		100	%	—	%	—	%	—		%		—		%	Germany		$	3,077		100		%	—		%	—		%	—		%		—		%		$	3,585		100		%	—		%	—		%	—	%			—	%
UK	UK	1,871			100		—		—		—			—			1,969			100		—		—		—				—			UK		1,879			100			—			—			—				—				1,969			100			—			—			—				—
France	France	1,681			100		—		—		—			—			1,921			100		—		—		—				—			France		1,532			100			—			—			—				—				1,921			100			—			—			—				—
Singapore	Singapore	1,274			100		—		—		—			—			1,018			100		—		—		—				—			Singapore		1,184			100			—			—			—				—				1,018			100			—			—			—				—
Italy	Italy	1,086			—		—		100		—			—			1,382			—		—		100		—				—			Italy		773			—			—			100			—				—				1,382			—			—			100			—				—
Canada																																	Canada		613			100			—			—			—				—				630			100			—			—			—				—
Spain	Spain	748			—		8		92		—			—			782			—		8		92		—				—			Spain		470			—			18			82			—				—				782			—			8			92			—				—
Canada		562			100		—		—		—			—			630			100		—		—		—				—
Hong Kong	Hong Kong	453			100		—		—		—			—			531			100		—		—		—				—			Hong Kong		448			100			—			—			—				—				531			100			—			—			—				—
Japan	Japan	362			—		100		—		—			—			363			—		100		—		—				—			Japan		412			—			100			—			—				—				363			—			100			—			—				—
Other (c)	Other (c)	727			77		5		—		18			—			1,198			71		19		—		10				—			Other (c)		704			78			5			—			17				—				1,198			71			19			—			10				—
Total sovereign debt/sovereign guaranteed	Total sovereign debt/sovereign guaranteed	$	11,954		80	%	4	%	15	%	1	%		—	%		$	13,379		78	%	5	%	16	%	1		%		—		%	Total sovereign debt/sovereign guaranteed		$	11,092		84		%	5		%	10		%	1		%		—		%		$	13,379		78		%	5		%	16		%	1	%			—	%
Foreign government agencies:	Foreign government agencies:																																Foreign government agencies:
Canada	Canada	$	626		81	%	19	%	—	%	—	%		—	%		$	566		78	%	22	%	—	%	—		%		—		%	Canada		$	640		83		%	17		%	—		%	—		%		—		%		$	566		78		%	22		%	—		%	—	%			—	%
Norway																																	Norway		478			100			—			—			—				—				269			100			—			—			—				—
Netherlands	Netherlands	537			100		—		—		—			—			765			100		—		—		—				—			Netherlands		406			100			—			—			—				—				765			100			—			—			—				—
Norway		438			100		—		—		—			—			269			100		—		—		—				—
Sweden																																	Sweden		280			100			—			—			—				—				252			100			—			—			—				—
France	France	287			100		—		—		—			—			301			100		—		—		—				—			France		249			100			—			—			—				—				301			100			—			—			—				—
Sweden		269			100		—		—		—			—			252			100		—		—		—				—
Finland	Finland	266			100		—		—		—			—			267			100		—		—		—				—			Finland		248			100			—			—			—				—				267			100			—			—			—				—

Other	Other	296			69		31		—		—			—			266			64		36		—		—				—			Other		235			64			36			—			—				—				266			64			36			—			—				—
Total foreign government agencies	Total foreign government agencies	$	2,719		92	%	8	%	—	%	—	%		—	%		$	2,686		92	%	8	%	—	%	—		%		—		%	Total foreign government agencies		$	2,536		92		%	8		%	—		%	—		%		—		%		$	2,686		92		%	8		%	—		%	—	%			—	%

(a) Represents ratings by S&P or the equivalent.

(b) At ~~March 31,~~June 30, 2022 and Dec. 31, 2021, 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 non-investment grade sovereign debt/sovereign guaranteed securities related to Brazil of ~~$129~~$120 million at ~~March 31,~~June 30, 2022 and $119 million at Dec. 31, 2021.

7884 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,~~June 30, 2022 and Dec. 31, 2021.


Assets measured at fair value on a nonrecurring basis	Assets measured at fair value on a nonrecurring basis	March 31, 2022								Dec. 31, 2021							Assets measured at fair value on a nonrecurring basis		June 30, 2022												Dec. 31, 2021
								Total carrying value											Total carrying value	Assets measured at fair value on a nonrecurring basis											Total carrying value												Total carrying value
(in millions)	(in millions)	Level 1		Level 2		Level 3					Level 1		Level 2		Level 3		Total carrying value					Level 1			Level 2			Level 3						Level 1			Level 2			Level 3
Loans (a)	Loans (a)	$	—	$	41	$	—	$	41		$	—	$	42	$	—			Loans (a)		$	—		$	37		$	—		$	37		$	—		$	42		$	—		$	42
Other assets (b)	Other assets (b)	—		328		—		328			—		265		—			265			Other assets (b)		—			426			—			426			—			265			—			265
Total assets at fair value on a nonrecurring basis	Total assets at fair value on a nonrecurring basis	$	—	$	369	$	—	$	369		$	—	$	307	$	—	$	307		Total assets at fair value on a nonrecurring basis		$	—		$	463		$	—		$	463		$	—		$	307		$	—		$	307

(a) The fair value of these loans was unchanged in the ~~first~~second quarter of 2022 and the fourth quarter of 2021, 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.

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,~~June 30, 2022 and Dec. 31, 2021, by caption on the consolidated balance sheet and by the valuation hierarchy.


