Bank of New York Mellon Corp - Quarter Report: 2022 March (Form 10-Q)

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, 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, 2022, 807,798,243 shares of the registrant’s common stock, $0.01 par value per share, were outstanding.

THE BANK OF NEW YORK MELLON CORPORATION

First 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 quarter 2022 events			4
Highlights of first quarter 202 2 results			5


Fee and other revenue			6
Net interest revenue			9

Noninterest expense			11
Income taxes			11
Review of business segments			12
Critical accounting estimates			19
Consolidated balance sheet review			20
Liquidity and dividends			29
Capital			33
Trading activities and risk management			37
Asset/liability management			39
Supplemental information – Explanation of GAAP and Non-GAAP financial measures			41
Recent accounting and regulatory developments			43
Other matters			44
Website information			45

Item 1. Financial Statements:
Consolidated Income Statement (unaudited)			46
Consolidated Comprehensive Income Statement (unaudited)			48
Consolidated Balance Sheet (unaudited)			49
Consolidated Statement of Cash Flows (unaudited)			50
Consolidated Statement of Changes in Equity (unaudited)			51


			Page
Notes to Consolidated Financial Statements:
Note 1—Basis of presentation			53

Note 2—Acquisitions and dispositions			53
Note 3—Securities			53
Note 4—Loans and asset quality			59

Note 5—Goodwill and intangible assets			65
Note 6—Other assets			66
Note 7—Contract revenue			68
Note 8—Net interest revenue			70
Note 9—Employee benefit plans			70
Note 10—Income taxes			70
Note 11—Variable interest entities			71
Note 12—Preferred stock			72
Note 13—Other comprehensive income (loss)			73
Note 14—Fair value measurement			73
Note 15—Fair value option			80
Note 16—Derivative instruments			80
Note 17—Commitments and contingent liabilities			87
Note 18—Business segments			93
Note 19—Supplemental information to the Consolidated Statement of Cash Flows			95

Item 4. Controls and Procedures			96
Forward-looking Statements			97

Part II – Other Information
Item 1. Legal Proceedings.			99

Item 2. Unregistered Sales of Equity Securities and Use of Proceeds.			99
Item 6. Exhibits.			99

Index to Exhibits			100
Signature			102

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

Consolidated Financial Highlights (unaudited)


	Quarter ended
(dollars in millions, except per share amounts and unless otherwise noted)	March 31, 2022			Dec. 31, 2021			March 31, 2021
Results applicable to common shareholders of The Bank of New York Mellon Corporation:
Net income	$	699		$	822		$	858
Basic earnings per share	$	0.86		$	1.01		$	0.97
Diluted earnings per share	$	0.86		$	1.01		$	0.97

Fee and other revenue	$	3,228		$	3,338		$	3,266
Net interest revenue	698			677			655
Total revenue	$	3,926		$	4,015		$	3,921

Return on common equity (annualized)	7.6		%	8.6		%	8.5		%
Return on tangible common equity (annualized) – Non-GAAP (a)	15.4		%	17.2		%	16.1		%

Fee revenue as a percentage of total revenue	80		%	80		%	83		%

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

Pre-tax operating margin	23		%	27		%	29		%

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

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

Average common shares and equivalents outstanding (in thousands):
Basic	809,469			811,463			882,558
Diluted	813,986			817,345			885,655

Selected average balances:
Interest-earning assets	$	373,186		$	381,682		$	397,297
Total assets	$	440,202		$	449,638		$	460,379
Interest-bearing deposits	$	223,243		$	231,086		$	245,115
Noninterest-bearing deposits	$	90,179		$	91,535		$	83,429
Long-term debt	$	25,588		$	25,932		$	26,199
Preferred stock	$	4,838		$	5,027		$	4,541
Total The Bank of New York Mellon Corporation common shareholders’ equity	$	37,363		$	37,941		$	40,720

Other information at period end:
Cash dividends per common share	$	0.34		$	0.34		$	0.31
Common dividend payout ratio	40		%	34		%	32		%
Common dividend yield (annualized)	2.8		%	2.3		%	2.7		%
Closing stock price per common share	$	49.63		$	58.08		$	47.29
Market capitalization	$	40,091		$	46,705		$	41,401
Book value per common share	$	45.76		$	47.50		$	46.16
Tangible book value per common share – Non-GAAP (a)	$	22.76		$	24.31		$	24.88
Full-time employees	49,600			49,100			48,000
Common shares outstanding (in thousands)	807,798			804,145			875,481

2 BNY Mellon

Consolidated Financial Highlights (unaudited) (continued)


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

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

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

BNY Mellon shareholders’ equity to total assets ratio	8.8	%	9.7	%
BNY Mellon common shareholders’ equity to total assets ratio	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 41 for the reconciliation of Non-GAAP measures.

(b) See “Net interest revenue” on page 9 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. Includes the AUC/A of CIBC Mellon Global Securities Services Company (“CIBC Mellon”), a joint venture with the Canadian Imperial Bank of Commerce, of $1.7 trillion at March 31, 2022 and Dec. 31, 2021 and $1.6 trillion at March 31, 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 33.

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 quarter 2022 events

Leadership succession

In March 2022, Todd Gibbons announced his decision to retire as Chief Executive Officer and member of the Board of Directors effective Aug. 31, 2022. The Board of Directors 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 has served as Vice Chair of BNY Mellon and CEO of Global Market Infrastructure, which includes BNY Mellon’s Pershing, Treasury Services, and Clearance and Collateral Management lines of business, as well as Markets & Execution Services.

Impact of sanctions and actions related to Russia

As 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 revenue in the first quarter of 2022, and is expected to impact the Company’s annual

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 quarter 2022 results

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

•Total revenue of $3.9 billion was flat, primarily reflecting:

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

•Fee revenue decreased 3%, mainly reflecting an $88 million reduction primarily due to accelerated amortization of deferred costs for depositary receipts services related to Russia. The decrease also reflects 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. (See “Fee and other revenue” beginning on page 6.)

•Investment and other revenue increased, primarily reflecting a 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 offset by lower seed capital results. (See “Fee and other revenue” beginning on page 6.)

•Net interest revenue increased 7%, primarily reflecting higher interest rates on interest-earning assets, a change in asset mix and lower funding expense, partially offset by lower interest-earning assets. (See “Net interest revenue” on page 9.)

•Provision for credit losses was $2 million compared with a benefit of $83 million. (See “Consolidated balance sheet review – Allowance for credit losses” beginning on page 27.)

•Noninterest expense increased approximately 5.5%, primarily reflecting higher investments in growth, infrastructure and efficiency initiatives and higher revenue-related expenses, partially offset by the favorable impact of a stronger U.S. dollar. (See “Noninterest expense” on page 11.)

•Effective tax rate of 16.7% includes a benefit from the annual vesting of stock-based awards. (See “Income taxes” on page 11.)

Metrics

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

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

Capital and liquidity

•CET1 ratio was 10.1% at March 31, 2022, compared with 11.2% at Dec. 31, 2021. 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 and capital deployed through dividends, partially offset by capital generated through earnings. (See “Capital” beginning on page 33.)

•Tier 1 leverage was 5.3% at March 31, 2022, compared with 5.5% at Dec. 31, 2021. The decrease was driven by the decrease in capital, partially offset by lower average assets. (See “Capital” beginning on page 33.)

•Repurchased 1.9 million common shares for $118 million and dividends to common shareholders were $278 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.

•Income before income taxes decreased 33%.

•Pre-tax operating margin of 16%.

BNY Mellon 5

Market and Wealth Services

•Total revenue was flat.

•Income before income taxes decreased 10%.

•Pre-tax operating margin of 41%.

Investment and Wealth Management

•Total revenue decreased 3%.

•Income before income taxes decreased 24%.

•Pre-tax operating margin of 22%; adjusted pre-tax operating margin – Non-GAAP of 24%. (See “Supplemental information – Explanation of GAAP and Non-GAAP financial measures” beginning on page 41 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
(dollars in millions, unless otherwise noted)										1Q22 vs.
	1Q22			4Q21			1Q21			4Q21		1Q21
Investment services fees	$	1,993		$	2,061		$	2,056		(3)	%	(3)	%
Investment management and performance fees (a)	883			896			890			(1)		(1)
Foreign exchange revenue	207			199			231			4		(10)
Financing-related fees	45			47			51			(4)		(12)
Distribution and servicing fees	30			28			29			7		3
Total fee revenue	3,158			3,231			3,257			(2)		(3)
Investment and other revenue	70			107			9			N/M		N/M
Total fee and other revenue	$	3,228		$	3,338		$	3,266		(3)	%	(1)	%

Fee revenue as a percentage of total revenue	80		%	80		%	83		%

AUC/A at period end (in trillions) (b)	$	45.5		$	46.7		$	41.7		(3)	%	9	%
AUM at period end (in billions) (c)	$	2,266		$	2,434		$	2,214		(7)	%	2	%

(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. Includes the AUC/A of CIBC Mellon of $1.7 trillion at March 31, 2022 and Dec. 31, 2021 and $1.6 trillion at March 31, 2021.

N/M – Not meaningful.

Fee revenue decreased 3% compared with the first quarter of 2021 and 2% compared with the fourth quarter of 2021. The decreases compared with the first 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 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 the fourth quarter of 2021 also reflects lower market values, partially offset by lower money market fee waivers.

Investment and other revenue increased $61 million compared with the first quarter of 2021 and decreased $37 million compared with the fourth quarter of 2021.

The increase compared with the first quarter of 2021 primarily reflects a 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 offset by lower seed capital results. The decrease compared with the fourth quarter of 2021 primarily reflects lower seed capital results.

Money market fee waivers

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


Money market fee waivers
(in millions)	1Q22		4Q21		1Q21
Investment services fees	$	(126)	$	(148)	$	(109)
Investment management and performance fees	(85)		(116)		(89)
Distribution and servicing fees	(11)		(14)		(13)
Total fee revenue	(222)		(278)		(211)
Less: Distribution and servicing expense	23		35		23
Net impact of money market fee waivers	$	(199)	$	(243)	$	(188)

Impact to investment services fees by line of business (a)
Asset Servicing	$	(19)	$	(31)	$	(15)
Issuer Services	(11)		(18)		(11)
Pershing	(90)		(89)		(77)
Treasury Services	(6)		(10)		(6)
Total impact of investment services fees by line of business	$	(126)	$	(148)	$	(109)

Impact to revenue by line of business (a):
Asset Servicing	$	(28)	$	(50)	$	(29)
Issuer Services	(14)		(24)		(15)
Pershing	(107)		(106)		(94)
Treasury Services	(8)		(14)		(9)
Investment Management	(63)		(81)		(61)
Wealth Management	(2)		(3)		(3)
Total impact to fee revenue by line of business	$	(222)	$	(278)	$	(211)

(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% 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. The decrease compared with the first quarter of 2021 also reflects 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. The decrease compared with the fourth quarter of 2021

was partially offset by lower money market fee waivers.

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% compared with the first quarter of 2021 and fourth quarter of 2021. The decrease compared with the first quarter of 2021 primarily reflects 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 $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. On a constant currency basis (Non-GAAP), investment management and performance fees increased 1% compared with the first quarter of 2021. See “Supplemental information – Explanation of GAAP and Non-GAAP financial measures” beginning on page 41 for the reconciliation of Non-GAAP measures.

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

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.

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% 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 primarily reflects lower

BNY Mellon 7

volumes. The increase compared with the fourth quarter of 2021 primarily reflects 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
(in millions)	1Q22		4Q21		1Q21
(Loss) income from consolidated investment management funds	$	(20)	$	9	$	17
Seed capital (losses) gains (a)	(8)		12		3
Other trading revenue (loss)	5		(6)		(7)
Renewable energy investment (losses)	(44)		(37)		(81)
Corporate/bank-owned life insurance	33		45		33
Other investments gains (b)	61		55		11

Expense reimbursements from joint venture	27		23		23
Other income	12		5		10
Net securities gains	4		1		—
Total investment and other revenue	$	70	$	107	$	9

(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 $70 million in the first quarter of 2022 compared with $9 million in the first quarter of 2021 and $107 million in the fourth quarter of 2021. The increase compared with the first quarter of 2021 primarily reflects a 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 offset by lower seed capital results. The decrease compared with the fourth quarter of 2021 primarily reflects lower seed capital results.

