---

---

---

(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 45 for the reconciliation of Non-GAAP measures.

(b)	See “Net interest revenue” on page 10 for a reconciliation of this Non-GAAP measure.

(c)	Includes the AUC/A of CIBC Mellon Global Securities Services Company (“CIBC Mellon”), a joint venture with the Canadian Imperial Bank of Commerce, of $1.3 trillion at June 30, 2020, $1.2 trillion at March 31, 2020 and $1.4 trillion at June 30, 2019.

(d)	Excludes securities lending cash management assets and assets managed in the Investment Services business.

(e)	Represents the total amount of securities on loan in our agency securities lending program managed by the Investment Services business. Excludes securities for which BNY Mellon acts as an agent on behalf of CIBC Mellon clients, which totaled $62 billion at June 30, 2020, $59 billion at March 31, 2020 and $64 billion at June 30, 2019.

(f)	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 37.

(g)	The SLR at June 30, 2020 reflects the exclusion of certain central bank placements and the temporary exclusion of U.S. Treasury securities from the leverage exposure. This temporary exclusion increased our consolidated SLR by 40 basis points. See “Capital” beginning on page 37 for additional information.

---

---

---

---

(a)	Asset servicing fees include the fees from the Clearance and Collateral Management business and also include securities lending revenue of $56 million in the second quarter of 2020, $51 million in the first quarter of 2020, $44 million in the second quarter of 2019, $107 million in the first six months of 2020 and $92 million in the first six months of 2019.

(b)	Clearing services fees are almost entirely earned by our Pershing business.

(c)	Consists of AUC/A primarily from the Asset Servicing business and, to a lesser extent, the Clearance and Collateral Management, Issuer Services, Pershing and Wealth Management businesses. Includes the AUC/A of CIBC Mellon of $1.3 trillion at June 30, 2020, $1.2 trillion at March 31, 2020 and $1.4 trillion at June 30, 2019.

(d)	Excludes securities lending cash management assets and assets managed in the Investment Services business.

---

---

---

(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.

---

(a)

Includes the average impact of offsetting under enforceable netting agreements of approximately $67 billion for the second quarter of 2020, $80 billion for the first quarter of 2020 and $51 billion for the second quarter of 2019. 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 0.26% for the second quarter of 2020, 1.39% for the first quarter of 2020 and 2.57% for the second quarter of 2019.  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 0.00% for the second quarter of 2020, 1.18% for the first quarter of 2020 and 2.39% for the second quarter of 2019. We believe providing the rates excluding the impact of netting is useful to investors as it is more reflective of the actual rates earned and paid.

(b)	Average rates were calculated on an FTE basis, at tax rates of approximately 21%.

(c)	See “Net interest revenue” on page 10 for a reconciliation of this Non-GAAP measure.

---

(a)

Includes the average impact of offsetting under enforceable netting agreements of approximately $73 billion for the first six months of 2020 and $47 billion for the first six months of 2019. 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 0.87% for the first six months of 2020 and 2.59% for the first six months of 2019.  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 0.64% for the first six months of 2020 and 2.39% for the first six months of 2019. We believe providing the rates excluding the impact of netting is useful to investors as it is more reflective of the actual rates earned and paid.

(b)	Average rates were calculated on an FTE basis, at tax rates of approximately 21%.

(c)	See “Net interest revenue” on page 10 for a reconciliation of this Non-GAAP measure.

---

---

---

(a)	Asset servicing fees include the fees from the Clearance and Collateral Management business.

(b)	Clearing services fees are almost entirely earned by our Pershing business.

(c)	Other revenue includes investment management and performance fees, financing-related fees, distribution and servicing revenue, securities gains and losses and investment and other income.

---

(a)	Consists of AUC/A primarily from the Asset Servicing business and, to a lesser extent, the Clearance and Collateral Management, Issuer Services and Pershing businesses. Includes the AUC/A of CIBC Mellon of $1.3 trillion at June 30, 2020, $1.2 trillion at March 31, 2020, $1.5 trillion at Dec. 31, 2019 and $1.4 trillion at Sept. 30, 2019 and June 30, 2019.

(b)	Represents the total amount of securities on loan in our agency securities lending program managed by the Investment Services business. Excludes securities for which BNY Mellon acts as agent on behalf of CIBC Mellon clients, which totaled $62 billion at June 30, 2020, $59 billion at March 31, 2020, $60 billion at Dec. 31, 2019, $66 billion at Sept. 30, 2019 and $64 billion at June 30, 2019.

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

---

---

(a)	Total fee and other revenue includes the impact of the consolidated investment management funds, net of noncontrolling interests. Additionally, other revenue includes asset servicing fees, treasury services fees, foreign exchange and other trading revenue and investment and other income.

(b)	On a constant currency basis, investment management and performance fees decreased 4% (Non-GAAP) compared with the second quarter of 2019. See “Supplemental information – Explanation of GAAP and Non-GAAP financial measures” beginning on page 45 for the reconciliation of this Non-GAAP measure.

(c)	Net of distribution and servicing expense. See “Supplemental information – Explanation of GAAP and Non-GAAP financial measures” beginning on page 45 for the reconciliation of this Non-GAAP measure.

---

---

---

---

---

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

(b)	Securities include both the available-for-sale and held-to-maturity portfolios.

(c)	Other exposures include over-the-counter (“OTC”) derivative and securities financing transactions, net of collateral.

(d)	The top 10 country exposures comprise approximately 80% of our total non-U.S. exposure.

---

(a)	Amortized cost reflects historical impairments.

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

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

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

(e)	Primarily consists of exposure to Germany, the Netherlands and Sweden.

(f)	Includes RMBS that were included in the former Grantor Trust of $535 million at March 31, 2020 and $538 million at June 30, 2020.

(g)	Includes net unrealized losses on derivatives hedging securities available-for-sale (including terminated hedges) of $1,846 million at March 31, 2020 and $1,817 million at June 30, 2020.

(h)	Includes unrealized gains of $1,582 million at June 30, 2020 related to available-for-sale securities, net of hedges.

---

(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.

---

---

---

---

(a)	In the first quarter of 2020, we adopted new accounting guidance included in ASU 2016-13, Financial Instruments – Credit Losses: Measurement of Credit Losses On Financial Instruments, on a prospective basis. See Note 2 of the Notes to Consolidated Financial Statement for additional information. Includes the reclassification of credit-related reserves on accounts receivable of $4 million.

(b)	Includes allowance for credit losses on federal funds sold and securities purchased under resale agreements, available-for-sale securities, held-to-maturity securities, accounts receivable, cash and due from banks and interest-bearing deposits with banks.