Summary of financial instruments	Summary of financial instruments	March 31, 2022										Summary of financial instruments	June 30, 2022
(in millions)	(in millions)	Level 1		Level 2		Level 3		Total estimated fair value		Carrying amount		(in millions)	Level 1		Level 2		Level 3		Total estimated fair value		Carrying amount
Assets:	Assets:											Assets:
Interest-bearing deposits with the Federal Reserve and other central banks	Interest-bearing deposits with the Federal Reserve and other central banks	$	—	$	135,691	$	—	$	135,691	$	135,691	Interest-bearing deposits with the Federal Reserve and other central banks	$	—	$	125,372	$	—	$	125,372	$	125,372
Interest-bearing deposits with banks	Interest-bearing deposits with banks	—		18,276		—		18,276		18,268		Interest-bearing deposits with banks	—		16,645		—		16,645		16,639
Federal funds sold and securities purchased under resale agreements	Federal funds sold and securities purchased under resale agreements	—		27,131		—		27,131		27,131		Federal funds sold and securities purchased under resale agreements	—		22,940		—		22,940		22,940
Securities held-to-maturity	Securities held-to-maturity	12,132		45,527		—		57,659		60,602		Securities held-to-maturity	11,823		43,304		—		55,127		59,566
Loans (a)	Loans (a)	—		67,183		—		67,183		67,174		Loans (a)	—		68,107		—		68,107		68,464
Other financial assets	Other financial assets	6,143		1,306		—		7,449		7,449		Other financial assets	5,185		1,484		—		6,669		6,669
Total	Total	$	18,275	$	295,114	$	—	$	313,389	$	316,315	Total	$	17,008	$	277,852	$	—	$	294,860	$	299,650
Liabilities:	Liabilities:											Liabilities:
Noninterest-bearing deposits	Noninterest-bearing deposits	$	—	$	100,036	$	—	$	100,036	$	100,036	Noninterest-bearing deposits	$	—	$	106,060	$	—	$	106,060	$	106,060
Interest-bearing deposits	Interest-bearing deposits	—		242,772		—		242,772		245,529		Interest-bearing deposits	—		216,221		—		216,221		219,753
Federal funds purchased and securities sold under repurchase agreements	Federal funds purchased and securities sold under repurchase agreements	—		13,181		—		13,181		13,181		Federal funds purchased and securities sold under repurchase agreements	—		11,434		—		11,434		11,434
Payables to customers and broker-dealers	Payables to customers and broker-dealers	—		26,608		—		26,608		26,608		Payables to customers and broker-dealers	—		25,769		—		25,769		25,769

Borrowings	Borrowings	—		492		—		492		492		Borrowings	—		768		—		768		768
Long-term debt	Long-term debt	—		24,935		—		24,935		25,246		Long-term debt	—		26,531		—		26,531		27,610
Total	Total	$	—	$	408,024	$	—	$	408,024	$	411,092	Total	$	—	$	386,783	$	—	$	386,783	$	391,394

(a) Does not include the leasing portfolio.

BNY Mellon 7985


Notes to Consolidated Financial Statements (continued)


Summary of financial instruments	Dec. 31, 2021
(in millions)	Level 1		Level 2		Level 3		Total estimated fair value		Carrying amount
Assets:
Interest-bearing deposits with the Federal Reserve and other central banks	$	—	$	102,467	$	—	$	102,467	$	102,467
Interest-bearing deposits with banks	—		16,636		—		16,636		16,630
Federal funds sold and securities purchased under resale agreements	—		29,607		—		29,607		29,607
Securities held-to-maturity	12,488		44,287		—		56,775		56,866
Loans (a)	—		67,026		—		67,026		66,860
Other financial assets	6,061		1,239		—		7,300		7,300
Total	$	18,549	$	261,262	$	—	$	279,811	$	279,730
Liabilities:
Noninterest-bearing deposits	$	—	$	93,695	$	—	$	93,695	$	93,695
Interest-bearing deposits	—		224,665		—		224,665		225,999
Federal funds purchased and securities sold under repurchase agreements	—		11,566		—		11,566		11,566
Payables to customers and broker-dealers	—		25,150		—		25,150		25,150
Borrowings	—		956		—		956		956
Long-term debt	—		26,701		—		26,701		25,931
Total	$	—	$	382,733	$	—	$	382,733	$	383,297

(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 subordinated notes associated with certain equity investments. 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	Assets and liabilities of consolidated investment management funds, at fair value					Assets and liabilities of consolidated investment management funds, at fair value
		March 31, 2022		Dec. 31, 2021			June 30, 2022		Dec. 31, 2021
(in millions)	(in millions)					(in millions)
Assets of consolidated investment management funds:	Assets of consolidated investment management funds:					Assets of consolidated investment management funds:
Trading assets	Trading assets	$	466	$	443	Trading assets	$	191	$	443
Other assets	Other assets	15		19		Other assets	5		19
Total assets of consolidated investment management funds	Total assets of consolidated investment management funds	$	481	$	462	Total assets of consolidated investment management funds	$	196	$	462
Liabilities of consolidated investment management funds:	Liabilities of consolidated investment management funds:					Liabilities of consolidated investment management funds:

Other liabilities	Other liabilities	5		3		Other liabilities	1		3
Total liabilities of consolidated investment management funds	Total liabilities of consolidated investment management funds	$	5	$	3	Total liabilities of consolidated investment management funds	$	1	$	3

The assets and liabilities of the consolidated investment management funds are included in other assets and other liabilities on the consolidated balance sheet. We value the assets and liabilities of 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 fair value of the assets and liabilities are recorded as income (loss) from consolidated investment management funds, which is included in investment and other revenue in the consolidated income statement.

We elected the fair value option on $15 million of subordinated notes associated with certain equity investments. The fair value of these of subordinated notes was $15 million at ~~March 31,~~June 30, 2022 and Dec. 31, 2021. The subordinated notes were valued using observable market inputs and included in Level 2 of the valuation hierarchy.

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

8086 BNY Mellon


Notes to Consolidated Financial Statements (continued)

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~~second quarter of 2022.

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, state and political subdivisions, corporate bonds and foreign covered bonds. At ~~March 31,~~June 30, 2022, ~~$29.3~~$30.4 billion par value of available-for-sale securities were hedged with interest rate swaps designated as fair value hedges that had notional values of ~~$29.3~~$30.4 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,~~June 30, 2022, ~~$21.0~~$22.2 billion par value of debt was hedged with interest rate swaps designated as fair value hedges that had notional values of ~~$21.0~~$22.2 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 12 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,~~June 30, 2022, the hedged forecasted foreign currency transactions and designated forward foreign exchange contract hedges were ~~$329~~$343 million (notional), with a net pre-tax loss of $1$8 million recorded in accumulated other comprehensive income (“OCI”). This loss 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,~~June 30, 2022, ~~$136~~$125 million par value of available-for-sale securities was hedged with foreign currency forward contracts that had a notional value of ~~$136~~$125 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,~~June 30, 2022, forward foreign exchange contracts with notional amounts totaling $8.6 billion were designated as net investment hedges.