8 BNY Mellon

Net interest revenue


Net interest revenue
							1Q22 vs.
(dollars in millions)	1Q22		4Q21		1Q21		4Q21		1Q21
Net interest revenue – GAAP	$	698	$	677	$	655	3	%	7	%
Add: Tax equivalent adjustment	3		4		3		N/M		N/M
Net interest revenue (FTE) – Non-GAAP (a)	$	701	$	681	$	658	3	%	7	%

Average interest-earning assets	$	373,186	$	381,682	$	397,297	(2)	%	(6)	%



Net interest margin – GAAP	0.75	%	0.71	%	0.66	%	4	bps	9	bps
Net interest margin (FTE) – Non-GAAP (a)	0.76	%	0.71	%	0.67	%	5	bps	9	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% compared with the first quarter of 2021 and 3% compared with the fourth quarter of 2021. The increase compared with the first quarter of 2021 primarily reflects higher interest rates on interest-earning assets, a change in asset mix and lower funding expense, partially offset by lower interest-earning assets. The increase compared with the fourth quarter of 2021 primarily reflects higher interest rates on interest-earning assets, partially offset by higher funding expense and lower interest-earning assets.

Net interest margin increased 9 basis points compared with the first quarter of 2021 and 4 basis points compared with the fourth quarter of 2021. The changes compared with the first quarter of 2021 and the fourth quarter of 2021 primarily reflect the factors mentioned above.

Average interest-earning assets decreased 6% compared with the first quarter of 2021 and 2% compared with the fourth quarter of 2021. Both decreases primarily reflect lower interest-bearing deposits with the Federal Reserve and other central banks, interest-bearing deposits with banks and securities balances. These decreases were 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.

BNY Mellon 9


Average balances and interest rates	Quarter ended
	March 31, 2022						Dec. 31, 2021						March 31, 2021
(dollars in millions; average rates annualized)	Average balance		Interest		Average rates		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	$	100,303	$	2	0.01	%	$	105,065	$	(15)	(0.06)	%		$	125,930	$	(16)	(0.05)	%
Interest-bearing deposits with banks (primarily foreign banks)	17,181		14		0.33		18,818		11		0.23			21,313		14		0.27
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
Loans	66,810		260		1.57		64,650		253		1.55			56,789		230		1.63
Securities:
U.S. government obligations	40,868		74		0.74		39,169		72		0.73			28,759		63		0.90
U.S. government agency obligations	67,055		245		1.46		69,691		236		1.35			77,623		271		1.40
State and political subdivisions (b)	2,337		13		2.16		2,569		15		2.11			2,526		12		1.92
Other securities (b)	45,541		115		1.02		47,493		116		0.97			47,030		116		0.99
Total investment securities (b)	155,801		447		1.15		158,922		439		1.10			155,938		462		1.19
Trading securities (b)	6,085		21		1.43		6,447		14		0.93			8,141		19		0.95
Total securities (b)	161,886		468		1.16		165,369		453		1.09			164,079		481		1.18
Total interest-earning assets (b)	$	373,186	$	781	0.84	%	$	381,682	$	733	0.76	%		$	397,297	$	741	0.75	%
Noninterest-earning assets	67,016						67,956							63,082
Total assets	$	440,202					$	449,638						$	460,379

Liabilities and equity
Interest-bearing liabilities:
Interest-bearing deposits	$	223,243	$	(37)	(0.07)	%	$	231,086	$	(45)	(0.08)	%		$	245,115	$	(37)	(0.06)	%
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)
Trading liabilities	3,372		4		0.53		3,019		2		0.28			2,227		3		0.53
Other borrowed funds	458		3		2.36		517		2		1.80			331		2		2.01
Commercial paper	4		—		0.09		—		—		—			—		—		—
Payables to customers and broker-dealers	16,661		—		0.01		16,414		—		(0.01)			17,691		(1)		(0.01)
Long-term debt	25,588		98		1.53		25,932		91		1.36			26,199		119		1.81
Total interest-bearing liabilities	$	282,190	$	80	0.11	%	$	289,389	$	52	0.07	%		$	306,851	$	83	0.11	%
Total noninterest-bearing deposits	90,179						91,535							83,429
Other noninterest-bearing liabilities	25,419						25,481							24,556
Total liabilities	397,788						406,405							414,836
Total The Bank of New York Mellon Corporation shareholders’ equity	42,201						42,968							45,261
Noncontrolling interests	213						265							282
Total liabilities and equity	$	440,202					$	449,638						$	460,379
Net interest revenue (FTE) – Non-GAAP (b)(c)			$	701					$	681						$	658
Net interest margin (FTE) – Non-GAAP (b)(c)					0.76	%					0.71	%						0.67	%
Less: Tax equivalent adjustment			3						4							3
Net interest revenue – GAAP			$	698					$	677						$	655
Net interest margin – GAAP					0.75	%					0.71	%						0.66	%

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

10 BNY Mellon

Noninterest expense


Noninterest expense
							1Q22 vs.
(dollars in millions)	1Q22		4Q21		1Q21		4Q21		1Q21
Staff	$	1,702	$	1,633	$	1,602	4	%	6	%
Software and equipment	399		379		362		5		10
Professional, legal and other purchased services	370		390		343		(5)		8
Net occupancy	122		133		123		(8)		(1)
Sub-custodian and clearing	118		120		124		(2)		(5)
Distribution and servicing	79		75		74		5		7
Bank assessment charges	35		30		34		17		3
Business development	30		44		19		(32)		58
Amortization of intangible assets	17		19		24		(11)		(29)
Other	134		144		146		(7)		(8)
Total noninterest expense	$	3,006	$	2,967	$	2,851	1	%	5	%

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

Total noninterest expense increased approximately 5.5% compared with the first quarter of 2021 and 1% compared with the fourth quarter of 2021. The increase compared with the first quarter of 2021 primarily reflects higher investments in growth, infrastructure and efficiency initiatives and higher revenue-related expenses, 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 quarter of 2021 primarily reflects higher staff and software and equipment expenses, 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.

Income taxes

BNY Mellon recorded an income tax provision of $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. For additional information, see Note 10 of the Notes to Consolidated Financial Statements.

BNY Mellon 11

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 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 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, 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.

12 BNY Mellon

Securities Services business segment



(dollars in millions, unless otherwise noted)																1Q22 vs.
	1Q22			4Q21			3Q21			2Q21			1Q21			4Q21		1Q21
Revenue:
Investment services fees:
Asset Servicing	$	999		$	984		$	979		$	960		$	953		2	%	5	%
Issuer Services	141			253			281			281			246			(44)		(43)
Total investment services fees	1,140			1,237			1,260			1,241			1,199			(8)		(5)
Foreign exchange revenue	148			148			125			129			172			—		(14)
Other fees (a)	41			28			30			25			30			46		37
Total fee revenue	1,329			1,413			1,415			1,395			1,401			(6)		(5)
Investment and other revenue	74			53			73			38			30			N/M		N/M
Total fee and other revenue	1,403			1,466			1,488			1,433			1,431			(4)		(2)
Net interest revenue	377			367			349			354			356			3		6
Total revenue	1,780			1,833			1,837			1,787			1,787			(3)		—
Provision for credit losses	(10)			(7)			(19)			(58)			(50)			N/M		N/M
Noninterest expense (excluding amortization of intangible assets)	1,502			1,481			1,535			1,393			1,411			1		6
Amortization of intangible assets	8			9			8			7			8			(11)		—
Total noninterest expense	1,510			1,490			1,543			1,400			1,419			1		6
Income before income taxes	$	280		$	350		$	313		$	445		$	418		(20)	%	(33)	%

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

Securities lending revenue (b)	$	39		$	45		$	45		$	42		$	41		(13)	%	(5)	%

Total revenue by line of business:
Asset Servicing	$	1,512		$	1,456		$	1,437		$	1,382		$	1,424		4	%	6	%
Issuer Services	268			377			400			405			363			(29)		(26)
Total revenue by line of business	$	1,780		$	1,833		$	1,837		$	1,787		$	1,787		(3)	%	—	%

Selected average balances:
Average loans	$	10,150		$	9,764		$	8,389		$	8,485		$	8,374		4	%	21	%
Average deposits	$	192,156		$	200,272		$	198,680		$	203,147		$	199,845		(4)	%	(4)	%

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

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

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

(c) Consists of AUC/A primarily from the Asset Servicing business and, to a lesser extent, the Issuer Services business. Includes the AUC/A of CIBC Mellon of $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 $78 billion at March 31, 2022, $71 billion at Dec. 31, 2021, $68 billion at Sept. 30, 2021, $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 trillion of AUC/A at March 31, 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 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 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 trillion increased 7% compared with March 31, 2021, primarily reflecting net new business, higher market values and client inflows, partially offset by the unfavorable impact of a stronger U.S. dollar.

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

Asset Servicing revenue of $1.5 billion increased 6% compared with the first quarter of 2021 and 4% compared with the fourth quarter of 2021. The increase compared with the first quarter of 2021

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 the first quarter of 2021 also reflects lower depositary receipts fees and the impact of lost business in the prior year 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 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 billion increased 6% compared with the first quarter of 2021 and 1% compared with the fourth quarter of 2021, primarily reflecting higher investments in growth, infrastructure and efficiency initiatives. The increase compared with the first quarter of 2021 also reflects higher revenue-related expenses, partially offset by the favorable impact of a stronger U.S. dollar. The increase compared with the fourth quarter of 2021 was partially offset by lower litigation reserves and revenue-related expenses.

14 BNY Mellon

Market and Wealth Services business segment



(dollars in millions, unless otherwise noted)																1Q22 vs.
	1Q22			4Q21			3Q21			2Q21			1Q21			4Q21		1Q21
Revenue:
Investment services fees:
Pershing	$	433		$	412		$	427		$	439		$	459		5	%	(6)	%
Treasury Services	170			170			168			160			164			—		4
Clearance and Collateral Management	243			236			228			228			226			3		8
Total investment services fees	846			818			823			827			849			3		—
Foreign exchange revenue	26			21			23			23			21			24		24
Other fees (a)	34			31			31			32			37			10		(8)
Total fee revenue	906			870			877			882			907			4		—
Investment and other revenue	—			6			13			21			7			N/M		N/M
Total fee and other revenue	906			876			890			903			914			3		(1)
Net interest revenue	296			297			283			289			289			—		2
Total revenue	1,202			1,173			1,173			1,192			1,203			2		—
Provision for credit losses	(2)			(3)			(16)			(19)			(29)			N/M		N/M
Noninterest expense (excluding amortization of intangible assets)	706			670			665			647			673			5		5
Amortization of intangible assets	2			4			3			5			9			(50)		(78)
Total noninterest expense	708			674			668			652			682			5		4
Income before income taxes	$	496		$	502		$	521		$	559		$	550		(1)	%	(10)	%

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

Total revenue by line of business:
Pershing	$	570		$	553		$	566		$	590		$	605		3	%	(6)	%
Treasury Services	338			331			326			319			317			2		7
Clearance and Collateral Management	294			289			281			283			281			2		5
Total revenue by line of business	$	1,202		$	1,173		$	1,173		$	1,192		$	1,203		2	%	—	%

Selected average balances:
Average loans	$	42,113		$	40,812		$	39,041		$	38,360		$	35,094		3	%	20	%
Average deposits	$	95,704		$	100,653		$	101,253		$	102,896		$	107,079		(5)	%	(11)	%

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

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

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

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

(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.

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 trillion serviced globally, including approximately $3.9 trillion of the U.S. tri-party repo market at March 31, 2022.

Review of financial results

AUC/A of $11.6 trillion increased 17% compared with March 31, 2021, primarily reflecting client activity.

Total revenue of $1.2 billion was flat compared with the first quarter of 2021 and increased 2% compared with the fourth quarter of 2021. The drivers of total revenue by line of business are indicated below.

Pershing revenue of $570 million decreased 6% 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. 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 fourth quarter of 2021 primarily reflects lower money market fee waivers and higher net interest revenue, partially offset by lower payment volumes.

Clearance and Collateral Management revenue of $294 million increased 5% 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 balances and clearance volumes. The increase compared with the fourth quarter of 2021 primarily reflects higher clearance volumes.

Noninterest expense of $708 million increased 4% compared with the first quarter of 2021 and 5% compared with the fourth quarter of 2021. Both increases primarily reflect higher investments in growth, infrastructure and efficiency initiatives. The increase compared with the fourth quarter of 2021 also reflects higher staff expense.