---

---

---

---

---

(a)	Represents senior debt issuer default rating.

---

---

---

(a)	See “Supplemental information – Explanation of GAAP and Non-GAAP financial measures” beginning on page 45 for a reconciliation of GAAP to Non-GAAP.

---

(a)	Minimum requirements for June 30, 2020 include minimum thresholds plus currently applicable buffers.

(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. The U.S. global systemically important banks (“G-SIB”) surcharge of 1.5% is subject to change. The countercyclical capital buffer is currently set to 0%.

(c)	The Federal Reserve’s regulations do not establish well capitalized thresholds for these measures for BHCs.

(d)	The SLR is based on Tier 1 capital and total leverage exposure, which includes certain off-balance sheet exposures. The SLR at June 30, 2020 reflects the exclusion of certain central bank placements from leverage exposure.

(e)	The SLR at June 30, 2020 reflects the temporary exclusion of U.S. Treasury securities from the leverage exposure which increased our consolidated SLR by 40 basis points.

---

---

---

---

---

---

---

(a)	Deferred tax liabilities are based on fully phased-in U.S. capital rules.

---

(a)	Deferred tax liabilities are based on fully phased-in U.S. capital rules.

(a)	Income before taxes divided by total revenue.

---

---

---

---

(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.

---

(a)	Other comprehensive income (loss) attributable to The Bank of New York Mellon Corporation shareholders was $884 million for the quarter ended June 30, 2020, $(184) million for the quarter ended March 31, 2020, $302 million for the quarter ended June 30, 2019, $700 million for the six months ended June 30, 2020 and $573 million for the six months ended June 30, 2019.

---

(a)	In the first quarter of 2020, we adopted new accounting guidance included in ASU 2016-13, Financial Instruments – Credit Losses: Measurement of Credit Losses on Financial Instruments, on a prospective basis. See Note 2 of the Notes to Consolidated Financial Statements for additional information.

---

(a)	In the first quarter of 2020, we adopted new accounting guidance included in ASU 2016-13, Financial Instruments – Credit Losses: Measurement of Credit Losses on Financial Instruments, on a prospective basis. See Note 2 of the Notes to Consolidated Financial Statements for additional information.

---

(a)	Includes total The Bank of New York Mellon Corporation common shareholders’ equity of $37,603 million at March 31, 2020 and $39,165 million at June 30, 2020.

(a)	Includes total The Bank of New York Mellon Corporation common shareholders’ equity of $37,941 million at Dec. 31, 2019 and $37,603 million at March 31, 2020.

---

(a)	Includes total The Bank of New York Mellon Corporation common shareholders’ equity of $37,683 million at March 31, 2019 and $37,991 million at June 30, 2019.

(a)	Includes total The Bank of New York Mellon Corporation common shareholders’ equity of $37,941 million at Dec. 31, 2019 and $39,165 million at June 30, 2020.

---

(a)	Includes total The Bank of New York Mellon Corporation common shareholders’ equity of $37,096 million at Dec. 31, 2018 and $37,991 million at June 30, 2019.

---

---

---

---

---

---

---

---

---

The following table shows 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 at June 30, 2020 (a)	Less than 12 months							12 months or more							Total
	Fair value			Unrealized losses				Fair value			Unrealized losses				Fair value			Unrealized losses
(in millions)
Agency RMBS	$	2,809		$	5			$	6,030		$	79			$	8,839		$	84
Sovereign debt/sovereign guaranteed	1,952			2				110			—				2,062			2
Agency commercial MBS	266			—				350			2				616			2
Foreign covered bonds	1,003			2				281			1				1,284			3
Supranational	931			1				233			—				1,164			1
CLOs	3,522			68				575			19				4,097			87
U.S. government agencies	79			2				—			—				79			2
Other ABS	760			6				203			4				963			10
Non-agency commercial MBS	476			15				39			1				515			16
Non-agency RMBS (b)	508			7				96			7				604			14
State and political subdivisions	79			2				2			—				81			2
Total securities available-for-sale (c)	$	12,385		$	110			$	7,919		$	113			$	20,304		$	223

(a)	Includes $530 million of securities with an unrealized loss of greater than $1 million.

(b)	Includes $42 million of securities with an unrealized loss of $1 million for less than 12 months and $1 million of securities with an unrealized loss of less than $1 million for 12 months or more that were included in the former Grantor Trust.

(c)

Includes gross unrealized losses of $55 million for 12 months or more recorded in accumulated other comprehensive income related to securities that were transferred from available-for-sale to held-to-maturity. The unrealized losses are primarily related to Agency RMBS and will be amortized into net interest revenue over the contractual lives of the securities. There were no gross unrealized losses for less than 12 months.

The following table presents the temporarily impaired securities under the disclosure guidance that existed prior to the adoption of ASU 2016-13 and shows 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.

Temporarily impaired securities at Dec. 31, 2019	Less than 12 months							12 months or more							Total
(in millions)	Fair value			Unrealized losses				Fair value			Unrealized losses				Fair value			Unrealized losses
Available-for-sale:
Agency RMBS	$	8,373		$	33			$	5,912		$	110			$	14,285		$	143
U.S. Treasury	1,976			16				766			4				2,742			20
Sovereign debt/sovereign guaranteed	4,045			10				225			1				4,270			11
Agency commercial MBS	1,960			12				775			5				2,735			17
Foreign covered bonds	1,009			4				690			3				1,699			7
CLOs	1,066			2				1,499			14				2,565			16
Supranational	1,336			6				360			—				1,696			6
Foreign government agencies	1,706			2				47			—				1,753			2
Non-agency commercial MBS	525			2				45			—				570			2
Other ABS	456			3				305			2				761			5
U.S. government agencies	377			2				—			—				377			2
Non-agency RMBS (a)	101			—				113			7				214			7
State and political subdivisions	—			—				16			—				16			—
Corporate bonds	82			—				21			—				103			—
Total securities available-for-sale (b)	$	23,012		$	92			$	10,774		$	146			$	33,786		$	238

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

(b)

Includes gross unrealized losses of $65 million for 12 months or more recorded in accumulated other comprehensive income related to securities that were transferred from available-for-sale to held-to-maturity. The unrealized losses are primarily related to Agency RMBS and will be amortized into net interest revenue over the contractual lives of the securities. There were no gross unrealized losses for less than 12 months.

---

The following table shows 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 a reduction in the fair value of our securities portfolio.