From time to time, we also designate non-derivative financial instruments as hedges of our net investments in foreign subsidiaries. At ~~March 31,~~June 30, 2022, there were 0 non-derivative financial instruments hedging our net investments in foreign subsidiaries.

BNY Mellon 8187


Notes to Consolidated Financial Statements (continued)

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	Income statement impact of fair value and cash flow hedges								Income statement impact of fair value and cash flow hedges
(in millions)	(in millions)	Location of gains (losses)	1Q22		4Q21		1Q21			(in millions)	Location of gains (losses)	2Q22		1Q22		2Q21		YTD22		YTD21
Interest rate fair value hedges of available-for-sale securities	Interest rate fair value hedges of available-for-sale securities									Interest rate fair value hedges of available-for-sale securities
Derivative	Derivative	Interest revenue	$	1,484	$	137	$	791		Derivative	Interest revenue	$	866	$	1,484	$	(325)	$	2,350	$	466
Hedged item	Hedged item	Interest revenue	(1,480)		(138)		(785)			Hedged item	Interest revenue	(858)		(1,480)		322		(2,338)		(463)
Interest rate fair value hedges of long-term debt	Interest rate fair value hedges of long-term debt									Interest rate fair value hedges of long-term debt
Derivative	Derivative	Interest expense	(741)		(219)		(353)			Derivative	Interest expense	(292)		(741)		22		(1,033)		(331)
Hedged item	Hedged item	Interest expense	740		219		351			Hedged item	Interest expense	291		740		(21)		1,031		330
Foreign exchange fair value hedges of available-for-sale securities	Foreign exchange fair value hedges of available-for-sale securities									Foreign exchange fair value hedges of available-for-sale securities
Derivative (a)	Derivative (a)	Foreign exchange revenue	(1)		4		8			Derivative (a)	Foreign exchange revenue	(1)		(1)		(1)		(2)		7
Hedged item	Hedged item	Foreign exchange revenue	1		(4)		(7)			Hedged item	Foreign exchange revenue	2		1		1		3		(6)

Cash flow hedges of forecasted FX exposures	Cash flow hedges of forecasted FX exposures									Cash flow hedges of forecasted FX exposures

Gain reclassified from OCI into income		Staff expense	—		1		5
(Loss) gain reclassified from OCI into income										(Loss) gain reclassified from OCI into income	Staff expense	(1)		—		4		(1)		9
Gain recognized in the consolidated income statement due to fair value and cash flow hedging relationships	Gain recognized in the consolidated income statement due to fair value and cash flow hedging relationships		$	3	$	—	$	10		Gain recognized in the consolidated income statement due to fair value and cash flow hedging relationships		$	7	$	3	$	2	$	10	$	12

(a) Includes gains of $1 million in the second quarter of 2022, less than $1 million in the first quarter of 2022 ~~fourth~~and second quarter of 2021, $1 million in the first six months of 2022 and less than $1 million in the first ~~quarter~~six months of 2021associated with the amortization of the excluded component. At ~~March 31,~~June 30, 2022 and Dec. 31, 2021, 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	Impact of derivative instruments used in net investment hedging relationships																Impact of derivative instruments used in net investment hedging relationships
(in millions)	(in millions)											(in millions)
Derivatives in net investment hedging relationships	Derivatives in net investment hedging relationships	Gain or (loss) recognized in accumulated OCI on derivatives						Location of gain or (loss) reclassified from accumulated OCI into income	Gain or (loss) reclassified from accumulated OCI into income			Derivatives in net investment hedging relationships		Gain or (loss) recognized in accumulated OCI on derivatives									Location of gain or (loss) reclassified from accumulated OCI into income		Gain or (loss) reclassified from accumulated OCI into income
		1Q22		4Q21		1Q21				1Q22	4Q21			1Q21						Derivatives in net investment hedging relationships	1Q22	2Q21			YTD22			YTD21					Location of gain or (loss) reclassified from accumulated OCI into income			2Q22	1Q22		2Q21			YTD22			YTD21
FX contracts	FX contracts	$	143	$	40	$	82			Net interest revenue			$	—	$	—		$	—			$		505		$	143		$	(62)	$	648		$	20			Net interest revenue		$	—		$	—		$	—	$	—	$	—

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


Hedged items in fair value hedging relationships	Hedged items in fair value hedging relationships	Carrying amount of hedged asset or liability						Hedge accounting basis adjustment increase (decrease) (a)						Hedged items in fair value hedging relationships	Carrying amount of hedged asset or liability				Hedge accounting basis adjustment increase (decrease) (a)

(in millions)	(in millions)			March 31, 2022			Dec. 31, 2021			March 31, 2022			Dec. 31, 2021										(in millions)	June 30, 2022	Dec. 31, 2021	June 30, 2022	Dec. 31, 2021
Available-for-sale securities (b)(c)	Available-for-sale securities (b)(c)	$	29,315		$	24,400		$	(914)		$	590		Available-for-sale securities (b)(c)	$	30,383	$	24,400	$	(1,764)	$	590
Long-term debt	Long-term debt	$	20,456		$	22,447		$	(550)		$	183		Long-term debt	$	21,416	$	22,447	$	(833)	$	183

(a) Includes ~~$154~~$104 million and $165 million of basis adjustment increases on discontinued hedges associated with available-for-sale securities at ~~March 31,~~June 30, 2022 and Dec. 31, 2021, respectively, and ~~$65~~$56 million and $72 million of basis adjustment decreases on discontinued hedges associated with long-term debt at ~~March 31,~~June 30, 2022 and Dec. 31, 2021, 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 ~~$136~~$125 million at ~~March 31,~~June 30, 2022 and $141 million at Dec. 31, 2021.