16 BNY Mellon

Investment and Wealth Management business segment



																1Q22 vs.
(dollars in millions)	1Q22			4Q21			3Q21			2Q21			1Q21			4Q21		1Q21
Revenue:
Investment management fees	$	848		$	864		$	893		$	876		$	850		(2)	%	—	%
Performance fees	34			32			21			14			40			N/M		(15)
Investment management and performance fees (a)	882			896			914			890			890			(2)		(1)
Distribution and servicing fees	32			28			28			28			28			14		14
Other fees (b)	1			22			20			16			22			N/M		N/M
Total fee revenue	915			946			962			934			940			(3)		(3)
Investment and other revenue (c)	(8)			23			23			18			3			N/M		N/M
Total fee and other revenue (c)	907			969			985			952			943			(6)		(4)
Net interest revenue	57			51			47			47			48			12		19
Total revenue	964			1,020			1,032			999			991			(5)		(3)
Provision for credit losses	(3)			(6)			(7)			(4)			4			N/M		N/M
Noninterest expense (excluding amortization of intangible assets)	748			741			684			669			702			1		7
Amortization of intangible assets	7			7			7			8			7			—		—
Total noninterest expense	755			748			691			677			709			1		6
Income before income taxes	$	212		$	278		$	348		$	326		$	278		(24)	%	(24)	%

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

Total revenue by line of business:
Investment Management	$	658		$	709		$	727		$	700		$	698		(7)	%	(6)	%
Wealth Management	306			311			305			299			293			(2)		4
Total revenue by line of business	$	964		$	1,020		$	1,032		$	999		$	991		(5)	%	(3)	%

Average balances:
Average loans	$	13,228		$	12,737		$	12,248		$	11,871		$	11,610		4	%	14	%
Average deposits	$	22,501		$	18,374		$	17,270		$	17,466		$	19,177		22	%	17	%

(a) On a constant currency basis, investment management and performance fees increased 1% (Non-GAAP) compared with the first quarter of 2021. See “Supplemental information – Explanation of GAAP and Non-GAAP financial measures” beginning on page 41 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 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 41 for the reconciliation of this Non-GAAP measure.

N/M – Not meaningful.

BNY Mellon 17


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

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

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

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

(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.

Review of financial results

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

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

Total revenue of $1.0 billion decreased 3% 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 quarter of 2021 and 7% compared with the fourth quarter of 2021. The decrease compared with the first quarter of 2021 primarily reflects lower seed capital results, 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 million increased 4% 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 2021 primarily reflects lower market values, partially offset by higher net interest revenue.

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

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

Noninterest expense of $755 million increased 6% compared with the first quarter of 2021 and 1% compared with the fourth quarter of 2021. The increase compared with the first quarter of 2021 primarily reflects higher investments in growth initiatives and revenue-related 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)	1Q22		4Q21		3Q21		2Q21		1Q21
Fee revenue	$	8	$	2	$	12	$	13	$	9
Investment and other revenue	12		19		23		9		(36)
Total fee and other revenue	20		21		35		22		(27)
Net interest expense	(32)		(38)		(38)		(45)		(38)
Total revenue	(12)		(17)		(3)		(23)		(65)
Provision for credit losses	17		(1)		(3)		(5)		(8)
Noninterest expense	33		55		16		49		41
(Loss) before income taxes	$	(62)	$	(71)	$	(16)	$	(67)	$	(98)

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

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 million compared with the first quarter of 2021 and $5 million compared with the fourth quarter of 2021. The increase compared with the first quarter of 2021 primarily reflects a $39 million impairment for a renewable energy investment recorded in the first quarter of 2021.

The provision for credit losses was $17 million in the first quarter of 2022 and was primarily related to interest-bearing deposits with banks in Russia.

Noninterest expense decreased $8 million compared with the first quarter of 2021 and $22 million compared with the fourth quarter of 2021. Both decreases primarily reflect lower 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.
Litigation and regulatory contingencies			“Legal proceedings” in Note 17 of the Notes to Consolidated Financial Statements.

Consolidated balance sheet review

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

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

At March 31, 2022, total assets were $474 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. Deposits totaled $346 billion at March 31, 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 interest-bearing deposits in non-U.S. offices. Total interest-bearing deposits as a percentage of total interest-earning assets were 61% at March 31, 2022 and 60% at Dec. 31, 2021.

At March 31, 2022, available funds totaled $187 billion and includes 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% at March 31, 2022 and 35% at Dec. 31, 2021. For additional information on our available funds, see “Liquidity and dividends.”

Securities were $153 billion, or 32% of total assets, at March 31, 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 U.S. government agency securities. For additional information on our securities portfolio, see “Securities” and Note 3 of the Notes to Consolidated Financial Statements.

Loans were $68.1 billion, or 14% of total assets, at March 31, 2022, compared with $67.8 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, partially offset by lower loans to financial institutions. For additional information on our loan portfolio, see “Loans” and Note 4 of the Notes to Consolidated Financial Statements.

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

The Bank of New York Mellon Corporation total shareholders’ equity decreased to $42 billion at March 31, 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, 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

(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 with banks.

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

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 and a letter of credit. BNY Mellon has ceased new banking business in Russia and suspended investment management purchases of Russian securities. At March 31, 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 21

The following table shows the distribution of our total 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)
																						BBB+/ BBB-		BB+ and lower
(dollars in millions)	Fair value					Amortized cost (a)		Fair value										AAA/ AA-		A+/ A-						Not rated
Agency RMBS	$	50,735		$	(2,198)	$	47,743	$	45,780		96	%	$	(1,963)		12	%	100	%	—	%	—	%	—	%		—	%
U.S. Treasury	40,582			(888)		40,818		39,929			98		(889)			53		100		—		—		—			—
Sovereign debt/sovereign guaranteed (d)	14,312			(219)		13,327		13,131			99		(196)			13		82		3		14		1			—
Agency commercial MBS	12,291			(466)		12,768		12,423			97		(345)			34		100		—		—		—			—
Supranational	7,646			(116)		7,925		7,802			98		(123)			57		100		—		—		—			—
U.S. government agencies	5,420			(232)		6,571		6,297			96		(274)			35		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	3,114			(155)		3,228		3,104			96		(124)			36		100		—		—		—			—
Foreign government agencies (f)	2,686			(53)		2,832		2,771			98		(61)			20		92		8		—		—			—
Non-agency RMBS	2,793			(128)		2,557		2,538			99		(19)			47		84		3		—		8			5
State and political subdivisions	2,529			(128)		2,317		2,161			93		(156)			5		90		9		—		—			1
Other asset-backed securities (“ABS”)	2,190			(58)		1,953		1,880			96		(73)			14		100		—		—		—			—
Corporate bonds	2,066			(39)		1,555		1,483			95		(72)			36		16		69		15		—			—
Other	1			—		1		1			100		—			—		—		—		—		—			100
Total securities	$	158,024	(g)	$	(4,832)	$	155,815	$	151,367	(g)	97	%	$	(4,448)	(g)(h)	34	%	97	%	1	%	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.

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

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

(g) Includes net unrealized losses 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.

(h) Includes unrealized losses of $1,505 million at March 31, 2022 related to available-for-sale securities, net of hedges, and $2,943 million related to held-to-maturity securities.

The fair value of our securities portfolio, including related hedges, was $151.4 billion at March 31, 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 securities.

At March 31, 2022, the securities portfolio had a net unrealized loss, including the impact of related hedges, of $4.4 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 billion at March 31, 2022, net of hedges, or 62% of the securities portfolio, net of hedges. The fair value of the held-to-maturity securities totaled $57.7 billion at March 31, 2022, or 38% 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 billion at March 31, 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, 2022, 97% 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.

22 BNY Mellon

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


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

(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	March 31, 2022						Dec. 31, 2021
(in billions)	Loans		Unfunded commitments		Total exposure		Loans		Unfunded commitments		Total exposure
Financial institutions	$	9.2	$	31.1	$	40.3	$	10.2	$	30.6	$	40.8
Commercial	1.9		11.9		13.8		2.1		11.9		14.0
Wealth management loans	10.1		0.5		10.6		9.8		0.5		10.3
Wealth management mortgages	8.4		0.5		8.9		8.2		0.4		8.6
Commercial real estate	6.0		3.7		9.7		6.0		3.3		9.3
Lease financings	0.7		—		0.7		0.7		—		0.7
Other residential mortgages	0.3		—		0.3		0.3		—		0.3
Overdrafts	4.1		—		4.1		3.1		—		3.1
Capital call financing	2.6		1.6		4.2		2.3		1.5		3.8
Other	2.7		—		2.7		2.6		—		2.6
Margin loans	22.1		—		22.1		22.5		—		22.5
Total	$	68.1	$	49.3	$	117.4	67.8		$	48.2	$	116.0

At March 31, 2022, total lending-related exposure of $117.4 billion increased 1% compared with Dec. 31, 2021, primarily reflecting higher overdrafts and higher exposure in the commercial real estate, capital call financing and wealth management loan portfolios, 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% of our total exposure at March 31, 2022 and 47% at Dec. 31, 2021. Additionally, most of our overdrafts relate to financial institutions.

BNY Mellon 23

Financial institutions

The financial institutions portfolio is shown below.


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

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

Financial institution exposures are high-quality, with 97% of the exposures meeting the investment grade equivalent criteria of our internal credit rating classification at March 31, 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, 2022 and Dec. 31, 2021, 17% of the exposure to financial institutions had an expiration within 90 days.

In addition, 64% 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, 2022, the secured intra-day credit provided to dealers in connection with their tri-party repo activity totaled $16.4 billion and was included in the securities industry portfolio. Dealers secure the outstanding intraday credit with high-quality liquid collateral having a market value in excess of the amount of the outstanding credit. Secured intraday credit facilities represent approximately 41% of the exposure in the financial institutions portfolio and are reviewed and reapproved annually.

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

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

24 BNY Mellon

Commercial

The commercial portfolio is presented below.


Commercial portfolio exposure	March 31, 2022										Dec. 31, 2021
(dollars in billions)	Loans		Unfunded commitments		Total exposure		% Inv. grade		% due <1 yr.		Loans		Unfunded commitments		Total exposure
Manufacturing	$	0.7	$	3.7	$	4.4	96	%	22	%	$	0.6	$	3.9	$	4.5
Energy and utilities	0.4		3.8		4.2		93		3		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	0.1		0.9		1.0		91		8		0.1		0.9		1.0
Total	$	1.9	$	11.9	$	13.8	94	%	18	%	$	2.1	$	11.9	$	14.0

The commercial portfolio exposure was $13.8 billion at March 31, 2022, a decrease of 1% from Dec. 31, 2021, primarily driven by lower exposure to the manufacturing and energy and utilities 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
	Quarter ended
	March 31, 2022		Dec. 31, 2021		Sept. 30, 2021		June 30, 2021		March 31, 2021
Financial institutions	97	%	96	%	96	%	96	%	96	%
Commercial	94	%	94	%	93	%	93	%	92	%

Wealth management loans

Our wealth management loan exposure was $10.6 billion at March 31, 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 billion at March 31, 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, 2022, less than 1% of the mortgages were past due.

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

BNY Mellon 25

Commercial real estate

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


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

Residential	$	4.0	83	%	$	3.6	81	%
Office	2.6		78		2.6		77
Retail	0.9		58		0.9		58
Mixed-use	0.7		36		0.7		37
Hotels	0.6		33		0.5		23
Healthcare	0.4		29		0.4		25
Other	0.5		47		0.6		45
Total commercial real estate	$	9.7	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 billion at March 31, 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, 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, 2022, our commercial real estate portfolio consisted of the following concentrations: New York metro – 37%; REITs and real estate operating companies – 31%; and other – 32%.

Lease financings

The lease financings portfolio exposure totaled $707 million at March 31, 2022 and $731 million at Dec. 31, 2021. At March 31, 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 million at March 31, 2022 and $299 million at Dec. 31, 2021.

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.

Margin loans

Margin loan exposure of $22.1 billion at March 31, 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 billion at March 31, 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	March 31, 2022			Dec. 31, 2021			March 31, 2021
(dollars in millions)



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

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

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

Net recoveries	1			(14)			1
Ending balance of allowance for credit losses	$	263		$	260		$	419

Allowance for loan losses	$	171		$	196		$	327
Allowance for lending-related commitments	53			45			73
Allowance for financial instruments (a)	39			19			19
Total allowance for credit losses	$	263		$	260		$	419

Total loans, at period end	$	68,052		$	67,787		$	60,732




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

(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 million in the first quarter of 2022 compared with a benefit of $83 million in the first quarter of 2021 and a benefit of $17 million in the fourth quarter of 2021.

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	%

(a) The allowance allocated to margin loans, overdrafts and other loans was insignificant at March 31, 2022, Dec. 31, 2021 and March 31, 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 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 million. Our multi-scenario based macroeconomic forecast used in determining the March 31, 2022 allowance for credit losses consisted of three scenarios. The weightings applied to those scenarios and qualitative judgments to determine the March 31, 2022 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.

Nonperforming assets

The table below presents our nonperforming assets.