Held-to-maturity securities portfolio at June 30, 2020 (a)									Ratings (b)
					Net unrealized gain										BB+ and lower		A1+/A2/SP-1+
(dollars in millions)	Amortized cost								AAA/ AA-		A+/ A-		BBB+/ BBB-						Not rated
Agency RMBS	$	32,869			$	1,099			100	%	—	%	—	%	—	%	—	%	—	%
U.S. Treasury	4,687				113				100		—		—		—		—		—
U.S. government agencies	2,349				3				100		—		—		—		—		—
Agency commercial MBS	1,982				108				100		—		—		—		—		—
Commercial paper/CDs	1,537				2				—		—		—		—		100		—
Sovereign debt/sovereign guaranteed (c)	974				41				100		—		—		—		—		—
Foreign covered bonds (d)	79				—				100		—		—		—		—		—
Non-agency RMBS	73				1				42		43		2		12		—		1
Supranational	49				—				100		—		—		—		—		—
State and political subdivisions	16				1				6		2		6		—		—		86
Total held-to-maturity securities	$	44,615			$	1,368			96	%	1	%	—	%	—	%	3	%	—	%

(a)	In the first quarter of 2020, we adopted new accounting guidance included in ASU 2016-13, Financial Instruments – Credit Losses: Measurement of Credit Losses on Financial Instruments, on a prospective basis. See Note 2 for additional information.

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

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

(d)	Primarily consists of exposure to Canada.

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 June 30, 2020	U.S. Treasury						U.S. government agencies						State and political subdivisions						Other bonds, notes and debentures						Mortgage/ asset-backed
(dollars in millions)	Amount			Yield (a)			Amount			Yield (a)			Amount			Yield (a)			Amount			Yield (a)			Amount			Yield (a)			Total
Securities available-for-sale:
One year or less	$	5,348		0.50	%		$	25		2.55	%		$	178		2.92	%		$	13,826		0.71	%		$	—		—	%		$	19,377
Over 1 through 5 years	10,350			1.52			1,038			1.22			646			3.29			16,098			0.68			—			—			28,132
Over 5 through 10 years	6,171			1.67			1,623			2.56			107			2.42			2,838			0.53			—			—			10,739
Over 10 years	3,268			3.11			120			2.06			248			2.37			355			0.97			—			—			3,991
Mortgage-backed securities	—			—			—			—			—			—			—			—			40,653			2.24			40,653
Asset-backed securities	—			—			—			—			—			—			—			—			7,175			2.18			7,175
Total	$	25,137		1.54	%		$	2,806		2.04	%		$	1,179		2.96	%		$	33,117		0.69	%		$	47,828		2.23	%		$	110,067
Securities held-to-maturity:
One year or less	$	1,899		0.41	%		$	—		—	%		$	—		—	%		$	1,646		1.21	%		$	—		—	%		$	3,545
Over 1 through 5 years	2,788			1.91			1,696			1.12			3			5.66			919			0.66			—			—			5,406
Over 5 through 10 years	—			—			212			1.98			—			—			31			0.92			—			—			243
Over 10 years	—			—			441			2.33			13			4.76			43			0.35			—			—			497
Mortgage-backed securities	—			—			—			—			—			—			—			—			34,924			2.87			34,924
Total	$	4,687		1.32	%		$	2,349		1.42	%		$	16		4.91	%		$	2,639		1.00	%		$	34,924		2.87	%		$	44,615

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

---

---

Allowance for credit losses

On Jan. 1, 2020, we adopted ASU 2016-13, Financial Instruments – Credit Losses: Measurement of Credit Losses on Financial Instruments, on a prospective basis. See Note 2 for the significant accounting policy related to allowance for credit losses on loans and lending-related commitments.

Activity in the allowance for credit losses on loans and lending-related commitments is presented below.

Allowance for credit losses activity for the quarter ended June 30, 2020													Wealth management loans and mortgages				Other residential mortgages
(in millions)	Commercial			Commercial real estate			Financial institutions			Lease financings										Total
Beginning balance	$	26		$	208		$	18		$	13		$	9			$	14		$	288
Charge-offs	—			—			—			—			—				—			—
Recoveries	—			—			—			—			—				3			3
Net recoveries	—			—			—			—			—				3			3
Provision	14			164			(2		)	(10		)	2				(5		)	163
Ending balance (a)	$	40		$	372		$	16		$	3		$	11			$	12		$	454
Allowance for:
Loan losses	$	23		$	244		$	11		$	3		$	9			$	12		$	302
Lending-related commitments	17			128			5			—			2				—			152
Individually evaluated for impairment:
Loan balance	$	—		$	—		$	—		$	—		$	18		(b)	$	—		$	18
Allowance for loan losses	—			—			—			—			—				—			—

(a)	Includes $11 million of allowance for credit losses related to foreign loans, primarily financial institutions.

(b)	Includes collateral dependent loans of $18 million with $26 million of collateral at fair value.

Allowance for credit losses activity for the quarter ended March 31, 2020													Wealth management loans and mortgages				Other residential mortgages
(in millions)	Commercial			Commercial real estate			Financial institutions			Lease financings										Foreign			(a)	Total
Balance at Dec. 31, 2019	$	60		$	76		$	20		$	3		$	20			$	13		$	24			$	216
Impact of adopting ASU 2016-13	(43		)	14			(6		)	—			(12		)		2			(24		)		(69		)
Balance at Jan. 1, 2020	17			90			14			3			8				15			—				147
Charge-offs	—			—			—			—			—				—			—				—
Recoveries	—			—			—			—			—				—			—				—
Net (charge-offs) recoveries	—			—			—			—			—				—			—				—
Provision	9			118			4			10			1				(1		)	—				141
Ending balance (b)	$	26		$	208		$	18		$	13		$	9			$	14		$	—			$	288
Allowance for:
Loan losses	$	13		$	83		$	10		$	13		$	7			$	14		$	—			$	140
Lending-related commitments	13			125			8			—			2				—			—				148
Individually evaluated for impairment:
Loan balance	$	—		$	—		$	—		$	—		$	18		(c)	$	—		$	—			$	18
Allowance for loan losses	—			—			—			—			—				—			—				—

(a)	The allowance related to foreign exposure has been reclassified to financial institutions ($10 million), commercial ($10 million) and lease financings ($4 million).

(b)	Includes $12 million of allowance for credit losses related to foreign loans, primarily financial institutions.

(c)	Includes collateral dependent loans of $18 million with $26 million of collateral at fair value.