8288 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 sheet	Impact of derivative instruments on the balance sheet	Notional value				Asset derivatives fair value						Liability derivatives fair value				Impact of derivative instruments on the balance sheet	Notional value						Asset derivatives fair value						Liability derivatives fair value
		March 31, 2022		Dec. 31, 2021		March 31, 2022		Dec. 31, 2021				March 31, 2022		Dec. 31, 2021			June 30, 2022		Dec. 31, 2021				June 30, 2022			Dec. 31, 2021			June 30, 2022			Dec. 31, 2021
(in millions)	(in millions)									(in millions)
Derivatives designated as hedging instruments: (a)(b)	Derivatives designated as hedging instruments: (a)(b)															Derivatives designated as hedging instruments: (a)(b)
Interest rate contracts	Interest rate contracts	$	50,290	$	46,717			$	—	$	—						$	147	$	453	Interest rate contracts	$	52,621		$	46,717		$	57		$	—		$	3	$	453
Foreign exchange contracts	Foreign exchange contracts	9,109		10,367		230		206				55		40		Foreign exchange contracts	9,074		10,367				468			206			27			40
Total derivatives designated as hedging instruments	Total derivatives designated as hedging instruments					$	230	$	206			$	202	$	493	Total derivatives designated as hedging instruments							$	525		$	206		$	30		$	493
Derivatives not designated as hedging instruments: (b)(c)	Derivatives not designated as hedging instruments: (b)(c)															Derivatives not designated as hedging instruments: (b)(c)
Interest rate contracts	Interest rate contracts	$	220,580	$	193,747	$	2,398	$	3,259			$	2,290	$	2,835	Interest rate contracts	$	233,360	$	193,747			$	1,650		$	3,259		$	1,773		$	2,835
Foreign exchange contracts	Foreign exchange contracts	1,068,411		915,694		7,981		6,279				8,218		6,215		Foreign exchange contracts	936,363		915,694				10,555			6,279			10,426			6,215
Equity contracts	Equity contracts	8,803		9,659		68		49				194		211		Equity contracts	5,419		9,659				243			49			52			211
Credit contracts	Credit contracts	275		190		—		—				10		5		Credit contracts	255		190				—			—			3			5
Total derivatives not designated as hedging instruments	Total derivatives not designated as hedging instruments					$	10,447	$	9,587			$	10,712	$	9,266	Total derivatives not designated as hedging instruments							$	12,448		$	9,587		$	12,254		$	9,266
Total derivatives fair value (d)	Total derivatives fair value (d)					$	10,677	$	9,793			$	10,914	$	9,759	Total derivatives fair value (d)							$	12,973		$	9,793		$	12,284		$	9,759
Effect of master netting agreements (e)	Effect of master netting agreements (e)					(8,250)		(6,973)				(7,589)		(6,335)		Effect of master netting agreements (e)							(9,379)			(6,973)			(9,854)			(6,335)
Fair value after effect of master netting agreements	Fair value after effect of master netting agreements					$	2,427	$	2,820			$	3,325	$	3,424	Fair value after effect of master netting agreements							$	3,594		$	2,820		$	2,430		$	3,424

(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 ~~$1,755~~$1,965 million and ~~$1,094~~$2,440 million, respectively, at ~~March 31,~~June 30, 2022, and $1,424 million and $786 million, respectively, at Dec. 31, 2021.

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 revenue on the consolidated income statement.

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


Foreign exchange revenue and other trading revenue	Foreign exchange revenue and other trading revenue							Foreign exchange revenue and other trading revenue
(in millions)	(in millions)	1Q22		4Q21		1Q21			(in millions)	2Q22		1Q22		2Q21		YTD22		YTD21
Foreign exchange revenue	Foreign exchange revenue	$	207	$	199	$	231		Foreign exchange revenue	$	222	$	207	$	184	$	429	$	415
Other trading revenue (loss)	Other trading revenue (loss)	5		(6)		(7)			Other trading revenue (loss)	45		5		(1)		50		(8)

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 loss of $30 million in the second quarter of 2022, a gain of $13 million in the second quarter of 2021, losses of $13 million in the first quarter of 2022 and ~~gains of $10~~$43 million in the first ~~quarter~~six months of ~~2021~~2022, and ~~$14~~a gain of $23 million in the ~~fourth quarter~~first six months of 2021.

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~~

BNY Mellon 8389


Notes to Consolidated Financial Statements (continued)

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, 2022		Dec. 31, 2021			June 30, 2022		Dec. 31, 2021
(in millions)	(in millions)					(in millions)
Aggregate fair value of OTC derivatives in net liability positions (a)	Aggregate fair value of OTC derivatives in net liability positions (a)	$	3,039	$	3,606	Aggregate fair value of OTC derivatives in net liability positions (a)	$	3,603	$	3,606
Collateral posted	Collateral posted	$	4,049	$	5,388	Collateral posted	$	4,210	$	5,388

(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)	Potential close-out exposures (fair value) (a)					Potential close-out exposures (fair value) (a)
		March 31, 2022		Dec. 31, 2021			June 30, 2022		Dec. 31, 2021
(in millions)	(in millions)					(in millions)
If The Bank of New York Mellon’s rating changed to: (b)	If The Bank of New York Mellon’s rating changed to: (b)					If The Bank of New York Mellon’s rating changed to: (b)
A3/A-	A3/A-	$	218	$	56	A3/A-	$	138	$	56
Baa2/BBB	Baa2/BBB	$	562	$	563	Baa2/BBB	$	463	$	563
Ba1/BB+	Ba1/BB+	$	1,542	$	1,778	Ba1/BB+	$	1,589	$	1,778

(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.

If The Bank of New York Mellon’s debt rating had fallen below investment grade on March 31, 2022 and Dec. 31, 2021, existing collateral arrangements would have required us to post additional collateral of $110 million and $71 million, respectively.

8490 BNY Mellon


Notes to Consolidated Financial Statements (continued)