Nonperforming assets	March 31, 2022			Dec. 31, 2021
(dollars in millions)
Nonperforming loans:
Other residential mortgages	$	37		$	39
Wealth management mortgages	26			25

Commercial real estate	54			54



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

Deposits

Total deposits were $345.6 billion at March 31, 2022, an increase of 8%, 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 interest-bearing deposits in non-U.S. offices.

Noninterest-bearing deposits were $100.0 billion at March 31, 2022, compared with $93.7 billion at Dec. 31, 2021. Interest-bearing deposits were primarily demand deposits and totaled $245.6 billion at March 31, 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, 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. The following table presents our total available funds at period end and on an average basis.

BNY Mellon 29


Available funds	March 31, 2022			Dec. 31, 2021			Average
(dollars in millions)							1Q22			4Q21			1Q21
Cash and due from banks	$	6,143		$	6,061		$	6,040		$	6,036		$	5,720
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 banks	18,268			16,630			17,181			18,818			21,313
Federal funds sold and securities purchased under resale agreements	27,131			29,607			27,006			27,780			29,186
Total available funds	$	187,233		$	154,765		$	150,530		$	157,699		$	182,149
Total available funds as a percentage of total assets	40		%	35		%	34		%	35		%	40		%

Total available funds were $187.2 billion at March 31, 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 billion for the first three months of 2022 and $17.8 billion for the first three months of 2021. The decrease reflects lower federal funds purchased and securities sold under repurchase agreements, partially offset by higher trading liabilities.

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 billion for the first three months of 2022, compared with $116.6 billion for the first three months of 2021. Average interest-bearing domestic deposits were $116.3 billion for the first three months of 2022 and $128.5 billion for the first three months of 2021. The decreases primarily reflect client activity.

Average payables to customers and broker-dealers were $16.7 billion for the first three months of 2022 and $17.7 billion for the first three 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 billion for the first three months of 2022 and $26.2 billion for the first three months of 2021.

Average noninterest-bearing deposits increased to $90.2 billion for the first three months of 2022 from $83.4 billion for the first three 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:

30 BNY Mellon

Credit ratings at March 31, 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 billion at March 31, 2022 and $25.9 billion at Dec. 31, 2021. Redemptions of $1.3 billion and a decrease in the fair value of hedged long-term debt were partially offset by issuances of $1.3 billion. The Parent has $1.0 billion of long-term debt maturing in the remainder of 2022.

In April 2022, the Parent issued $950 million of fixed rate senior notes maturing in 2025 at an annual interest rate of 3.350%, $400 million of floating rate senior notes maturing in 2025 at an annual interest rate of the compounded secured overnight financing rate (“SOFR”) plus 62 basis points and $350 million of fixed rate senior notes maturing in 2029 at an annual interest rate of 3.850%.

The Bank of New York Mellon may issue notes and certificates of deposit (“CDs”). At March 31, 2022 and Dec. 31, 2021, $30 million of notes were outstanding. At March 31, 2022, $36 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, 2022 and Dec. 31, 2021. The average commercial paper outstanding was $4 million for the first three

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

Subsequent to March 31, 2022, our U.S. bank subsidiaries could declare dividends to the Parent of approximately $1.6 billion, without the need for a regulatory waiver. In addition, at March 31, 2022, non-bank subsidiaries of the Parent had liquid assets of approximately $3.9 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 borrowings under these lines in the first quarter of 2022. Pershing Limited, an indirect UK-based subsidiary of BNY Mellon, has two separate uncommitted lines of credit amounting to $262 million in aggregate. Average borrowings under these lines were $14 million, in aggregate, in the first quarter of 2022.

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% of total revenue in the first quarter of 2022, and the dividend capacity of our banking subsidiaries. Our double leverage ratio was 119.2% at March 31, 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 2022, a quarterly dividend of $0.34 per common share was paid to common shareholders. Our common stock dividend payout ratio was 40% for the first quarter of 2022.

In the first quarter of 2022, we repurchased 1.9 million common shares at an average price of $61.64 per common share, for a total cost of $118 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, 2022, and the average HQLA and average LCR for the first quarter of 2022.


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

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

(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 billion at March 31, 2022 and averaged $149 billion for the first 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 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 billion in the three months ended March 31, 2022, compared with net cash used for operating activities of $3.2 billion in the three months ended March 31, 2021. In the three months ended March 31, 2022, cash flows provided by operations primarily resulted from changes in trading assets and liabilities and earnings. In the three months ended March 31, 2021, cash flows used for operations primarily resulted from changes in trading assets and liabilities and change in accruals and other, net, partially offset by earnings.

Net cash used for investing activities was $33.9 billion in the three months ended March 31, 2022, compared with net cash provided by investing activities of $4.7 billion in the three months ended March 31, 2021. In the three months ended March 31, 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 interest-bearing deposits with banks and net change in loans.

Net cash provided by financing activities was $30.1 billion in the three months ended March 31, 2022,

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

Capital


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



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



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

(a) See “Supplemental information – Explanation of GAAP and Non-GAAP financial measures” beginning on page 41 for a reconciliation of GAAP to Non-GAAP.

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

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

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.

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

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

(a) Minimum requirements for March 31, 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.

Our CET1 ratio was 10.1% at March 31, 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 capital deployed through dividend payments, 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.

Tier 1 leverage ratio was 5.3% at March 31, 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
	March 31, 2022		Dec. 31, 2021
(in millions)
CET1:
Common shareholders’ equity	$	36,961	$	38,196
Adjustments for:
Goodwill and intangible assets (a)	(18,573)		(18,649)
Net pension fund assets	(410)		(400)
Equity method investments	(301)		(300)
Deferred tax assets	(55)		(55)
Other	(43)		(46)
Total CET1	17,579		18,746
Other Tier 1 capital:
Preferred stock	4,838		4,838
Other	(82)		(99)
Total Tier 1 capital	$	22,335	$	23,485
Tier 2 capital:
Subordinated debt	$	1,248	$	1,248
Allowance for credit losses	253		250
Other	(1)		(11)
Total Tier 2 capital – Standardized Approach	1,500		1,487

Less: Allowance for credit losses	253		250
Total Tier 2 capital – Advanced Approaches	$	1,247	$	1,237
Total capital:
Standardized Approach	$	23,835	$	24,972
Advanced Approaches	$	23,582	$	24,722

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

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

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

BNY Mellon 35

The table below presents the factors that impacted CET1 capital.


CET1 generation	1Q22
(in millions)
CET1 – Beginning of period	$	18,746
Net income applicable to common shareholders of The Bank of New York Mellon Corporation	699
Goodwill and intangible assets, net of related deferred tax liabilities	76
Gross CET1 generated	775
Capital deployed:
Common stock dividends (a)	(278)
Common stock repurchases	(118)
Total capital deployed	(396)
Other comprehensive loss:
Unrealized loss on assets available-for-sale	(1,534)
Foreign currency translation	(150)
Unrealized loss on cash flow hedges	(2)
Defined benefit plans	18

Total other comprehensive loss	(1,668)
Additional paid-in capital (b)	130
Other additions (deductions):
Net pension fund assets	(10)
Embedded goodwill	(1)

Other	3
Total other deductions	(8)
Net CET1 deployed	(1,167)
CET1 – End of period	$	17,579

(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, 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

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. See “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 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	March 31, 2022
	Minimum required		Minimum ratios with buffers
					Ratios
Eligible external TLAC:
As a percentage of RWA	18.0	%	21.5	%	26.1	%
As a percentage of total leverage exposure	7.5	%	9.5	%	12.5	%

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

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)	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)	4Q21						Dec. 31, 2021
(in millions)	Average		Minimum		Maximum
Interest rate	$	2.1	$	1.5	$	3.5	$	1.7
Foreign exchange	2.6		1.9		4.1		2.7
Equity	0.1		—		0.4		0.1
Credit	1.6		1.2		2.3		1.7
Diversification	(2.9)		N/M		N/M		(2.7)
Overall portfolio	3.5		2.7		5.1		3.5


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

(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 quarter of 2022, interest rate risk generated 38% of average gross VaR, foreign exchange risk generated 36% of average gross VaR, equity risk generated 2% of average gross VaR and credit risk generated 24% of average gross VaR. During the first quarter of 2022, our daily trading loss exceeded our calculated VaR amount of the overall portfolio on one occasion.

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


Distribution of trading revenue (loss) (a)
	Quarter ended
(dollars in millions)	March 31, 2022	Dec. 31, 2021	Sept. 30, 2021	June 30, 2021	March 31, 2021

Revenue range:	Number of days
Less than $(2.5)	1	—	—	—	—
$(2.5) – $0	8	3	2	7	6
$0 – $2.5	12	27	23	22	17
$2.5 – $5.0	23	21	30	25	21
More than $5.0	18	12	9	10	17

(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 billion at March 31, 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, 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, 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, 2022, our OTC derivative assets, including those in hedging relationships, of $2.4 billion included a credit valuation adjustment (“CVA”) deduction of $25 million. Our OTC derivative liabilities, including those in hedging relationships, of $3.3 billion included a debit valuation adjustment (“DVA”) of $2 million related to our own credit spread. Net of hedges, the CVA increased by less than $1 million and the DVA was unchanged in the first quarter of 2022, which decreased investment and other revenue - other trading revenue by less than $1 million. The net

38 BNY Mellon

impact decreased investment and other revenue - other trading revenue by $1 million in the fourth quarter of 2021 and first 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 to foreign exchange and interest rate derivative counterparties with an A+ to A- rating, and in the aggregate, increased at March 31, 2022 compared with March 31, 2021 and Dec. 31, 2021.


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

Rating:
AAA to AA-	39	%	51	%	52	%	52	%	45	%
A+ to A-	47		27		17		19		26
BBB+ to BBB-	11		18		25		24		22
BB+ and lower (b)	3		4		6		5		7
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, 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 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)	March 31, 2022		Dec. 31, 2021		March 31, 2021
Up 100 bps rate shock vs. baseline	$	268	$	688	$	930
Long-term up 100 bps, short-term unchanged	24		204		215
Short-term up 100 bps, long-term unchanged	245		483		714
Long-term down 50 bps, short-term unchanged	(20)		(98)		(103)
Down 100 bps rate shock vs. baseline	(315)		392		652

The decreases in the rate sensitivities compared with Dec. 31, 2021 are 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.

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 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 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 in the table above by approximately $140 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.

40 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 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	1Q22			4Q21			1Q21
(dollars in millions)
Net income applicable to common shareholders of The Bank of New York Mellon Corporation – GAAP	$	699		$	822		$	858
Add: Amortization of intangible assets	17			19			24
Less: Tax impact of amortization of intangible assets	4			5			6
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

Average common shareholders’ equity	$	37,363		$	37,941		$	40,720
Less: Average goodwill	17,490			17,481			17,494
Average intangible assets	2,979			2,988			3,000
Add: Deferred tax liability – tax deductible goodwill	1,184			1,178			1,153
Deferred tax liability – intangible assets	673			676			665
Average tangible common shareholders’ equity – Non-GAAP	$	18,751		$	19,326		$	22,044

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		%

BNY Mellon 41

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	March 31, 2022		Dec. 31, 2021		March 31, 2021
(dollars in millions, except per share amounts and unless otherwise noted)
BNY Mellon shareholders’ equity at period end – GAAP	$	41,799	$	43,034	$	44,954
Less: Preferred stock	4,838		4,838		4,541
BNY Mellon common shareholders’ equity at period end – GAAP	36,961		38,196		40,413
Less: Goodwill	17,462		17,512		17,469
Intangible assets	2,968		2,991		2,983
Add: Deferred tax liability – tax deductible goodwill	1,184		1,178		1,153
Deferred tax liability – intangible assets	673		676		665
BNY Mellon tangible common shareholders’ equity at period end – Non-GAAP	$	18,388	$	19,547	$	21,779

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

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

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	1Q22		1Q21		1Q22 vs.
(dollars in millions)					1Q21
Investment management and performance fees – GAAP	$	883	$	890	(1)	%
Impact of changes in foreign currency exchange rates	—		(15)
Adjusted investment management and performance fees – Non-GAAP	$	883	$	875	1	%

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


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

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
(dollars in millions)	1Q22			4Q21			3Q21			2Q21			1Q21
Income before income taxes – GAAP	$	212		$	278		$	348		$	326		$	278

Total revenue – GAAP	$	964		$	1,020		$	1,032		$	999		$	991
Less: Distribution and servicing expense	79			75			76			74			75
Adjusted total revenue, net of distribution and servicing expense – Non-GAAP	$	885		$	945		$	956		$	925		$	916

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

(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, 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.