---

Allowance for credit losses activity for the quarter ended June 30, 2019													Wealth management loans and mortgages			Other residential mortgages			All other				Foreign			Total
(in millions)	Commercial			Commercial real estate			Financial institutions			Lease financings
Beginning balance	$	82		$	74		$	23		$	4		$	21		$	15		$	—			$	29		$	248
Charge-offs	—			—			—			—			(1		)	—			—				—			(1		)
Recoveries	—			—			—			—			—			2			—				—			2
Net (charge-offs) recoveries	—			—			—			—			(1		)	2			—				—			1
Provision	(5		)	(2		)	(2		)	—			—			(3		)	—				4			(8		)
Ending balance	$	77		$	72		$	21		$	4		$	20		$	14		$	—			$	33		$	241
Allowance for:
Loan losses	$	23		$	57		$	8		$	4		$	17		$	14		$	—			$	23		$	146
Lending-related commitments	54			15			13			—			3			—			—				10			95
Individually evaluated for impairment:
Loan balance	$	96		$	—		$	—		$	—		$	16		$	—		$	—			$	—		$	112
Allowance for loan losses	10			—			—			—			—			—			—				—			10
Collectively evaluated for impairment:
Loan balance	$	1,356		$	5,192		$	4,574		$	662		$	15,563		$	549		$	12,849		(a)	$	11,539		$	52,284
Allowance for loan losses	13			57			8			4			17			14			—				23			136

(a)	Includes $1,575 million of domestic overdrafts, $10,152 million of margin loans and $1,122 million of other loans at June 30, 2019.

Allowance for credit losses activity for the six months ended June 30, 2020													Wealth management loans and mortgages			Other residential mortgages			Foreign			Total
(in millions)	Commercial			Commercial real estate			Financial institutions			Lease financings
Balance at Dec. 31, 2019	$	60		$	76		$	20		$	3		$	20		$	13		$	24		$	216
Impact of adopting ASU 2016-13	(43		)	14			(6		)	—			(12		)	2			(24		)	(69		)
Balance at Jan. 1, 2020	17			90			14			3			8			15			—			147
Charge-offs	—			—			—			—			—			—			—			—
Recoveries	—			—			—			—			—			3			—			3
Net recoveries	—			—			—			—			—			3			—			3
Provision	23			282			2			—			3			(6		)	—			304
Ending balance	$	40		$	372		$	16		$	3		$	11		$	12		$	—		$	454

Allowance for credit losses activity for the six months ended June 30, 2019													Wealth management loans and mortgages			Other residential mortgages			All other			Foreign			Total
(in millions)	Commercial			Commercial real estate			Financial institutions			Lease financings
Beginning balance	$	81		$	75		$	22		$	5		$	21		$	16		$	—		$	32		$	252
Charge-offs	(11		)	—			—			—			(1		)	—			—			—			(12		)
Recoveries	—			—			—			—			—			2			—			—			2
Net (charge-offs) recoveries	(11		)	—			—			—			(1		)	2			—			—			(10		)
Provision	7			(3		)	(1		)	(1		)	—			(4		)	—			1			(1		)
Ending balance	$	77		$	72		$	21		$	4		$	20		$	14		$	—		$	33		$	241

---

Nonperforming assets

The table below presents our nonperforming assets. 

Nonperforming assets	June 30, 2020									Dec. 31, 2019
	Recorded investment
	With an allowance			Without an allowance
(in millions)							Total
Nonperforming loans:
Other residential mortgages	$	58		$	—		$	58		$	62
Wealth management loans and mortgages	10			18			28			24
Total nonperforming loans	68			18			86			86
Other assets owned	—			2			2			3
Total nonperforming assets	$	68		$	20		$	88		$	89

At June 30, 2020, undrawn commitments to borrowers whose loans were classified as nonaccrual or reduced rate were not material.

Past due loans

The table below presents our past due loans. 

Past due loans and still accruing interest	June 30, 2020													Dec. 31, 2019
	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 and mortgages	$	31		$	6		$	—		$	37			$	22		$	5		$	—		$	27
Other residential mortgages	5			1			—			6				8			3			—			11
Financial institutions	—			—			—			—				1			30			—			31
Commercial real estate	—			—			—			—				6			12			—			18
Total past due loans	$	36		$	7		$	—		$	43			$	37		$	50		$	—		$	87

 

---

The table below provides information about the credit profile of the loan portfolio by the period of origination.

Credit profile of the loan portfolio																			June 30, 2020
																			Revolving loans
	Originated, at amortized cost																		Amortized cost			Converted to term loans - Amortized cost						Accrued interest receivable
(in millions)	YTD20			2019			2018			2017			2016			Prior to 2016									Total (a)
Commercial:
Investment grade	$	107		$	213		$	106		$	554		$	57		$	—		$	1,054		$	—		$	2,091
Non-investment grade	40			69			12			—			3			—			230			—			354
Total commercial	147			282			118			554			60			—			1,284			—			2,445			$	3
Commercial real estate:
Investment grade	500			1,212			806			550			431			422			292			—			4,213
Non-investment grade	77			410			459			179			421			212			228			29			2,015
Total commercial real estate	577			1,622			1,265			729			852			634			520			29			6,228			8
Financial institutions:
Investment grade	27			247			133			125			14			181			7,934			—			8,661
Non-investment grade	53			29			—			—			—			—			2,010			—			2,092
Total financial institutions	80			276			133			125			14			181			9,944			—			10,753			25
Wealth management loans and mortgages:
Investment grade	34			81			12			171			56			85			6,877			—			7,316
Non-investment grade	—			—			—			—			—			35			79			—			114
Wealth management mortgages	491			1,126			719			1,360			1,736			2,976			37			—			8,445
Total wealth management loans and mortgages	525			1,207			731			1,531			1,792			3,096			6,993			—			15,875			27
Lease financings	45			20			20			12			29			902			—			—			1,028			—
Other residential mortgages	—			—			—			—			—			450			—			—			450			2
Other loans	—			—			—			—			—			—			1,530			—			1,530			1
Margin loans	2,552			1,000			—			—			—			—			9,357			—			12,909			11
Total loans	$	3,926		$	4,407		$	2,267		$	2,951		$	2,747		$	5,263		$	29,628		$	29		$	51,218		$	77

(a)	Excludes overdrafts of $4,179 million. Overdrafts occur on a daily basis primarily in the custody and securities clearance business and are generally repaid within two business days.

---

---

Goodwill

The tables below provide a breakdown of goodwill by business.

Goodwill by business (in millions)	Investment Services			Investment and Wealth Management			Other			Consolidated
Balance at Dec. 31, 2019	$	8,332		$	9,007		$	47		$	17,386
Foreign currency translation	(24		)	(109		)	—			(133		)
Other (a)	47			—			(47		)	—
Balance at June 30, 2020	$	8,355		$	8,898		$	—		$	17,253

(a)	Reflects the transfer of goodwill associated with the Capital Markets business.