If The Bank of New York Mellon’s debt rating had fallen below investment grade on June 30, 2022 and Dec. 31, 2021, existing collateral arrangements would

have required us to post additional collateral of $146 million and $71 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, 2022
Offsetting of derivative assets and financial assets at June 30, 2022															Offsetting of derivative assets and financial assets at June 30, 2022
		Gross assets recognized		Gross amounts offset in the balance sheet			Net assets recognized in the balance sheet		Gross amounts not offset in the balance sheet							Gross assets recognized		Gross amounts offset in the balance sheet			Net assets recognized in the balance sheet		Gross amounts not offset in the balance sheet
(in millions)	(in millions)					(a)			Financial instruments		Cash collateral received		Net amount		(in millions)					(a)			Financial instruments		Cash collateral received		Net amount
Derivatives subject to netting arrangements:	Derivatives subject to netting arrangements:														Derivatives subject to netting arrangements:
Interest rate contracts	Interest rate contracts	$	1,666	$	1,178		$	488	$	113	$	—	$	375	Interest rate contracts	$	1,227	$	920		$	307	$	69	$	—	$	238
Foreign exchange contracts	Foreign exchange contracts	7,734		7,008			726		56		—		670		Foreign exchange contracts	10,402		8,387			2,015		59		—		1,956
Equity and other contracts	Equity and other contracts	68		64			4		—		—		4		Equity and other contracts	228		72			156		41		—		115
Total derivatives subject to netting arrangements	Total derivatives subject to netting arrangements	9,468		8,250			1,218		169		—		1,049		Total derivatives subject to netting arrangements	11,857		9,379			2,478		169		—		2,309
Total derivatives not subject to netting arrangements	Total derivatives not subject to netting arrangements	1,209		—			1,209		—		—		1,209		Total derivatives not subject to netting arrangements	1,116		—			1,116		—		—		1,116
Total derivatives	Total derivatives	10,677		8,250			2,427		169		—		2,258		Total derivatives	12,973		9,379			3,594		169		—		3,425
Reverse repurchase agreements	Reverse repurchase agreements	62,354		44,373		(b)	17,981		17,929		—		52		Reverse repurchase agreements	51,894		37,436		(b)	14,458		14,458		—		—
Securities borrowing	Securities borrowing	9,150		—			9,150		8,591		—		559		Securities borrowing	8,482		—			8,482		8,082		—		400
Total	Total	$	82,181	$	52,623		$	29,558	$	26,689	$	—	$	2,869	Total	$	73,349	$	46,815		$	26,534	$	22,709	$	—	$	3,825

(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, 2021
	Gross assets recognized		Gross amounts offset in the balance sheet			Net assets recognized in the balance sheet		Gross amounts not offset in the balance sheet
(in millions)					(a)			Financial instruments		Cash collateral received		Net amount
Derivatives subject to netting arrangements:
Interest rate contracts	$	2,132	$	1,424		$	708	$	206	$	—	$	502
Foreign exchange contracts	6,122		5,501			621		69		—		552
Equity and other contracts	48		48			—		—		—		—
Total derivatives subject to netting arrangements	8,302		6,973			1,329		275		—		1,054
Total derivatives not subject to netting arrangements	1,491		—			1,491		—		—		1,491
Total derivatives	9,793		6,973			2,820		275		—		2,545
Reverse repurchase agreements	72,661		54,709		(b)	17,952		17,922		—		30
Securities borrowing	11,655		—			11,655		11,036		—		619
Total	$	94,109	$	61,682		$	32,427	$	29,233	$	—	$	3,194

(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 8591


Notes to Consolidated Financial Statements (continued)


Offsetting of derivative liabilities and financial liabilities at March 31, 2022							Net liabilities recognized in the balance sheet
Offsetting of derivative liabilities and financial liabilities at June 30, 2022													Offsetting of derivative liabilities and financial liabilities at June 30, 2022							Net liabilities recognized in the balance sheet
		Gross liabilities recognized		Gross amounts offset in the balance sheet					Gross amounts not offset in the balance sheet							Gross liabilities recognized		Gross amounts offset in the balance sheet						Gross amounts not offset in the balance sheet
(in millions)	(in millions)					(a)			Financial instruments		Cash collateral pledged		Net liabilities recognized in the balance sheet		Net amount						(in millions)		(a)			Cash collateral pledged			Net liabilities recognized in the balance sheet			Net amount
Derivatives subject to netting arrangements:	Derivatives subject to netting arrangements:														Derivatives subject to netting arrangements:
Interest rate contracts	Interest rate contracts	$	2,357	$	1,424		$	933	$	748	$	185			Interest rate contracts	$	1,639	$	1,255		$	384		$	103		$	281
Foreign exchange contracts	Foreign exchange contracts	7,436		5,985			1,451		109		—		1,342		Foreign exchange contracts	9,723		8,563			1,160			143			—					1,017
Equity and other contracts	Equity and other contracts	194		180			14		—		—		14		Equity and other contracts	52		36			16			—			—			16
Total derivatives subject to netting arrangements	Total derivatives subject to netting arrangements	9,987		7,589			2,398		857		—		1,541		Total derivatives subject to netting arrangements	11,414		9,854			1,560			246			—			1,314
Total derivatives not subject to netting arrangements	Total derivatives not subject to netting arrangements	927		—			927		—		—		927		Total derivatives not subject to netting arrangements	870		—			870			—			—			870
Total derivatives	Total derivatives	10,914		7,589			3,325		857		—		2,468		Total derivatives	12,284		9,854			2,430			246			—			2,184
Repurchase agreements	Repurchase agreements	55,922		44,373		(b)	11,549		11,540		3		6		Repurchase agreements	47,048		37,436		(b)	9,612			9,597			9			6
Securities lending	Securities lending	1,632		—			1,632		1,557		—		75		Securities lending	1,822		—			1,822			1,723			—			99
Total	Total	$	68,468	$	51,962		$	16,506	$	13,954	$	3	$	2,549	Total	$	61,154	$	47,290		$	13,864		$	11,566		$	9		$	2,289

(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, 2021						Net liabilities recognized in the balance sheet
	Gross liabilities recognized		Gross amounts offset in the balance sheet					Gross amounts not offset in the balance sheet
(in millions)					(a)			Financial instruments		Cash collateral pledged		Net amount
Derivatives subject to netting arrangements:
Interest rate contracts	$	3,263	$	2,028		$	1,235	$	1,197	$	—	$	38
Foreign exchange contracts	5,619		4,111			1,508		29		—		1,479
Equity and other contracts	211		196			15		—		—		15
Total derivatives subject to netting arrangements	9,093		6,335			2,758		1,226		—		1,532
Total derivatives not subject to netting arrangements	666		—			666		—		—		666
Total derivatives	9,759		6,335			3,424		1,226		—		2,198
Repurchase agreements	64,734		54,709		(b)	10,025		10,025		—		—
Securities lending	1,541		—			1,541		1,478		—		63
Total	$	76,034	$	61,044		$	14,990	$	12,729	$	—	$	2,261

(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.