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 not recorded on a custodian’s balance sheet. This guidance is 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 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 “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

On March 21, 2022, the SEC proposed climate related-disclosure requirements that would, among other things, require disclosure of direct 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. We are assessing the potential impacts of this proposal.

Proposed Cybersecurity Disclosure Rules

On March 9, 2022, the SEC published proposed disclosure rules and 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. The proposal also includes disclosure requirements regarding policies and procedures for the identification and management of cybersecurity risks, oversight by the Board and management over cybersecurity risks, and Board member expertise in cybersecurity matters. We are currently evaluating the potential impact of the proposal.

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.

44 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 45


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

Consolidated Income Statement (unaudited)


	Quarter ended
	March 31, 2022		Dec. 31, 2021		March 31, 2021
(in millions)
Fee and other revenue
Investment services fees	$	1,993	$	2,061	$	2,056
Investment management and performance fees	883		896		890
Foreign exchange revenue	207		199		231
Financing-related fees	45		47		51
Distribution and servicing fees	30		28		29
Total fee revenue	3,158		3,231		3,257
Investment and other revenue	70		107		9
Total fee and other revenue	3,228		3,338		3,266
Net interest revenue
Interest revenue	778		729		738
Interest expense	80		52		83
Net interest revenue	698		677		655
Total revenue	3,926		4,015		3,921
Provision for credit losses	2		(17)		(83)
Noninterest expense
Staff	1,702		1,633		1,602
Software and equipment	399		379		362
Professional, legal and other purchased services	370		390		343
Net occupancy	122		133		123
Sub-custodian and clearing	118		120		124
Distribution and servicing	79		75		74
Bank assessment charges	35		30		34
Business development	30		44		19
Amortization of intangible assets	17		19		24
Other	134		144		146
Total noninterest expense	3,006		2,967		2,851
Income
Income before income taxes	918		1,065		1,153
Provision for income taxes	153		196		221
Net income	765		869		932
Net loss (income) attributable to noncontrolling interests related to consolidated investment management funds	8		(6)		(5)
Net income applicable to shareholders of The Bank of New York Mellon Corporation	773		863		927
Preferred stock dividends	(74)		(41)		(69)
Net income applicable to common shareholders of The Bank of New York Mellon Corporation	$	699	$	822	$	858

46 BNY Mellon


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

Consolidated Income Statement (unaudited) (continued)


Net income applicable to common shareholders of The Bank of New York Mellon Corporation used for the earnings per share calculation	Quarter ended
	March 31, 2022		Dec. 31, 2021		March 31, 2021
(in millions)
Net income applicable to common shareholders of The Bank of New York Mellon Corporation	$	699	$	822	$	858
Less: Earnings allocated to participating securities	—		—		1
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


Average common shares and equivalents outstanding of The Bank of New York Mellon Corporation	Quarter ended
	March 31, 2022	Dec. 31, 2021	March 31, 2021
(in thousands)
Basic	809,469	811,463	882,558
Common stock equivalents	4,878	6,297	3,824
Less: Participating securities	(361)	(415)	(727)
Diluted	813,986	817,345	885,655

Anti-dilutive securities (a)	2,647	489	4,133

(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	Quarter ended
	March 31, 2022		Dec. 31, 2021		March 31, 2021
(in dollars)
Basic	$	0.86	$	1.01	$	0.97
Diluted	$	0.86	$	1.01	$	0.97

See accompanying unaudited Notes to Consolidated Financial Statements.

BNY Mellon 47


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

Consolidated Comprehensive Income Statement (unaudited)


	Quarter ended
	March 31, 2022		Dec. 31, 2021		March 31, 2021
(in millions)
Net income	$	765	$	869	$	932
Other comprehensive income (loss), net of tax:
Foreign currency translation adjustments	(153)		(75)		(150)
Unrealized (loss) gain on assets available-for-sale:
Unrealized (loss) arising during the period	(1,531)		(371)		(703)
Reclassification adjustment	(3)		(1)		—
Total unrealized (loss) on assets available-for-sale	(1,534)		(372)		(703)
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	18		19		22
Total defined benefit plans	18		238		22
Net unrealized (loss) gain on cash flow hedges	(2)		1		(3)
Total other comprehensive (loss), net of tax (a)	(1,671)		(208)		(834)
Total comprehensive (loss) income	(906)		661		98
Net loss (income) attributable to noncontrolling interests	8		(6)		(5)
Other comprehensive loss (gain) attributable to noncontrolling interests	3		(2)		—
Comprehensive (loss) income applicable to shareholders of The Bank of New York Mellon Corporation	$	(895)	$	653	$	93

(a) Other comprehensive (loss) attributable to The Bank of New York Mellon Corporation shareholders was $(1,668) million for the quarter ended March 31, 2022, $(210) million for the quarter ended Dec. 31, 2021 and $(834) million for the quarter ended March 31, 2021.

See accompanying unaudited Notes to Consolidated Financial Statements.

48 BNY Mellon


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

Consolidated Balance Sheet (unaudited)


	March 31, 2022		Dec. 31, 2021
(dollars in millions, except per share amounts)
Assets
Cash and due from banks, net of allowance for credit losses of $21 and $3	$	6,143	$	6,061
Interest-bearing deposits with the Federal Reserve and other central banks	135,691		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
Federal funds sold and securities purchased under resale agreements	27,131		29,607
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
Total securities	153,396		158,705
Trading assets	14,703		16,577
Loans	68,052		67,787
Allowance for credit losses	(171)		(196)
Net loans	67,881		67,591
Premises and equipment	3,359		3,431
Accrued interest receivable	467		457
Goodwill	17,462		17,512
Intangible assets	2,968		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
Total assets	$	473,811	$	444,438
Liabilities
Deposits:
Noninterest-bearing (principally U.S. offices)	$	100,036	$	93,695
Interest-bearing deposits in U.S. offices	134,373		120,903
Interest-bearing deposits in non-U.S. offices	111,156		105,096
Total deposits	345,565		319,694
Federal funds purchased and securities sold under repurchase agreements	13,181		11,566
Trading liabilities	5,587		5,469
Payables to customers and broker-dealers	26,608		25,150

Other borrowed funds	312		749
Accrued taxes and other expenses	4,534		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
Long-term debt	25,246		25,931
Total liabilities	431,659		401,047
Temporary equity
Redeemable noncontrolling interests	155		161
Permanent equity
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
Additional paid-in capital	28,258		28,128
Retained earnings	37,088		36,667
Accumulated other comprehensive loss, net of tax	(3,881)		(2,213)
Less: Treasury stock of 587,164,539 and 585,252,546 common shares, at cost	(24,518)		(24,400)
Total The Bank of New York Mellon Corporation shareholders’ equity	41,799		43,034
Nonredeemable noncontrolling interests of consolidated investment management funds	198		196
Total permanent equity	41,997		43,230
Total liabilities, temporary equity and permanent equity	$	473,811	$	444,438

See accompanying unaudited Notes to Consolidated Financial Statements.

BNY Mellon 49


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

Consolidated Statement of Cash Flows (unaudited)


	Three months ended March 31,
(in millions)	2022		2021
Operating activities
Net income	$	765	$	932
Net (income) attributable to noncontrolling interests	8		(5)
Net income applicable to shareholders of The Bank of New York Mellon Corporation	773		927
Adjustments to reconcile net income to net cash provided by (used for) operating activities:
Provision for credit losses	2		(83)
Pension plan contributions	(1)		(7)
Depreciation and amortization	437		466
Deferred tax (benefit)	36		275
Net securities (gains)	(4)		—
Change in trading assets and liabilities	2,251		(3,074)
Change in accruals and other, net	(65)		(1,678)
Net cash provided by (used for) operating activities	3,429		(3,174)
Investing activities
Change in interest-bearing deposits with banks	(2,068)		(6,385)
Change in interest-bearing deposits with the Federal Reserve and other central banks	(34,733)		13,940
Purchases of securities held-to-maturity	(1,299)		(3,425)
Paydowns of securities held-to-maturity	2,198		2,969
Maturities of securities held-to-maturity	400		161
Purchases of securities available-for-sale	(10,902)		(12,247)
Sales of securities available-for-sale	6,315		3,209
Paydowns of securities available-for-sale	1,754		3,498
Maturities of securities available-for-sale	3,303		3,878
Net change in loans	(497)		(4,254)
Sales of loans and other real estate	—		1
Change in federal funds sold and securities purchased under resale agreements	2,501		2,630
Net change in seed capital investments	(8)		(38)
Purchases of premises and equipment/capitalized software	(271)		(220)
Proceeds from the sale of premises and equipment	45		—

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

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

Treasury stock acquired	(118)		(699)

Common cash dividends paid	(278)		(277)
Preferred cash dividends paid	(74)		(69)

Other, net	(5)		10
Net cash provided by (used for) financing activities	30,095		(1,520)
Effect of exchange rate changes on cash	38		(33)
Change in cash and due from banks and restricted cash
Change in cash and due from banks and restricted cash	(339)		(49)
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	$	9,544	$	9,370
Cash and due from banks and restricted cash
Cash and due from banks at end of period (unrestricted cash)	$	6,143	$	5,991
Restricted cash at end of period	3,401		3,379
Cash and due from banks and restricted cash at end of period	$	9,544	$	9,370
Supplemental disclosures
Interest paid	$	107	$	126
Income taxes paid	125		122
Income taxes refunded	5		4

See accompanying unaudited Notes to Consolidated Financial Statements.

50 BNY Mellon


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

Consolidated Statement of Changes in Equity (unaudited)


	The Bank of New York Mellon Corporation 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 (loss)	—		—		—		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 51


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

Consolidated Statement of Changes in Equity (unaudited) (continued)


	The Bank of New York Mellon Corporation 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	—		—		—		—		—		—		—		—			23
Redemption of subsidiary shares from noncontrolling interests	—		—		—		—		—		—		—		—			(30)
Other net changes in noncontrolling interests	—		—		(33)		—		—		—		114		81			18
Net income	—		—		—		927		—		—		5		932			—
Other comprehensive income	—		—		—		—		(834)		—		—		(834)			—
Dividends:
Common stock at $0.31 per share	—		—		—		(277)		—		—		—		(277)			—
Preferred stock	—		—		—		(69)		—		—		—		(69)			—
Repurchase of common stock	—		—		—		—		—		(699)		—		(699)			—

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



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


Balance at March 31, 2021	$	4,541	$	14	$	27,928	$	34,822	$	(1,819)	$	(20,532)	$	262	$	45,216	(a)	$	187

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

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

See accompanying unaudited Notes to Consolidated Financial Statements.

52 BNY Mellon


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 of 2022.

At March 31, 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 3 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, 2022 and Dec. 31, 2021.

BNY Mellon 53


Notes to Consolidated Financial Statements (continued)


Securities at March 31, 2022			Gross unrealized				Fair value
	Amortized cost
(in millions)			Gains		Losses
Available-for-sale:
U.S. Treasury	$	29,114	$	276	$	1,423	$	27,967
Agency residential mortgage-backed securities (“RMBS”)	9,700		152		202		9,650
Sovereign debt/sovereign guaranteed	12,176		22		244		11,954
Agency commercial mortgage-backed securities (“MBS”)	8,450		143		234		8,359
Supranational	7,689		7		188		7,508
Foreign covered bonds	6,365		7		122		6,250
Collateralized loan obligations (“CLOs”)	4,872		1		32		4,841
Non-agency commercial MBS	3,228		—		144		3,084
Non-agency RMBS	2,519		70		91		2,498
Foreign government agencies	2,780		—		61		2,719
U.S. government agencies	2,507		71		92		2,486
State and political subdivisions	2,304		3		166		2,141
Other asset-backed securities (“ABS”)	1,953		—		73		1,880
Corporate bonds	1,555		4		103		1,456
Other debt securities	1		—		—		1
Total securities available-for-sale (a)(b)	$	95,213	$	756	$	3,175	$	92,794
Held-to-maturity:
Agency RMBS	$	38,043	$	23	$	1,934	$	36,132
U.S. Treasury	11,704		3		526		11,181
Agency commercial MBS	4,318		1		216		4,103
U.S. government agencies	4,064		—		276		3,788
Sovereign debt/sovereign guaranteed	1,151		7		14		1,144
CLOs	983		—		9		974

Supranational	236		—		5		231
Foreign government agencies	52		—		—		52
Non-agency RMBS	38		2		—		40
State and political subdivisions	13		1		—		14
Total securities held-to-maturity (a)	$	60,602	$	37	$	2,980	$	57,659
Total securities	$	155,815	$	793	$	6,155	$	150,453

(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 million and gross unrealized losses of $139 million recorded in accumulated other comprehensive income related to securities that were transferred from available-for-sale to held-to-maturity. The unrealized gains are primarily related to agency RMBS, U.S. Treasury securities and agency commercial MBS. The unrealized losses are primarily related to agency RMBS, U.S. Treasury securities and U.S. government agencies. 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 to U.S. Treasury securities, agency RMBS and agency commercial MBS. The unrealized losses are primarily related 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


Notes to Consolidated Financial Statements (continued)

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


Net securities gains (losses)
(in millions)	1Q22		4Q21		1Q21
Realized gross gains	$	73	$	7	$	12
Realized gross losses	(69)		(6)		(12)

Total net securities gains	$	4	$	1	$	—

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


Net securities gains (losses)
(in millions)	1Q22		4Q21		1Q21
Agency RMBS	$	49	$	—	$	1
U.S. Treasury	11		1		(4)
State and political subdivisions	(13)		—		—
Corporate bonds	(47)		(3)		—
Other	4		3		3
Total net securities gains	$	4	$	1	$	—

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 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, 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, 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 million of the unrealized losses at March 31, 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.