Goodwill by business (in millions)	Investment Services			Investment and Wealth Management			Other			Consolidated
Balance at Dec. 31, 2018	$	8,333		$	8,970		$	47		$	17,350
Foreign currency translation	(6		)	(7		)	—			(13		)
Balance at June 30, 2019	$	8,327		$	8,963		$	47		$	17,337

Intangible assets

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

Intangible assets – net carrying amount by business (in millions)	Investment Services			Investment and Wealth Management			Other			Consolidated
Balance at Dec. 31, 2019	$	678		$	1,580		$	849		$	3,107
Amortization	(36		)	(16		)	—			(52		)
Foreign currency translation	—			(10		)	—			(10		)
Balance at June 30, 2020	$	642		$	1,554		$	849		$	3,045

Intangible assets – net carrying amount by business (in millions)	Investment Services			Investment and Wealth Management			Other			Consolidated
Balance at Dec. 31, 2018	$	758		$	1,613		$	849		$	3,220
Amortization	(41		)	(18		)	—			(59		)
Foreign currency translation	—			(1		)	—			(1		)
Balance at June 30, 2019	$	717		$	1,594		$	849		$	3,160

---

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

Intangible assets	June 30, 2020											Dec. 31, 2019
(in millions)	Gross carrying amount			Accumulated amortization			Net carrying amount			Remaining weighted- average amortization period		Gross carrying amount			Accumulated amortization			Net carrying amount
Subject to amortization: (a)
Customer contracts—Investment Services	$	1,514		$	(1,244	)	$	270		10 years		$	1,520		$	(1,214	)	$	306
Customer relationships—Investment and Wealth Management	709			(554		)	155			10 years		712			(544		)	168
Other	64			(19		)	45			14 years		64			(16		)	48
Total subject to amortization	2,287			(1,817		)	470			10 years		2,296			(1,774		)	522
Not subject to amortization: (b)
Tradenames	1,291			N/A			1,291			N/A		1,293			N/A			1,293
Customer relationships	1,284			N/A			1,284			N/A		1,292			N/A			1,292
Total not subject to amortization	2,575			N/A			2,575			N/A		2,585			N/A			2,585
Total intangible assets	$	4,862		$	(1,817	)	$	3,045		N/A		$	4,881		$	(1,774	)	$	3,107

(a)	Excludes fully amortized intangible assets.

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

---

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

Investments valued using NAV	June 30, 2020								Dec. 31, 2019
(in millions)	Fair value			Unfunded  commitments					Fair value			Unfunded commitments
Seed capital (a)	$	56			$	12			$	59			$	—
Private equity investments (SBICs) (b)	91				58				89				55
Other (c)	40				—				33				—
Total	$	187			$	70			$	181			$	55

(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 six to 11 years at June 30, 2020 and lives of six years at Dec. 31, 2019, are liquidated.

(b)	Private equity investments include Volcker Rule-compliant investments in SBICs that invest in various sectors of the economy. Private equity investments do not have redemption rights. Distributions from such investments will be received as the underlying investments in the private equity investments, which have a life of 10 years, are liquidated.

(c)	Primarily includes investments in funds that relate to deferred compensation arrangements with employees. Investments in funds can be redeemed on a monthly to quarterly basis with redemption notice periods of up to 95 days.

---

Disaggregation of contract revenue by business segment
	Quarter ended
	June 30, 2020													March 31, 2020													June 30, 2019 (a)
(in millions)	IS			IWM			Other			Total				IS			IWM			Other			Total				IS			IWM			Other			Total
Fee revenue - contract revenue:
Investment services fees:
Asset servicing fees	$	1,147		$	25		$	(15	)	$	1,157			$	1,127		$	23		$	(11	)	$	1,139			$	1,095		$	20		$	(6	)	$	1,109
Clearing services fees	431			—			—			431				470			—			—			470				411			—			(1		)	410
Issuer services fees	277			—			—			277				263			—			—			263				291			—			—			291
Treasury services fees	144			—			1			145				149			—			—			149				140			1			—			141
Total investment services fees	1,999			25			(14		)	2,010				2,009			23			(11		)	2,021				1,937			21			(7		)	1,951
Investment management and performance fees	4			792			(5		)	791				5			862			(4		)	863				4			833			(4		)	833
Financing-related fees	23			1			—			24				28			—			—			28				16			—			1			17
Distribution and servicing	(7		)	34			—			27				(12		)	43			—			31				(13		)	44			—			31
Investment and other income	62			(41		)	3			24				72			(50		)	—			22				69			(48		)	—			21
Total fee revenue - contract revenue	2,081			811			(16		)	2,876				2,102			878			(15		)	2,965				2,013			850			(10		)	2,853
Fee and other revenue - not in scope of Accounting Standards Codification (“ASC”) 606 (b)(c)	258			27			54			339				334			(32		)	45			347				220			4			41			265
Total fee and other revenue	$	2,339		$	838		$	38		$	3,215			$	2,436		$	846		$	30		$	3,312			$	2,233		$	854		$	31		$	3,118

(a)	Restated to reflect the first quarter 2020 business segment reclassifications. There was no impact on total revenue, by type or in aggregate.

(b)	Primarily includes foreign exchange and other trading revenue, investment and other income (loss), financing-related fees, asset servicing fees, net securities gains (losses), all of which are accounted for using other accounting guidance.

(c)	The Investment and Wealth Management business includes income (loss) from consolidated investment management funds, net of noncontrolling interests, of $39 million in the second quarter of 2020, $(20) million in the first quarter of 2020 and $6 million in the second quarter of 2019.

IS - Investment Services segment.

IWM - Investment and Wealth Management segment.

---

Disaggregation of contract revenue by business segment	Year-to-date
	June 30, 2020													June 30, 2019 (a)
(in millions)	IS			IWM			Other			Total				IS			IWM			Other			Total
Fee revenue - contract revenue:
Investment services fees:
Asset servicing fees	$	2,274		$	48		$	(26	)	$	2,296			$	2,176		$	40		$	(14	)	$	2,202
Clearing services fees	901			—			—			901				809			—			(1		)	808
Issuer services fees	540			—			—			540				542			—			—			542
Treasury services fees	293			—			1			294				272			1			—			273
Total investment services fees	4,008			48			(25		)	4,031				3,799			41			(15		)	3,825
Investment management and performance fees	9			1,654			(9		)	1,654				8			1,674			(8		)	1,674
Financing-related fees	51			1			—			52				33			—			1			34
Distribution and servicing	(19		)	77			—			58				(27		)	89			—			62
Investment and other income	134			(91		)	3			46				138			(97		)	—			41
Total fee revenue - contract revenue	4,183			1,689			(31		)	5,841				3,951			1,707			(22		)	5,636
Fee and other revenue - not in scope of ASC 606 (b)(c)	592			(5		)	99			686				443			16			71			530
Total fee and other revenue	$	4,775		$	1,684		$	68		$	6,527			$	4,394		$	1,723		$	49		$	6,166

(a)	Restated to reflect the first quarter 2020 business segment reclassifications. There was no impact on total revenue, by type or in aggregate.