8692 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	Repurchase agreements and securities lending transactions accounted for as secured borrowings																					Repurchase agreements and securities lending transactions accounted for as secured borrowings
		March 31, 2022										Dec. 31, 2021											June 30, 2022										Dec. 31, 2021
		Remaining contractual maturity								Total		Remaining contractual maturity								Total			Remaining contractual maturity								Total		Remaining contractual maturity								Total
(in millions)	(in millions)	Overnight and continuous		Up to 30 days		30-90 days		Over 90 days				Overnight and continuous		Up to 30 days		30-90 days		Over 90 days				(in millions)	Overnight and continuous		Up to 30 days		30-90 days		Over 90 days				Overnight and continuous		Up to 30 days		30-90 days		Over 90 days
Repurchase agreements:	Repurchase agreements:																					Repurchase agreements:
U.S. Treasury	U.S. Treasury	$	46,950	$	322	$	1,189	$	73	$	48,534	$	56,556	$	304	$	450	$	—	$	57,310	U.S. Treasury	$	39,367	$	—	$	1,358	$	83	$	40,808	$	56,556	$	304	$	450	$	—	$	57,310
Agency RMBS	Agency RMBS	2,296		2		—		—		2,298		2,795		1		—		—		2,796		Agency RMBS	1,401		1		—		—		1,402		2,795		1		—		—		2,796
Corporate bonds	Corporate bonds	81		93		947		264		1,385		97		77		870		270		1,314		Corporate bonds	58		180		743		227		1,208		97		77		870		270		1,314
Sovereign debt/sovereign guaranteed	Sovereign debt/sovereign guaranteed	628		326		—		—		954		160		—		—		—		160		Sovereign debt/sovereign guaranteed	695		223		—		—		918		160		—		—		—		160
U.S. government agencies																						U.S. government agencies	430		—		—		—		430		503		—		—		—		503
State and political subdivisions	State and political subdivisions	34		102		251		87		474		44		16		630		155		845		State and political subdivisions	17		39		179		64		299		44		16		630		155		845
U.S. government agencies		284		—		—		—		284		503		—		—		—		503
Other debt securities	Other debt securities	1		32		54		1		88		—		30		245		—		275		Other debt securities	7		59		17		1		84		—		30		245		—		275
Equity securities	Equity securities	—		171		1,734		—		1,905		—		276		1,255		—		1,531		Equity securities	—		121		1,778		—		1,899		—		276		1,255		—		1,531
Total	Total	$	50,274	$	1,048	$	4,175	$	425	$	55,922	$	60,155	$	704	$	3,450	$	425	$	64,734	Total	$	41,975	$	623	$	4,075	$	375	$	47,048	$	60,155	$	704	$	3,450	$	425	$	64,734
Securities lending:	Securities lending:																					Securities lending:
Agency RMBS	Agency RMBS	$	147	$	—	$	—	$	—	$	147	$	152	$	—	$	—	$	—	$	152	Agency RMBS	$	138	$	—	$	—	$	—	$	138	$	152	$	—	$	—	$	—	$	152
Other debt securities	Other debt securities	82		—		—		—		82		88		—		—		—		88		Other debt securities	71		—		—		—		71		88		—		—		—		88
Equity securities	Equity securities	1,403		—		—		—		1,403		1,301		—		—		—		1,301		Equity securities	1,613		—		—		—		1,613		1,301		—		—		—		1,301
Total	Total	$	1,632	$	—	$	—	$	—	$	1,632	$	1,541	$	—	$	—	$	—	$	1,541	Total	$	1,822	$	—	$	—	$	—	$	1,822	$	1,541	$	—	$	—	$	—	$	1,541
Total secured borrowings	Total secured borrowings	$	51,906	$	1,048	$	4,175	$	425	$	57,554	$	61,696	$	704	$	3,450	$	425	$	66,275	Total secured borrowings	$	43,797	$	623	$	4,075	$	375	$	48,870	$	61,696	$	704	$	3,450	$	425	$	66,275

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 8793


Notes to Consolidated Financial Statements (continued)

The following table presents a summary of our off-balance sheet credit risks.


Off-balance sheet credit risks	Off-balance sheet credit risks	March 31, 2022		Dec. 31, 2021		Off-balance sheet credit risks	June 30, 2022		Dec. 31, 2021
(in millions)	(in millions)					(in millions)
Lending commitments	Lending commitments	$	47,446	$	46,183	Lending commitments	$	48,976	$	46,183
Standby letters of credit (“SBLC”) (a)	Standby letters of credit (“SBLC”) (a)	1,867		1,971		Standby letters of credit (“SBLC”) (a)	2,029		1,971
Commercial letters of credit	Commercial letters of credit	50		56		Commercial letters of credit	144		56
Securities lending indemnifications (b)(c)	Securities lending indemnifications (b)(c)	496,262		487,298		Securities lending indemnifications (b)(c)	491,439		487,298

(a)Net of participations totaling ~~$127~~$141 million at ~~March 31,~~June 30, 2022 and $128 million at Dec. 31, 2021.

(b)Excludes the indemnification for securities for which BNY Mellon acts as an agent on behalf of CIBC Mellon clients, which totaled ~~$74~~$67 billion at ~~March 31,~~June 30, 2022 and $67 billion at Dec. 31, 2021.

(c)Includes cash collateral, invested in indemnified repurchase agreements, held by us as securities lending agent of ~~$52~~$53 billion at ~~March 31,~~June 30, 2022 and $48 billion at Dec. 31, 2021.

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: ~~$27.4~~$28.2 billion in less than one year, ~~$18.7~~$20.0 billion in one to five years and ~~$1.4~~$0.8 billion over five years.

SBLCs principally support obligations of corporate clients and were collateralized with cash and securities of ~~$166~~$162 million at ~~March 31,~~June 30, 2022 and $172 million at Dec. 31, 2021. At ~~March 31,~~June 30, 2022, ~~$1.1~~$1.3 billion of the SBLCs will expire within one year, ~~$800~~$736 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 credit	Standby letters of credit	March 31, 2022		Dec. 31, 2021			Standby letters of credit		June 30, 2022		Dec. 31, 2021

Investment grade	Investment grade		81		%	85		%	Investment grade	77		%	85	%
Non-investment grade	Non-investment grade	19	%	15		%	Non-investment grade		23	%	15		%

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 ~~$50~~$144 million at ~~March 31,~~June 30, 2022 and $56 million at Dec. 31, 2021.