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
(in millions)
U.S. Treasury	$	21,986	$	1,124	$	2,882	$	299	$	24,868	$	1,423
Sovereign debt/sovereign guaranteed	7,654		172		1,013		72		8,667		244
Agency RMBS	6,401		171		221		31		6,622		202
Agency commercial MBS	4,922		220		533		14		5,455		234
Supranational	4,420		140		731		48		5,151		188
CLOs	4,341		28		280		4		4,621		32
Foreign covered bonds	4,175		114		98		8		4,273		122
Non-agency commercial MBS	2,515		103		407		41		2,922		144
Foreign government agencies	1,991		42		303		19		2,294		61
Non-agency RMBS	1,441		59		613		32		2,054		91
State and political subdivisions	1,673		149		163		17		1,836		166
U.S. government agencies	1,409		62		364		30		1,773		92
Other ABS	1,231		53		436		20		1,667		73
Corporate bonds	524		33		556		70		1,080		103

Total securities available-for-sale (a)	$	64,683	$	2,470	$	8,600	$	705	$	73,283	$	3,175

(a) Includes $115 million gross unrealized losses for less than 12 months and $24 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, 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


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)
			Net unrealized gain (loss)								BB+ and lower
(dollars in millions)	Amortized cost				AAA/ AA-		A+/ A-		BBB+/ BBB-				Not rated
Agency RMBS	$	38,043	$	(1,911)	100	%	—	%	—	%	—	%		—	%
U.S. Treasury	11,704		(523)		100		—		—		—			—
Agency commercial MBS	4,318		(215)		100		—		—		—			—
U.S. government agencies	4,064		(276)		100		—		—		—			—
Sovereign debt/sovereign guaranteed (b)	1,151		(7)		100		—		—		—			—
CLOs	983		(9)		100		—		—		—			—
Supranational	236		(5)		100		—		—		—			—
Foreign government agencies	52		—		100		—		—		—			—
Non-agency RMBS	38		2		23		59		2		15			1
State and political subdivisions	13		1		5		2		3		—			90
Total held-to-maturity securities	$	60,602	$	(2,943)	100	%	—	%	—	%	—	%		—	%

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

(b) Primarily consists of exposure to 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.

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
(dollars in millions)	Amount		Yield (a)		Amount		Yield (a)		Amount		Yield (a)		Amount		Yield (a)		Amount		Yield (a)
Available-for-sale:
U.S. Treasury	$	811	1.65	%	$	14,321	0.97	%	$	10,321	1.13	%	$	2,514	2.92	%	$	27,967	1.21	%
Sovereign debt/sovereign guaranteed	3,581		0.79		7,052		0.61		1,314		0.42		7		(0.12)		11,954		0.64
Supranational	727		0.80		5,123		0.71		1,638		0.80		20		(0.09)		7,508		0.73
Foreign covered bonds	1,638		1.14		3,909		0.76		703		0.04		—		—		6,250		0.77
Foreign government agencies	608		0.74		1,987		0.57		124		0.22		—		—		2,719		0.59
U.S. government agencies	—		—		1,158		1.10		1,127		2.04		201		2.53		2,486		1.64
State and political subdivisions	169		3.51		610		1.71		1,141		1.59		221		2.29		2,141		1.84
Corporate bonds	161		2.27		388		2.46		883		1.61		24		2.01		1,456		1.90
Other debt securities	—		—		—		—		—		—		1		3.73		1		3.73
Mortgage-backed securities:
Agency RMBS																	9,650		1.53
Non-agency RMBS																	2,498		2.85
Agency commercial MBS																	8,359		2.11
Non-agency commercial MBS																	3,084		2.28
CLOs																	4,841		1.41
Other ABS																	1,880		1.61
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	%
Held-to-maturity:
U.S. Treasury	$	1,841	1.93	%	$	7,664	1.27	%	$	2,199	1.15	%	$	—	—	%	$	11,704	1.35	%
U.S. government agencies	—		—		1,848		1.13		1,955		1.57		261		1.90		4,064		1.39
Sovereign debt/sovereign guaranteed	169		0.30		887		0.88		95		0.53		—		—		1,151		0.77
Foreign government agencies	—		—		52		0.40		—		—		—		—		52		0.40
Supranational	—		—		236		0.69		—		—		—		—		236		0.69
State and political subdivisions	1		5.47		1		5.70		3		4.65		8		4.80		13		4.87
Mortgage-backed securities:
Agency RMBS																	38,043		2.29
Non-agency RMBS																	38		1.66
Agency commercial MBS																	4,318		2.29
CLOs																	983		1.37
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	$	9,706	1.20	%	$	45,236	0.93	%	$	21,503	1.15	%	$	3,257	2.73	%	$	153,396	1.57	%

(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, 2022, BNY Mellon had pledged assets of $141 billion, including $112 billion pledged as collateral for potential borrowings 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 March 31, 2022 included $124 billion of securities, $12 billion of loans, $5 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


Notes to Consolidated Financial Statements (continued)

At March 31, 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, 2022 and Dec. 31, 2021, the market value of the securities received that can be sold or repledged was $109 billion and $122 billion, respectively. We routinely sell or repledge these securities through delivery to third parties. As of March 31, 2022 and Dec. 31, 2021, the market value of securities collateral sold or repledged was $68 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, 2022 and Dec. 31, 2021, cash segregated under federal and other regulations or requirements was $3 billion and $4 billion, respectively. Restricted cash is included in interest-bearing deposits with banks on the consolidated balance sheet. Securities segregated under federal and other regulations or requirements were $4 billion at March 31, 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	March 31, 2022		Dec. 31, 2021
(in millions)
Commercial	$	1,839	$	2,128
Commercial real estate	6,031		6,033
Financial institutions	9,230		10,232
Lease financings	707		731
Wealth management loans	10,134		9,792
Wealth management mortgages	8,416		8,200
Other residential mortgages	285		299
Capital call financing	2,625		2,284
Other	2,626		2,541
Overdrafts	4,040		3,060
Margin loans	22,119		22,487
Total loans (a)	$	68,052	$	67,787

(a) Net of unearned income of $233 million at March 31, 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.

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
(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


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
(in millions)	Commercial		Commercial real estate		Financial institutions		Lease financings
Beginning balance	$	16	$	430	$	10	$	2	$	1	$	7	$	13	$	—	$	479
Charge-offs	—		—		—		—		—		(1)		—		—		(1)
Recoveries	—		—		—		—		—		—		2		—		2
Net (charge-offs) recoveries	—		—		—		—		—		(1)		2		—		1
Provision (a)	(5)		(65)		(4)		—		(1)		—		(6)		1		(80)
Ending balance	$	11	$	365	$	6	$	2	$	—	$	6	$	9	$	1	$	400
Allowance for:
Loan losses	$	4	$	303	$	3	$	2	$	—	$	5	$	9	$	1	$	327
Lending-related commitments	7		62		3		—		—		1		—		—		73
Individually evaluated for impairment:
Loan balance (c)	$	—	$	26	$	—	$	—	$	—	$	18	$	1	$	—	$	45
Allowance for loan losses	—		5		—		—		—		—		—		—		5

(a) Does not include the provision for credit losses 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. Beginning balances and the first quarter of 2021 activity have been revised to be comparable.

Nonperforming assets

The table below presents our nonperforming assets.


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

Other residential mortgages	$	36	$	1	$	37	$	38	$	1	$	39
Wealth management mortgages	10		16		26		8		17		25
Commercial real estate	12		42		54		12		42		54

Total nonperforming loans	58		59		117		58		60		118
Other assets owned	—		2		2		—		2		2
Total nonperforming assets	$	58	$	61	$	119	$	58	$	62	$	120

Past due loans

The table below presents our past due loans.


Past due loans and still accruing interest	March 31, 2022									Dec. 31, 2021
	Days past due							Total past due		Days past due						Total past due
(in millions)	30-59			60-89		≥90				30-59		60-89		≥90
Wealth management loans	$	101		$	5	$	—	$	106	$	33	$	—	$	—	$	33
Capital call financing	50			17		—		67		—		—		—		—
Commercial real estate	31			15		—		46		3		—		—		3
Wealth management mortgages	16			—		—		16		24		—		—		24
Other residential mortgages	3			—		—		3		2		1		—		3
Commercial	1			—		—		1		—		—		—		—
Financial institutions	—			—		—		—		31		—		—		31
Total past due loans	$	202	(a)	$	37	$	—	$	239	$	93	$	1	$	—	$	94

(a) Over $130 million of the 30-59 days past due loans have been collected since March 31, 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 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 million in the first quarter of 2021 and $58 million in the fourth 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, 2022, the unpaid principal balance of the loans modified under the CARES Act or Interagency Guidance was $122 million.

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													March 31, 2022
													Revolving loans
	Originated, at amortized cost												Amortized cost		Converted to term loans – Amortized cost				Accrued interest receivable
(in millions)	1Q22		2021		2020		2019		2018		Prior to 2018						Total (a)
Commercial:
Investment grade	$	94	$	380	$	20	$	—	$	13	$	145	$	1,029	$	—	$	1,681
Non-investment grade	89		6		—		—		—		—		63		—		158
Total commercial	183		386		20		—		13		145		1,092		—		1,839		$	1
Commercial real estate:
Investment grade	232		1,437		443		705		173		866		203		—		4,059
Non-investment grade	162		670		159		507		284		94		70		26		1,972
Total commercial real estate	394		2,107		602		1,212		457		960		273		26		6,031		9
Financial institutions:
Investment grade	70		631		—		—		—		53		7,489		—		8,243
Non-investment grade	35		15		—		—		—		—		937		—		987
Total financial institutions	105		646		—		—		—		53		8,426		—		9,230		14
Wealth management loans:
Investment grade	12		107		18		72		4		226		9,669		—		10,108
Non-investment grade	—		—		—		—		—		—		26		—		26
Total wealth management loans	12		107		18		72		4		226		9,695		—		10,134		14
Wealth management mortgages	529		2,040		979		822		519		3,504		23		—		8,416		16
Lease financings	20		—		59		14		9		605		—		—		707		—
Other residential mortgages	—		—		—		—		—		285		—		—		285		1
Capital call financing	—		—		—		—		—		—		2,625		—		2,625		5
Other loans	—		—		—		—		—		—		2,626		—		2,626		2
Margin loans	7,092		750		—		—		—		—		14,277		—		22,119		11
Total loans	$	8,335	$	6,036	$	1,678	$	2,120	$	1,002	$	5,778	$	39,037	$	26	$	64,012	$	73

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

62 BNY Mellon


Notes to Consolidated Financial Statements (continued)


Credit profile of the loan 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% of the exposures meeting the investment grade equivalent criteria of our internal credit rating classification at March 31, 2022. In addition, 64% 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, 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, 2022, less than 1% of the mortgages were past due.

Lease financings

At March 31, 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 million at March 31, 2022 and $299 million at Dec. 31, 2021. These loans are not typically correlated to external ratings.

Overdrafts

Overdrafts primarily relate to custody 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.