(b)	Primarily includes foreign exchange and other trading revenue, investment and other income (loss), financing-related fees, asset servicing fees, net securities gains (losses), all of which are accounted for using other accounting guidance.

(c)	The Investment and Wealth Management business includes income from consolidated investment management funds, net of noncontrolling interests, of $19 million in the first six months of 2020 and $22 million in the first six months of 2019.

IS - Investment Services segment.

IWM - Investment and Wealth Management segment.

---

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

Net interest revenue	Quarter ended										Year-to-date
(in millions)	June 30, 2020			March 31, 2020			June 30, 2019				June 30, 2020			June 30, 2019
Interest revenue
Deposits with the Federal Reserve and other central banks	$	(7	)	$	80		$	113			$	73		$	252
Deposits with banks	40			58			64				98			127
Federal funds sold and securities purchased under resale agreements	61			396			568				457			1,042
Margin loans	40			87			119				127			254
Non-margin loans	230			309			365				539			720
Securities:
Taxable	556			594			687				1,150			1,393
Exempt from federal income taxes	6			6			10				12			22
Total securities	562			600			697				1,162			1,415
Trading securities	17			40			39				57			75
Total interest revenue	943			1,570			1,965				2,513			3,885
Interest expense
Deposits	(17		)	240			432				223			823
Federal funds purchased and securities sold under repurchase agreements	1			275			372				276			703
Trading liabilities	2			7			11				9			18
Other borrowed funds	7			4			20				11			44
Commercial paper	1			6			18				7			26
Customer payables	(1		)	30			69				29			139
Long-term debt	170			194			241				364			489
Total interest expense	163			756			1,163				919			2,242
Net interest revenue	780			814			802				1,594			1,643
Provision for credit losses	143			169			(8		)		312			(1		)
Net interest revenue after provision for credit losses	$	637		$	645		$	810			$	1,282		$	1,644

---

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
	June 30, 2020										March 31, 2020										June 30, 2019
(in millions)	Domestic pension benefits			Foreign pension benefits			Health care benefits				Domestic pension benefits			Foreign pension benefits			Health care benefits				Domestic pension benefits			Foreign pension benefits			Health care benefits
Service cost	$	—		$	3		$	—			$	—		$	3		$	—			$	—		$	3		$	—
Interest cost	39			6			1				39			7			1				45			8			1
Expected return on assets	(79		)	(9		)	(2		)		(80		)	(10		)	(1		)		(84		)	(12		)	(2		)
Other	21			3			—				22			3			(1		)		13			1			—
Net periodic benefit (credit) cost	$	(19	)	$	3		$	(1	)		$	(19	)	$	3		$	(1	)		$	(26	)	$	—		$	(1	)

Net periodic benefit (credit) cost	Year-to-date
	June 30, 2020										June 30, 2019
(in millions)	Domestic pension benefits			Foreign pension benefits			Health care benefits				Domestic pension benefits			Foreign pension benefits			Health care benefits
Service cost	$	—		$	6		$	—			$	—		$	6		$	—
Interest cost	78			13			2				89			16			3
Expected return on assets	(159		)	(19		)	(3		)		(168		)	(23		)	(4		)
Other	43			6			(1		)		26			1			(1		)
Net periodic benefit (credit) cost	$	(38	)	$	6		$	(2	)		$	(53	)	$	—		$	(2	)

---

Consolidated investments	June 30, 2020											Dec. 31, 2019
(in millions)	Investment Management funds				Securitization			Total consolidated investments				Investment Management funds				Securitization			Total consolidated investments
Trading assets	$	450			$	400		$	850			$	229			$	400		$	629
Other assets	10				—			10				16				—			16
Total assets	$	460		(a)	$	400		$	860			$	245		(b)	$	400		$	645
Other liabilities	$	4			$	399		$	403			$	1			$	387		$	388
Total liabilities	$	4		(a)	$	399		$	403			$	1		(b)	$	387		$	388
Nonredeemable noncontrolling interests	$	112		(a)	$	—		$	112			$	102		(b)	$	—		$	102

 

(a)	Includes voting model entities (“VMEs”) with assets of $283 million, liabilities of $1 million and nonredeemable noncontrolling interests of $37 million.

(b)	Includes VMEs with assets of $50 million, liabilities of $1 million and nonredeemable noncontrolling interests of $1 million.

Non-consolidated VIEs	June 30, 2020										Dec. 31, 2019
(in millions)	Assets			Liabilities			Maximum loss exposure				Assets			Liabilities			Maximum loss exposure
Securities - Available-for-sale (a)	$	199		$	—		$	199			$	208		$	—		$	208
Other	2,237			363			2,609				2,400			422			2,822

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

---

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 June 30, 2020 and Dec. 31, 2019.

Preferred stock summary (a)		Total shares issued and outstanding					Carrying value (b)
							(in millions)
		June 30, 2020		Dec. 31, 2019			June 30, 2020			Dec. 31, 2019
	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 C	5.2%	5,825		5,825			568			568
Series D	4.50% to but excluding June 20, 2023, then a floating rate equal to the three-month LIBOR plus 2.46%	5,000		5,000			494			494
Series E	4.95% to but excluding June 20, 2020, then a floating rate equal to the three-month LIBOR plus 3.42%	10,000		10,000			990			990
Series F	4.625% to but excluding Sept. 20, 2026, then a floating rate equal to the three-month LIBOR plus 3.131%	10,000		10,000			990			990
Series G	4.70% to but excluding Sept. 20, 2025, then a floating rate equal to the five-year treasury rate plus 4.358%	10,000		—			990			—
Total		45,826		35,826			$	4,532		$	3,542

(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 C, Series D, Series E, Series F and Series G preferred stock is recorded net of issuance costs.