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 ~~$53~~$62 million at ~~March 31,~~June 30, 2022 and $45 million at Dec. 31, 2021.

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

8894 BNY Mellon


Notes to Consolidated Financial Statements (continued)

counterparties. Securities lending indemnifications were secured by collateral of $~~521~~516 billion at ~~March 31,~~June 30, 2022 and $511 billion at Dec. 31, 2021.

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,~~June 30, 2022 and Dec. 31, 2021, ~~$74 billion and~~ $67 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 ~~$79 billion and~~ $71 ~~billion, respectively.~~billion. 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,~~June 30, 2022, we had ~~$126~~$921 million of unsettled repurchase agreements and ~~$10.6~~$4.1 billion of unsettled reverse repurchase agreements. At Dec. 31, 2021, we had $2.6 billion of unsettled repurchase agreements and $9.1 billion of unsettled reverse repurchase agreements.

Industry concentrations

We have significant industry concentrations related to credit exposure at ~~March 31,~~June 30, 2022. The tables below present our credit exposure in the financial institutions and commercial portfolios.


Financial institutions portfolio exposure (in billions)	June 30, 2022
	Loans		Unfunded commitments		Total exposure
Securities industry	$	1.6	$	18.0	$	19.6
Asset managers	2.0		7.5		9.5
Banks	6.4		1.7		8.1
Insurance	0.1		3.6		3.7
Government	0.1		0.2		0.3
Other	0.4		1.2		1.6
Total	$	10.6	$	32.2	$	42.8

Financial institutions
portfolio exposure
(in billions)
March 31, 2022
Loans Unfunded
commitments Total exposure
Securities industry $ 1.4 $ 17.4 $ 18.8
Asset managers 1.6 7.3 8.9
Banks 5.4 1.5 6.9
Insurance 0.2 3.5 3.7
Government 0.1 0.2 0.3
Other 0.5 1.2 1.7
Total $ 9.2 $ 31.1 $ 40.3


Commercial portfolio exposure (in billions)	Commercial portfolio exposure (in billions)	March 31, 2022						Commercial portfolio exposure (in billions)	June 30, 2022
		Loans		Unfunded commitments		Total exposure			Loans		Unfunded commitments		Total exposure
Manufacturing	Manufacturing	$	0.7	$	3.7	$	4.4	Manufacturing	$	0.8	$	4.0	$	4.8
Services and other								Services and other	1.2		3.1		4.3
Energy and utilities	Energy and utilities	0.4		3.8		4.2		Energy and utilities	0.3		3.8		4.1
Services and other		0.7		3.5		4.2
Media and telecom	Media and telecom	0.1		0.9		1.0		Media and telecom	0.1		0.7		0.8
Total	Total	$	1.9	$	11.9	$	13.8	Total	$	2.4	$	11.6	$	14.0

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


Country risk exposure at March 31, 2022	Interest-bearing deposits												Total exposure
(in billions)	Central banks		Banks			Lending (a)			Securities (b)		Other (c)
Top 10 country exposure:
Germany	$	21.4	$	0.8		$	1.2		$	4.2	$	0.5	$	28.1
United Kingdom (“UK”)	14.1		0.6			1.2			4.2		4.4		24.5
Japan	12.0		1.0			—			0.5		0.1		13.6
Belgium	8.0		0.3			0.1			0.1		—		8.5
Canada	—		2.4			0.3			3.8		1.2		7.7
Netherlands	4.0		0.5			0.2			1.4		0.2		6.3
Luxembourg	1.3		0.1			0.7			0.1		1.5		3.7
Singapore	—		1.1			—			1.6		0.5		3.2
France	—		0.4			—			2.5		0.3		3.2
Australia	—		1.9			0.2			0.7		0.3		3.1
Total Top 10 country exposure	$	60.8	$	9.1		$	3.9		$	19.1	$	9.0	$	101.9	(d)

Select country exposure:
Brazil	$	—	$	—		$	0.7		$	0.1	$	0.3	$	1.1
Russia	—		—		(e)	—		(f)	—		—		—
Total select country exposure	$	—	$	—		$	0.7		$	0.1	$	0.3	$	1.1


For the quarter ended June 30, 2022	Securities Services			Market and Wealth Services			Investment and Wealth Management				Other		Consolidated
(dollars in millions)
Total fee and other revenue	$	1,549		$	974		$	837		(a)	$	75	$	3,435		(a)
Net interest revenue (expense)	457			340			62				(35)		824
Total revenue	2,006			1,314			899			(a)	40		4,259			(a)
Provision for credit losses	13			4			—				30		47
Noninterest expense	1,656			702			691				63		3,112
Income (loss) before income taxes	$	337		$	608		$	208		(a)	$	(53)	$	1,100		(a)
Pre-tax operating margin (b)	17		%	46		%	23		%		N/M		26		%
Average assets	$	219,797		$	141,952		$	33,668			$	42,206	$	437,623


For the quarter ended March 31, 2022	Securities Services			Market and Wealth Services			Investment and Wealth Management				Other		Consolidated
(dollars in millions)
Total fee and other revenue	$	1,403		$	906		$	907		(a)	$	20	$	3,236		(a)
Net interest revenue (expense)	377			296			57				(32)		698
Total revenue (loss)	1,780			1,202			964			(a)	(12)		3,934			(a)
Provision for credit losses	(10)			(2)			(3)				17		2
Noninterest expense	1,510			708			755				33		3,006
Income (loss) before income taxes	$	280		$	496		$	212		(a)	$	(62)	$	926		(a)
Pre-tax operating margin (b)	16		%	41		%	22		%		N/M		23		%
Average assets	$	220,889		$	141,183		$	35,629			$	42,501	$	440,202


For the quarter ended Dec. 31, 2021	Securities Services			Market and Wealth Services			Investment and Wealth Management				Other		Consolidated
(dollars in millions)
Total fee and other revenue	$	1,466		$	876		$	969		(a)	$	21	$	3,332		(a)
Net interest revenue (expense)	367			297			51				(38)		677
Total revenue (loss)	1,833			1,173			1,020			(a)	(17)		4,009			(a)
Provision for credit losses	(7)			(3)			(6)				(1)		(17)
Noninterest expense	1,490			674			748				55		2,967
Income (loss) before income taxes	$	350		$	502		$	278		(a)	$	(71)	$	1,059		(a)
Pre-tax operating margin (b)	19		%	43		%	27		%		N/M		27		%
Average assets	$	229,511		$	143,816		$	31,306			$	45,005	$	449,638