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 billion of secured margin loans at March 31, 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

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

Reverse repurchase agreements

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

64 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)	Securities Services		Market and Wealth Services		Investment and Wealth Management		Consolidated
Balance at Dec. 31, 2021	$	7,062	$	1,435	$	9,015	$	17,512

Foreign currency translation	(18)		(3)		(29)		(50)
Balance at March 31, 2022	$	7,044	$	1,432	$	8,986	$	17,462


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

Balance at March 31, 2021	$	7,004	$	1,424	$	9,041	$	17,469

Intangible assets

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


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	$	230	$	392	$	1,520	$	849	$	2,991

Amortization	(8)		(2)		(7)		—		(17)
Foreign currency translation	(1)		—		(5)		—		(6)
Balance at March 31, 2022	$	221	$	390	$	1,508	$	849	$	2,968


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	$	194	$	414	$	1,555	$	849	$	3,012
Disposition	—		—		(6)		—		(6)
Amortization	(8)		(9)		(7)		—		(24)
Foreign currency translation	—		(1)		2		—		1
Balance at March 31, 2021	$	186	$	404	$	1,544	$	849	$	2,983

BNY Mellon 65


Notes to Consolidated Financial Statements (continued)

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


Intangible assets	March 31, 2022							Dec. 31, 2021
(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)
Customer contracts—Securities Services	$	746	$	(526)	$	220	11 years	$	747	$	(518)	$	229
Customer contracts—Market and Wealth Services	320		(301)		19		4 years	378		(356)		22
Customer relationships—Investment and Wealth Management	568		(461)		107		9 years	568		(456)		112
Other	47		(10)		37		13 years	47		(8)		39
Total subject to amortization	1,681		(1,298)		383		10 years	1,740		(1,338)		402
Not subject to amortization: (b)
Tradename	1,293		N/A		1,293		N/A	1,294		N/A		1,294
Customer relationships	1,292		N/A		1,292		N/A	1,295		N/A		1,295
Total not subject to amortization	2,585		N/A		2,585		N/A	2,589		N/A		2,589
Total intangible assets	$	4,266	$	(1,298)	$	2,968	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,	Estimated amortization expense (in millions)
2022		$	68
2023		57
2024		50
2025		43
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.

Note 6–Other assets

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


Other assets	March 31, 2022		Dec. 31, 2021
(in millions)
Corporate/bank-owned life insurance	$	5,375	$	5,359
Fails to deliver	4,697		1,561
Accounts receivable	4,171		4,178
Software	2,115		2,096
Prepaid pension assets	1,981		1,946
Qualified affordable housing project investments	1,143		1,153
Renewable energy investments	990		1,027
Equity method investments	917		939
Prepaid expense	656		476
Income taxes receivable	552		538
Other equity investments (a)	520		449
Assets of consolidated investment management funds	481		462
Federal Reserve Bank stock	473		472
Seed capital (b)	370		357
Fair value of hedging derivatives	230		206
Other (c)	1,671		1,190
Total other assets	$	26,342	$	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, 2022 and Dec. 31, 2021, other assets include $7 million and $7 million, respectively, of Federal Home Loan Bank stock, at cost.

66 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 million at March 31, 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							Life-to-date
(in millions)	1Q22		4Q21		1Q21
Upward adjustments	$	46	$	44	$	—	$	204
Downward adjustments	—		—		—		(4)
Net adjustments	$	46	$	44	$	—	$	200

Qualified affordable housing project investments

We invest in affordable housing projects primarily to satisfy the Company’s requirements under the Community Reinvestment Act. Our total investment in qualified affordable housing projects totaled $1.1 billion at March 31, 2022 and $1.2 billion at Dec. 31, 2021. Commitments to fund future investments in qualified affordable housing projects totaled $524

million at March 31, 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 million; 2023 – $195 million; 2024 – $98 million; 2025 – $2 million; 2026 – $2 million; and 2027 and thereafter – $25 million.

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

Amortization expense included in the provision for income taxes was $32 million in the first quarter of 2022, $28 million in the fourth quarter of 2021 and $32 million in the first quarter 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	March 31, 2022					Dec. 31, 2021
(in millions)	Fair value		Unfunded commitments			Fair value		Unfunded commitments
Seed capital (a)(b)	$	100		$	19	$	101		$	21
Private equity investments (c)	121			59		113			61
Other	4			—		4			—
Total	$	225		$	78	$	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, 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 67


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
	Quarter ended
	March 31, 2022										March 31, 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	$	1,130	$	846	$	25	$	(17)	$	1,984		$	1,187	$	847	$	25	$	(17)	$	2,042
Investment management and performance fees	—		6		887		(6)		887			—		4		883		(5)		882
Financing-related fees	3		14		—		—		17			5		15		—		—		20
Distribution and servicing fees	1		(4)		32		1		30			2		(1)		28		—		29
Investment and other revenue	47		9		(27)		(1)		28			33		3		(11)		—		25
Total fee and other revenue – contract revenue	1,181		871		917		(23)		2,946			1,227		868		925		(22)		2,998
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
Total fee and other revenue	$	1,403	$	906	$	907	$	20	$	3,236		$	1,431	$	914	$	943	$	(27)	$	3,261

(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) million in the first quarter of 2022 and $5 million in the first quarter of 2021.


Disaggregation of contract revenue by business segment	Quarter ended
	Dec. 31, 2021
(in millions)	Securities Services		Market and Wealth Services		Investment and Wealth Management		Other		Total
Fee and other revenue – contract revenue:
Investment services fees	$	1,234	$	810	$	25	$	(19)	$	2,050
Investment management and performance fees	—		5		899		(4)		900
Financing-related fees	6		9		—		1		16
Distribution and servicing fees	1		(1)		29		(1)		28
Investment and other revenue	32		(2)		(7)		—		23
Total fee and other revenue – contract revenue	1,273		821		946		(23)		3,017
Fee and other revenue – not in scope of ASC 606 (a)(b)	193		55		23		44		315
Total fee and other revenue	$	1,466	$	876	$	969	$	21	$	3,332

(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 attributable to noncontrolling interests related to consolidated investment management funds of $6 million in the fourth quarter of 2021.

68 BNY Mellon


Notes to Consolidated Financial Statements (continued)

Contract balances

Our clients are billed based on fee schedules that are agreed upon in each customer contract. Receivables from customers were $2.7 billion at March 31, 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 million at March 31, 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 million at March 31, 2022 and $163 million at Dec. 31, 2021. Contract liabilities are included in other liabilities on the consolidated balance sheet. Revenue recognized in the first quarter of 2022 relating to contract liabilities as of Dec. 31, 2021 was $53 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 million at March 31, 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 $5 million in the first quarter of 2022, first quarter of 2021 and fourth quarter 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 million at March 31, 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 consolidated income statement and totaled less than $1 million in the first quarter of 2022, first quarter of 2021 and fourth quarter 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	Quarter ended
(in millions)	March 31, 2022		Dec. 31, 2021		March 31, 2021
Interest revenue
Deposits with the Federal Reserve and other central banks	$	2	$	(15)	$	(16)
Deposits with banks	14		11		14
Federal funds sold and securities purchased under resale agreements	37		31		32
Loans	260		253		230
Securities:
Taxable	434		424		450
Exempt from federal income taxes	10		11		9
Total securities	444		435		459
Trading securities	21		14		19
Total interest revenue	778		729		738
Interest expense
Deposits	(37)		(45)		(37)
Federal funds purchased and securities sold under repurchase agreements	12		2		(3)
Trading liabilities	4		2		3
Other borrowed funds	3		2		2

Customer payables	—		—		(1)
Long-term debt	98		91		119
Total interest expense	80		52		83
Net interest revenue	698		677		655
Provision for credit losses	2		(17)		(83)
Net interest revenue after provision for credit losses	$	696	$	694	$	738

Note 9–Employee benefit plans

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


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

Note 10–Income taxes

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

70 BNY Mellon


Notes to Consolidated Financial Statements (continued)

for the three months ended March 31, 2022 was $2 million, compared with $2 million for the three months ended March 31, 2021.

It is reasonably possible the total reserve for uncertain tax positions could decrease within the next 12 months by approximately $6 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.

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 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, 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
	March 31, 2022		Dec. 31, 2021
(in millions)

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

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

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

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

(c) Includes VMEs with nonredeemable noncontrolling interests of $27 million at March 31, 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, 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

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

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, 2022 and Dec. 31, 2021.


Preferred stock summary (a)		Total shares issued and outstanding		Carrying value (b)
				(in millions)
		March 31, 2022	Dec. 31, 2021	March 31, 2022		Dec. 31, 2021
	Per annum dividend rate
Series A	Greater of (i) three-month LIBOR plus 0.565% for the related distribution period or (ii) 4.000%	5,001	5,001	$	500	$	500
Series D	4.500% to but excluding June 20, 2023, then a floating rate equal to the three-month LIBOR plus 2.46%	5,000	5,000	494		494
Series F	4.625% to but excluding Sept. 20, 2026, then a floating rate equal to the three-month LIBOR plus 3.131%	10,000	10,000	990		990
Series G	4.700% to but excluding Sept. 20, 2025, then a floating rate equal to the five-year treasury rate plus 4.358%	10,000	10,000	990		990
Series H	3.700% to but excluding March 20, 2026, then a floating rate equal to the five-year treasury rate plus 3.352%	5,825	5,825	577		577
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		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
(dollars in millions, except per share amounts)	Depositary shares per share		1Q22				4Q21					1Q21
			Per share		Total dividend		Per share		Total dividend			Per share		Total dividend
Series A	100	(a)	$	1,011.11	$	5	$	1,011.11	$	5		$	1,011.11	$	5
Series D	100		N/A		—		2,250.00		12			N/A		—
Series E	100		N/A		N/A		895.34		19		(b)	924.82		9
Series F	100		2,312.50		23		N/A		—			2,312.50		23
Series G	100		2,350.00		24		N/A		—			2,350.00		24
Series H	100		925.00		5		925.00		5			1,408.06		8
Series I	100		1,270.83		17		N/A		N/A			N/A		N/A
Total					$	74			$	41				$	69

(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


Notes to Consolidated Financial Statements (continued)

Note 13–Other comprehensive income (loss)


Components of other comprehensive income (loss)	Quarter ended
	March 31, 2022						Dec. 31, 2021						March 31, 2021
(in millions)	Pre-tax amount		Tax (expense) benefit		After-tax amount		Pre-tax amount		Tax (expense) benefit		After-tax amount		Pre-tax amount		Tax (expense) benefit		After-tax amount
Foreign currency translation:
Foreign currency translation adjustments arising during the period (a)	$	(120)	$	(33)	$	(153)	$	(66)	$	(9)	$	(75)	$	(127)	$	(23)	$	(150)
Total foreign currency translation	(120)		(33)		(153)		(66)		(9)		(75)		(127)		(23)		(150)
Unrealized (loss) on assets available-for-sale:
Unrealized (loss) arising during period	(2,021)		490		(1,531)		(494)		123		(371)		(926)		223		(703)
Reclassification adjustment (b)	(4)		1		(3)		(1)		—		(1)		—		—		—
Net unrealized (loss) on assets available-for-sale	(2,025)		491		(1,534)		(495)		123		(372)		(926)		223		(703)
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)	17		1		18		30		(11)		19		28		(6)		22
Total defined benefit plans	17		1		18		326		(88)		238		28		(6)		22
Unrealized (loss) gain on cash flow hedges:
Unrealized hedge gain arising during period	(3)		1		(2)		1		—		1		1		—		1
Reclassification of net loss (gain) to net income:



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

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

(b) The reclassification adjustment related to the unrealized gain (loss) on assets available-for-sale is recorded as net securities gains on the consolidated income statement. The amortization of prior service credit, net loss and initial obligation included in net periodic benefit cost is recorded as other expense on the consolidated income statement.

Note 14–Fair value measurement

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

BNY Mellon 73


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		%	—		%

74 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		%	—		%

(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		%	—		%

(b) Includes seed capital, private equity investments and other assets.