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

Preferred dividends paid
(dollars in millions, except per share amounts)		Depositary shares per share				2Q20							1Q20							2Q19							YTD20							YTD19
						Per share			Total dividend				Per share			Total dividend				Per share			Total dividend				Per share			Total dividend				Per share			Total dividend
Series A		100		(a)		$	1,022.22		$	5			$	1,011.11		$	5			$	1,022.22		$	5			$	2,033.33		$	10			$	2,022.22		$	10
Series C		4,000				1,300.00			8				1,300.00			8				1,300.00			7				2,600.00			16				2,600.00			15
Series D		100				2,250.00			11				N/A			—				2,250.00			11				2,250.00			11				2,250.00			11
Series E		100				2,475.00			25				N/A			—				2,475.00			25				2,475.00			25				2,475.00			25
Series F		100				N/A			—				2,312.50			23				N/A			—				2,312.50			23				2,312.50			23
Total									$	49						$	36						$	48						$	85						$	84

(a)	Represents Normal Preferred Capital Securities.

N/A - Not applicable.

For additional information on the preferred stock, see Note 15 of the Notes to Consolidated Financial Statements in our 2019 Annual Report.

---

Components of other comprehensive income (loss)	Quarter ended
	June 30, 2020										March 31, 2020										June 30, 2019
(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)	$	104		$	11		$	115			$	(265	)	$	(104	)	$	(369	)		$	29		$	(19	)	$	10
Total foreign currency translation	104			11			115				(265		)	(104		)	(369		)		29			(19		)	10
Unrealized gain (loss) on assets available-for-sale:
Unrealized gain (loss) arising during period	989			(236		)	753				243			(60		)	183				384			(97		)	287
Reclassification adjustment (b)	(9		)	2			(7		)		(9		)	2			(7		)		(7		)	2			(5		)
Net unrealized gain (loss) on assets available-for-sale	980			(234		)	746				234			(58		)	176				377			(95		)	282
Defined benefit plans:
Amortization of prior service credit, net loss and initial obligation included in net periodic benefit cost (b)	24			(5		)	19				24			(6		)	18				12			(2		)	10
Total defined benefit plans	24			(5		)	19				24			(6		)	18				12			(2		)	10
Unrealized gain (loss) on cash flow hedges:
Unrealized hedge gain (loss) arising during period	3			(1		)	2				(13		)	3			(10		)		2			(2		)	—
Reclassification of net (gain) loss to net income:
Foreign exchange (“FX”) contracts - staff expense	3			(1		)	2				(1		)	—			(1		)		—			—			—
Total reclassifications to net income	3			(1		)	2				(1		)	—			(1		)		—			—			—
Net unrealized gain (loss) on cash flow hedges	6			(2		)	4				(14		)	3			(11		)		2			(2		)	—
Total other comprehensive income (loss)	$	1,114		$	(230	)	$	884			$	(21	)	$	(165	)	$	(186	)		$	420		$	(118	)	$	302

(a)	Includes the impact of hedges of net investments in foreign subsidiaries. See Note 17 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 staff expense on the consolidated income statement.

Components of other comprehensive income (loss)	Year-to-date
	June 30, 2020										June 30, 2019
(in millions)	Pre-tax amount			Tax (expense) benefit			After-tax amount				Pre-tax amount			Tax (expense) benefit			After-tax amount
Foreign currency translation:
Foreign currency translation adjustments arising during the period (a)	$	(161	)	$	(93	)	$	(254	)		$	56		$	(17	)	$	39
Total foreign currency translation	(161		)	(93		)	(254		)		56			(17		)	39
Unrealized gain (loss) on assets available-for-sale:
Unrealized gain (loss) arising during period	1,232			(296		)	936				706			(180		)	526
Reclassification adjustment (b)	(18		)	4			(14		)		(8		)	2			(6		)
Net unrealized gain (loss) on assets available-for-sale	1,214			(292		)	922				698			(178		)	520
Defined benefit plans:
Net gain (loss) arising during the period	—			—			—				(11		)	2			(9		)
Amortization of prior service credit, net loss and initial obligation included in net periodic benefit cost (b)	48			(11		)	37				25			(5		)	20
Total defined benefit plans	48			(11		)	37				14			(3		)	11
Unrealized (loss) gain on cash flow hedges:
Unrealized hedge (loss) gain arising during period	(10		)	2			(8		)		8			(6		)	2
Reclassification of net loss (gain) to net income:
FX contracts - staff expense	2			(1		)	1				1			2			3
Total reclassifications to net income	2			(1		)	1				1			2			3
Net unrealized (loss) gain on cash flow hedges	(8		)	1			(7		)		9			(4		)	5
Total other comprehensive income (loss)	$	1,093		$	(395	)	$	698			$	777		$	(202	)	$	575

(a)	Includes the impact of hedges of net investments in foreign subsidiaries. See Note 17 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 staff expense on the consolidated income statement.

---

Assets measured at fair value on a recurring basis at June 30, 2020													Total carrying value
(dollars in millions)	Level 1			Level 2			Level 3			Netting (a)
Available-for-sale securities:
Agency RMBS	$	—		$	26,437		$	—		$	—		$	26,437
U.S. Treasury	25,137			—			—			—			25,137
Sovereign debt/sovereign guaranteed	8,570			7,317			—			—			15,887
Agency commercial MBS	—			9,988			—			—			9,988
Foreign covered bonds	—			5,519			—			—			5,519
Supranational	—			5,448			—			—			5,448
CLOs	—			4,432			—			—			4,432
Foreign government agencies	—			3,578			—			—			3,578
U.S. government agencies	—			2,806			—			—			2,806
Other ABS	—			2,743			—			—			2,743
Non-agency commercial MBS	—			2,630			—			—			2,630
Commercial paper/CDs	—			1,853			—			—			1,853
Non-agency RMBS (b)	—			1,598			—			—			1,598
State and political subdivisions	—			1,179			—			—			1,179
Corporate bonds	—			831			—			—			831
Other debt securities	—			1			—			—			1
Total available-for-sale securities	33,707			76,360			—			—			110,067
Trading assets:
Debt instruments	4,782			2,775			—			—			7,557
Equity instruments (c)	2,397			—			—			—			2,397
Derivative assets not designated as hedging:
Interest rate	5			5,496			—			(2,436		)	3,065
Foreign exchange	—			4,322			—			(3,204		)	1,118
Equity and other contracts	2			11			—			—			13
Total derivative assets not designated as hedging	7			9,829			—			(5,640		)	4,196
Total trading assets	7,186			12,604			—			(5,640		)	14,150
Other assets:
Derivative assets designated as hedging:
Foreign exchange	—			137			—			—			137
Total derivative assets designated as hedging	—			137			—			—			137
Other assets (d)	52			153			—			—			205
Assets measured at NAV (d)													187
Subtotal assets of operations at fair value	40,945			89,254			—			(5,640		)	124,746
Percentage of assets of operations prior to netting	31		%	69		%	—		%
Assets of consolidated investment management funds	416			44			—			—			460
Total assets	$	41,361		$	89,298		$	—		$	(5,640	)	$	125,206
Percentage of total assets prior to netting	32		%	68		%	—		%