For the quarter ended March 31, 2021		Securities Services				Market and Wealth Services					Investment and Wealth Management					Other			Consolidated
For the quarter ended June 30, 2021									For the quarter ended June 30, 2021	Securities Services																Market and Wealth Services					Investment and Wealth Management					Other					Consolidated
(dollars in millions)	(dollars in millions)				Securities Services				Market and Wealth Services						Investment and Wealth Management			Other					Consolidated																						(dollars in millions)
Total fee and other revenue (loss)
Total fee and other revenue																									Total fee and other revenue		$	1,433						$	903				$	952		(a)	$	22				$	3,310	(a)
Net interest revenue (expense)	Net interest revenue (expense)	356				289					48													(38)					655				Net interest revenue (expense)		354					289				47					(45)		645
Total revenue (loss)	Total revenue (loss)	1,787				1,203					991			(a)		(65)			3,916			(a)		Total revenue (loss)	1,787					1,192					999			(a)		(23)				3,955			(a)
Provision for credit losses	Provision for credit losses	(50)				(29)					4					(8)			(83)					Provision for credit losses	(58)					(19)					(4)					(5)				(86)
Noninterest expense	Noninterest expense	1,419				682					709					41			2,851					Noninterest expense	1,400					652					677					49				2,778
Income (loss) before income taxes	Income (loss) before income taxes	$	418			$	550				$	278		(a)		$	(98)		$	1,148		(a)		Income (loss) before income taxes	$	445				$	559				$	326		(a)		$	(67)			$	1,263		(a)
Pre-tax operating margin (b)	Pre-tax operating margin (b)	23		%		46		%			28		%			N/M			29		%			Pre-tax operating margin (b)	25		%			47		%			33		%			N/M				32		%
Average assets	Average assets	$	228,071			$	148,820				$	32,066				$	51,422		$	460,379				Average assets	$	231,152				$	144,297				$	30,370				$	46,510			$	452,329


For the six months ended June 30, 2022	Securities Services			Market and Wealth Services			Investment and Wealth Management				Other		Consolidated
(dollars in millions)
Total fee and other revenue	$	2,952		$	1,880		$	1,744		(a)	$	95	$	6,671		(a)
Net interest revenue (expense)	834			636			119				(67)		1,522
Total revenue	3,786			2,516			1,863			(a)	28		8,193			(a)
Provision for credit losses	3			2			(3)				47		49
Noninterest expense	3,166			1,410			1,446				96		6,118
Income (loss) before income taxes	$	617		$	1,104		$	420		(a)	$	(115)	$	2,026		(a)
Pre-tax operating margin (b)	16		%	44		%	23		%		N/M		25		%
Average assets	$	220,340		$	141,570		$	34,643			$	42,371	$	438,924


For the six months ended June 30, 2021	Securities Services			Market and Wealth Services			Investment and Wealth Management				Other		Consolidated
(dollars in millions)
Total fee and other revenue (loss)	$	2,864		$	1,817		$	1,895		(a)	$	(5)	$	6,571		(a)
Net interest revenue (expense)	710			578			95				(83)		1,300
Total revenue	3,574			2,395			1,990			(a)	(88)		7,871			(a)
Provision for credit losses	(108)			(48)			—				(13)		(169)
Noninterest expense	2,819			1,334			1,386				90		5,629
Income before income taxes	$	863		$	1,109		$	604		(a)	$	(165)	$	2,411		(a)
Pre-tax operating margin (b)	24		%	46		%	30		%		N/M		31		%
Average assets	$	229,620		$	146,546		$	31,213			$	48,953	$	456,332


Non-cash investing and financing transactions	Non-cash investing and financing transactions	Three months ended March 31,				Non-cash investing and financing transactions	Six months ended June 30,
(in millions)	(in millions)	2022		2021		(in millions)	2022		2021
Transfers from loans to other assets for other real estate owned	Transfers from loans to other assets for other real estate owned	$	—	$	1	Transfers from loans to other assets for other real estate owned	$	2	$	1
Change in assets of consolidated investment management funds	Change in assets of consolidated investment management funds	19		21		Change in assets of consolidated investment management funds	266		74
Change in liabilities of consolidated investment management funds	Change in liabilities of consolidated investment management funds	2		7		Change in liabilities of consolidated investment management funds	2		4
Change in nonredeemable noncontrolling interests of consolidated investment management funds	Change in nonredeemable noncontrolling interests of consolidated investment management funds	2		119		Change in nonredeemable noncontrolling interests of consolidated investment management funds	189		201
Securities purchased not settled	Securities purchased not settled	760		413		Securities purchased not settled	323		866
Securities sold not settled	Securities sold not settled	156		443		Securities sold not settled	64		100

Available-for-sale securities transferred to held-to-maturity	Available-for-sale securities transferred to held-to-maturity	5,160		—		Available-for-sale securities transferred to held-to-maturity	906		5,945

Premises and equipment/operating lease obligations	Premises and equipment/operating lease obligations	13		24		Premises and equipment/operating lease obligations	67		56


Share repurchases – first quarter of 2022				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, 2022
(dollars in millions, except per share amounts; common shares in thousands)	Total shares repurchased	Average price per share
January 2022	65	$	62.54	65		$	2,746
February 2022	1,816	61.75		1,816		2,634
March 2022	31	52.81		31		2,632
First quarter of 2022 (a)	1,912	$	61.64	1,912		$	2,632	(b)


Share repurchases – second quarter of 2022				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 June 30, 2022
(dollars in millions, except per share amounts; common shares in thousands)	Total shares repurchased	Average price per share
April 2022	4	$	53.27	4		$	2,632
May 2022	1	53.47		1		2,632
June 2022	41	61.82		41		2,629
Second quarter of 2022 (a)	46	$	60.87	46		$	2,629	(b)



Date: ~~May 6,~~August 5, 2022	By:	/s/ Kurtis R. Kurimsky
		Kurtis R. Kurimsky
		Corporate Controller
		(Duly Authorized Officer and
		Principal Accounting Officer of
		the Registrant)