BNY Mellon 77


Notes to Consolidated Financial Statements (continued)


Details of certain available-for-sale securities measured at fair value on a recurring basis	March 31, 2022												Dec. 31, 2021
	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
(dollars in millions)
Non-agency RMBS, originated in:
2008-2022	$	2,117		100	%	—	%	—	%	—	%		—	%		$	2,190		100	%	—	%	—	%	—	%	—	%
2007	66			—		6		—		51			43			114			—		4		—		39		57
2006	112			—		35		—		49			16			181			—		24		—		33		43
2005	115			5		5		1		40			49			167			3		5		1		37		54
2004 and earlier	88			15		10		5		57			13			96			16		10		5		57		12
Total non-agency RMBS	$	2,498		81	%	2	%	—	%	8	%		9	%		$	2,748		81	%	2	%	—	%	8	%	9	%
Non-agency commercial MBS originated in:
2009-2022	$	3,084		100	%	—	%	—	%	—	%		—	%		$	3,125		100	%	—	%	—	%	—	%	—	%
Foreign covered bonds:
Canada	$	2,421		100	%	—	%	—	%	—	%		—	%		$	2,332		100	%	—	%	—	%	—	%	—	%
UK	1,213			100		—		—		—			—			1,141			100		—		—		—		—
Australia	703			100		—		—		—			—			762			100		—		—		—		—
Germany	637			100		—		—		—			—			638			100		—		—		—		—
Norway	420			100		—		—		—			—			457			100		—		—		—		—
Other	856			100		—		—		—			—			908			100		—		—		—		—
Total foreign covered bonds	$	6,250		100	%	—	%	—	%	—	%		—	%		$	6,238		100	%	—	%	—	%	—	%	—	%
Sovereign debt/sovereign guaranteed:
Germany	$	3,190		100	%	—	%	—	%	—	%		—	%		$	3,585		100	%	—	%	—	%	—	%	—	%
UK	1,871			100		—		—		—			—			1,969			100		—		—		—		—
France	1,681			100		—		—		—			—			1,921			100		—		—		—		—
Singapore	1,274			100		—		—		—			—			1,018			100		—		—		—		—
Italy	1,086			—		—		100		—			—			1,382			—		—		100		—		—
Spain	748			—		8		92		—			—			782			—		8		92		—		—
Canada	562			100		—		—		—			—			630			100		—		—		—		—
Hong Kong	453			100		—		—		—			—			531			100		—		—		—		—
Japan	362			—		100		—		—			—			363			—		100		—		—		—
Other (c)	727			77		5		—		18			—			1,198			71		19		—		10		—
Total sovereign debt/sovereign guaranteed	$	11,954		80	%	4	%	15	%	1	%		—	%		$	13,379		78	%	5	%	16	%	1	%	—	%
Foreign government agencies:
Canada	$	626		81	%	19	%	—	%	—	%		—	%		$	566		78	%	22	%	—	%	—	%	—	%
Netherlands	537			100		—		—		—			—			765			100		—		—		—		—
Norway	438			100		—		—		—			—			269			100		—		—		—		—
France	287			100		—		—		—			—			301			100		—		—		—		—
Sweden	269			100		—		—		—			—			252			100		—		—		—		—
Finland	266			100		—		—		—			—			267			100		—		—		—		—

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

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

(b) At March 31, 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 million at March 31, 2022 and $119 million at Dec. 31, 2021.

78 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, 2022 and Dec. 31, 2021.


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

(a) The fair value of these loans was unchanged in the first 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, 2022 and Dec. 31, 2021, by caption on the consolidated balance sheet and by the valuation hierarchy.


Summary of financial instruments	March 31, 2022
(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	$	—	$	135,691	$	—	$	135,691	$	135,691
Interest-bearing deposits with banks	—		18,276		—		18,276		18,268
Federal funds sold and securities purchased under resale agreements	—		27,131		—		27,131		27,131
Securities held-to-maturity	12,132		45,527		—		57,659		60,602
Loans (a)	—		67,183		—		67,183		67,174
Other financial assets	6,143		1,306		—		7,449		7,449
Total	$	18,275	$	295,114	$	—	$	313,389	$	316,315
Liabilities:
Noninterest-bearing deposits	$	—	$	100,036	$	—	$	100,036	$	100,036
Interest-bearing deposits	—		242,772		—		242,772		245,529
Federal funds purchased and securities sold under repurchase agreements	—		13,181		—		13,181		13,181
Payables to customers and broker-dealers	—		26,608		—		26,608		26,608

Borrowings	—		492		—		492		492
Long-term debt	—		24,935		—		24,935		25,246
Total	$	—	$	408,024	$	—	$	408,024	$	411,092

(a) Does not include the leasing portfolio.

BNY Mellon 79


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
	March 31, 2022		Dec. 31, 2021
(in millions)
Assets of consolidated investment management funds:
Trading assets	$	466	$	443
Other assets	15		19
Total assets of consolidated investment management funds	$	481	$	462
Liabilities of consolidated investment management funds:

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

80 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 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, corporate bonds and foreign covered bonds. At March 31, 2022, $29.3 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 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, 2022, $21.0 billion par value of debt was hedged with interest rate swaps designated as fair value hedges that had notional values of $21.0 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, 2022, the hedged forecasted foreign currency transactions and designated forward foreign exchange contract hedges were $329 million (notional), with a net pre-tax loss of $1 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, 2022, $136 million par value of available-for-sale securities was hedged with foreign currency forward contracts that had a notional value of $136 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, 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, 2022, there were no non-derivative financial instruments hedging our net investments in foreign subsidiaries.

BNY Mellon 81


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
(in millions)	Location of gains (losses)	1Q22		4Q21		1Q21
Interest rate fair value hedges of available-for-sale securities
Derivative	Interest revenue	$	1,484	$	137	$	791
Hedged item	Interest revenue	(1,480)		(138)		(785)
Interest rate fair value hedges of long-term debt
Derivative	Interest expense	(741)		(219)		(353)
Hedged item	Interest expense	740		219		351
Foreign exchange fair value hedges of available-for-sale securities
Derivative (a)	Foreign exchange revenue	(1)		4		8
Hedged item	Foreign exchange revenue	1		(4)		(7)


Cash flow hedges of forecasted FX exposures



Gain reclassified from OCI into income	Staff expense	—		1		5
Gain recognized in the consolidated income statement due to fair value and cash flow hedging relationships		$	3	$	—	$	10

(a) Includes gains of less than $1 million in the first quarter of 2022, fourth quarter of 2021 and first quarter of 2021 associated with the amortization of the excluded component. At March 31, 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
(in millions)
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
FX contracts	$	143	$	40	$	82			Net interest revenue	$	—	$	—	$	—

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


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


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

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

82 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	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
(in millions)
Derivatives designated as hedging instruments: (a)(b)
Interest rate contracts	$	50,290	$	46,717	$	—	$	—	$	147	$	453
Foreign exchange contracts	9,109		10,367		230		206		55		40
Total derivatives designated as hedging instruments					$	230	$	206	$	202	$	493
Derivatives not designated as hedging instruments: (b)(c)
Interest rate contracts	$	220,580	$	193,747	$	2,398	$	3,259	$	2,290	$	2,835
Foreign exchange contracts	1,068,411		915,694		7,981		6,279		8,218		6,215
Equity contracts	8,803		9,659		68		49		194		211
Credit contracts	275		190		—		—		10		5
Total derivatives not designated as hedging instruments					$	10,447	$	9,587	$	10,712	$	9,266
Total derivatives fair value (d)					$	10,677	$	9,793	$	10,914	$	9,759
Effect of master netting agreements (e)					(8,250)		(6,973)		(7,589)		(6,335)
Fair value after effect of master netting agreements					$	2,427	$	2,820	$	3,325	$	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 million and $1,094 million, respectively, at March 31, 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
(in millions)	1Q22		4Q21		1Q21
Foreign exchange revenue	$	207	$	199	$	231
Other trading revenue (loss)	5		(6)		(7)

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 $13 million in the first quarter of 2022, and gains of $10 million in the first quarter of 2021 and $14 million in the fourth quarter 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 83


Notes to Consolidated Financial Statements (continued)

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
(in millions)	March 31, 2022		Dec. 31, 2021
Aggregate fair value of OTC derivatives in net liability positions (a)	$	3,039	$	3,606
Collateral posted	$	4,049	$	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)
	March 31, 2022		Dec. 31, 2021
(in millions)
If The Bank of New York Mellon’s rating changed to: (b)
A3/A-	$	218	$	56
Baa2/BBB	$	562	$	563
Ba1/BB+	$	1,542	$	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.

84 BNY Mellon


Notes to Consolidated Financial Statements (continued)

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
	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	$	1,666	$	1,178		$	488	$	113	$	—	$	375
Foreign exchange contracts	7,734		7,008			726		56		—		670
Equity and other contracts	68		64			4		—		—		4
Total derivatives subject to netting arrangements	9,468		8,250			1,218		169		—		1,049
Total derivatives not subject to netting arrangements	1,209		—			1,209		—		—		1,209
Total derivatives	10,677		8,250			2,427		169		—		2,258
Reverse repurchase agreements	62,354		44,373		(b)	17,981		17,929		—		52
Securities borrowing	9,150		—			9,150		8,591		—		559
Total	$	82,181	$	52,623		$	29,558	$	26,689	$	—	$	2,869

(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 85


Notes to Consolidated Financial Statements (continued)


Offsetting of derivative liabilities and financial liabilities at March 31, 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
(in millions)					(a)			Financial instruments		Cash collateral pledged		Net amount
Derivatives subject to netting arrangements:
Interest rate contracts	$	2,357	$	1,424		$	933	$	748	$	—	$	185
Foreign exchange contracts	7,436		5,985			1,451		109		—		1,342
Equity and other contracts	194		180			14		—		—		14
Total derivatives subject to netting arrangements	9,987		7,589			2,398		857		—		1,541
Total derivatives not subject to netting arrangements	927		—			927		—		—		927
Total derivatives	10,914		7,589			3,325		857		—		2,468
Repurchase agreements	55,922		44,373		(b)	11,549		11,540		3		6
Securities lending	1,632		—			1,632		1,557		—		75
Total	$	68,468	$	51,962		$	16,506	$	13,954	$	3	$	2,549

(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.

86 BNY Mellon


Notes to Consolidated Financial Statements (continued)

Secured borrowings

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


Repurchase agreements and securities lending transactions accounted for as secured borrowings
	March 31, 2022										Dec. 31, 2021
	Remaining contractual maturity								Total		Remaining contractual maturity								Total
(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:
U.S. Treasury	$	46,950	$	322	$	1,189	$	73	$	48,534	$	56,556	$	304	$	450	$	—	$	57,310
Agency RMBS	2,296		2		—		—		2,298		2,795		1		—		—		2,796
Corporate bonds	81		93		947		264		1,385		97		77		870		270		1,314
Sovereign debt/sovereign guaranteed	628		326		—		—		954		160		—		—		—		160
State and political subdivisions	34		102		251		87		474		44		16		630		155		845
U.S. government agencies	284		—		—		—		284		503		—		—		—		503
Other debt securities	1		32		54		1		88		—		30		245		—		275
Equity securities	—		171		1,734		—		1,905		—		276		1,255		—		1,531
Total	$	50,274	$	1,048	$	4,175	$	425	$	55,922	$	60,155	$	704	$	3,450	$	425	$	64,734
Securities lending:
Agency RMBS	$	147	$	—	$	—	$	—	$	147	$	152	$	—	$	—	$	—	$	152
Other debt securities	82		—		—		—		82		88		—		—		—		88
Equity securities	1,403		—		—		—		1,403		1,301		—		—		—		1,301
Total	$	1,632	$	—	$	—	$	—	$	1,632	$	1,541	$	—	$	—	$	—	$	1,541
Total secured borrowings	$	51,906	$	1,048	$	4,175	$	425	$	57,554	$	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 87


Notes to Consolidated Financial Statements (continued)

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


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

(a)Net of participations totaling $127 million at March 31, 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 billion at March 31, 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 billion at March 31, 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 billion in less than one year, $18.7 billion in one to five years and $1.4 billion over five years.

SBLCs principally support obligations of corporate clients and were collateralized with cash and securities of $166 million at March 31, 2022 and $172 million at Dec. 31, 2021. At March 31, 2022, $1.1 billion of the SBLCs will expire within one year, $800 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	March 31, 2022		Dec. 31, 2021

Investment grade	81	%	85	%
Non-investment grade	19	%	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 million at March 31, 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 million at March 31, 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

88 BNY Mellon


Notes to Consolidated Financial Statements (continued)

counterparties. Securities lending indemnifications were secured by collateral of $521 billion at March 31, 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, 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. 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, 2022, we had $126 million of unsettled repurchase agreements and $10.6 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, 2022. The tables below present our credit exposure in the financial institutions and commercial portfolios.


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)	March 31, 2022
	Loans		Unfunded commitments		Total exposure
Manufacturing	$	0.7	$	3.7	$	4.4
Energy and utilities	0.4		3.8		4.2
Services and other	0.7		3.5		4.2
Media and telecom	0.1		0.9		1.0
Total	$	1.9	$	11.9	$	13.8

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


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
(dollars in millions)
Total fee and other revenue (loss)	$	1,431		$	914		$	943		(a)	$	(27)	$	3,261		(a)
Net interest revenue (expense)	356			289			48				(38)		655
Total revenue (loss)	1,787			1,203			991			(a)	(65)		3,916			(a)
Provision for credit losses	(50)			(29)			4				(8)		(83)
Noninterest expense	1,419			682			709				41		2,851
Income (loss) before income taxes	$	418		$	550		$	278		(a)	$	(98)	$	1,148		(a)
Pre-tax operating margin (b)	23		%	46		%	28		%		N/M		29		%
Average assets	$	228,071		$	148,820		$	32,066			$	51,422	$	460,379


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

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



Premises and equipment/operating lease obligations	13		24


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)



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