---

Liabilities measured at fair value on a recurring basis at June 30, 2020													Total carrying value
(dollars in millions)	Level 1			Level 2			Level 3			Netting (a)
Trading liabilities:
Debt instruments	$	2,589		$	75		$	—		$	—		$	2,664
Equity instruments	20			—			—			—			20
Derivative liabilities not designated as hedging:
Interest rate	7			4,661			—			(2,680		)	1,988
Foreign exchange	—			4,036			—			(3,134		)	902
Equity and other contracts	1			23			—			(3		)	21
Total derivative liabilities not designated as hedging	8			8,720			—			(5,817		)	2,911
Total trading liabilities	2,617			8,795			—			(5,817		)	5,595
Long-term debt (c)	—			399			—			—			399
Other liabilities – derivative liabilities designated as hedging:
Interest rate	—			915			—			—			915
Foreign exchange	—			49			—			—			49
Total other liabilities – derivative liabilities designated as hedging	—			964			—			—			964
Subtotal liabilities of operations at fair value	2,617			10,158			—			(5,817		)	6,958
Percentage of liabilities of operations prior to netting	20		%	80		%	—		%
Liabilities of consolidated investment management funds	—			4			—			—			4
Total liabilities	$	2,617		$	10,162		$	—		$	(5,817	)	$	6,962
Percentage of total liabilities prior to netting	20		%	80		%	—		%

(a)

ASC 815, Derivatives and Hedging, permits the netting of derivative receivables and derivative payables under legally enforceable master netting agreements and permits the netting of cash collateral. Netting is applicable to derivatives not designated as hedging instruments included in trading assets or trading liabilities and derivatives designated as hedging instruments included in other assets or other liabilities. Netting is allocated to the derivative products based on the net fair value of each product.

(b)	Includes $538 million in Level 2 that was included in the former Grantor Trust.

(c)	Includes certain interests in securitizations.

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

---

Assets measured at fair value on a recurring basis at Dec. 31, 2019													Total carrying value
(dollars in millions)	Level 1			Level 2			Level 3			Netting (a)
Available-for-sale securities:
Agency RMBS	$	—		$	27,043		$	—		$	—		$	27,043
U.S. Treasury	15,431			—			—			—			15,431
Sovereign debt/sovereign guaranteed	7,784			4,862			—			—			12,646
Agency commercial MBS	—			9,417			—			—			9,417
Foreign covered bonds	—			4,197			—			—			4,197
CLOs	—			4,063			—			—			4,063
Supranational	—			3,709			—			—			3,709
Foreign government agencies	—			2,643			—			—			2,643
Non-agency commercial MBS	—			2,178			—			—			2,178
Other ABS	—			2,143			—			—			2,143
U.S. government agencies	—			1,949			—			—			1,949
Non-agency RMBS (b)	—			1,233			—			—			1,233
State and political subdivisions	—			1,044			—			—			1,044
Corporate bonds	—			853			—			—			853
Other debt securities	—			1			—			—			1
Total available-for-sale securities	23,215			65,335			—			—			88,550
Trading assets:
Debt instruments	1,568			4,243			—			—			5,811
Equity instruments (c)	4,539			—			—			—			4,539
Derivative assets not designated as hedging:
Interest rate	4			3,686			—			(1,792		)	1,898
Foreign exchange	—			5,331			—			(4,021		)	1,310
Equity and other contracts	—			19			—			(6		)	13
Total derivative assets not designated as hedging	4			9,036			—			(5,819		)	3,221
Total trading assets	6,111			13,279			—			(5,819		)	13,571
Other assets:
Derivative assets designated as hedging:
Foreign exchange	—			21			—			—			21
Total derivative assets designated as hedging	—			21			—			—			21
Other assets (d)	38			179			—			—			217
Assets measured at NAV (d)													181
Subtotal assets of operations at fair value	29,364			78,814			—			(5,819		)	102,540
Percentage of assets of operations prior to netting	27		%	73		%	—		%
Assets of consolidated investment management funds	212			33			—			—			245
Total assets	$	29,576		$	78,847		$	—		$	(5,819	)	$	102,785
Percentage of total assets prior to netting	27		%	73		%	—		%

---

Liabilities measured at fair value on a recurring basis at Dec. 31, 2019													Total carrying value
(dollars in millions)	Level 1			Level 2			Level 3			Netting (a)
Trading liabilities:
Debt instruments	$	1,477		$	107		$	—		$	—		$	1,584
Equity instruments	73			—			—			—			73
Derivative liabilities not designated as hedging:
Interest rate	6			3,244			—			(1,986		)	1,264
Foreign exchange	—			5,340			—			(3,428		)	1,912
Equity and other contracts	3			6			—			(1		)	8
Total derivative liabilities not designated as hedging	9			8,590			—			(5,415		)	3,184
Total trading liabilities	1,559			8,697			—			(5,415		)	4,841
Long-term debt (c)	—			387			—			—			387
Other liabilities – derivative liabilities designated as hedging:
Interest rate	—			350			—			—			350
Foreign exchange	—			257			—			—			257
Total other liabilities – derivative liabilities designated as hedging	—			607			—			—			607
Subtotal liabilities of operations at fair value	1,559			9,691			—			(5,415		)	5,835
Percentage of liabilities of operations prior to netting	14		%	86		%	—		%
Liabilities of consolidated investment management funds	1			—			—			—			1
Total liabilities	$	1,560		$	9,691		$	—		$	(5,415	)	$	5,836
Percentage of total liabilities prior to netting	14		%	86		%	—		%

(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 $640 million in Level 2 that was included in the former Grantor Trust.

(c)	Includes certain interests in securitizations.

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

---

Details of certain available-for-sale securities measured at fair value on a recurring basis	June 30, 2020													Dec. 31, 2019
	Total carrying value				Ratings (a)									Total carrying value				Ratings (a)
					AAA/ AA-		A+/ A-		BBB+/ BBB-		BB+ and lower							AAA/ AA-		A+/ A-		BBB+/ BBB-		BB+ and lower
(dollars in millions)				(b)													(b)
Non-agency RMBS (c), originated in:
2007-2020	$	938			82	%	1	%	—	%	17	%		$	464			55	%	1	%	—	%	44	%
2006	250				—		22		—		78			291				—		21		—		79
2005	262				5		2		7		86			305				5		2		8		85
2004 and earlier	148				21		22		8		49			173				22		24		4		50
Total non-agency RMBS	$	1,598			51	%	6	%	2	%	41	%		$	1,233			25	%	9	%	3	%	63	%
Non-agency commercial MBS originated in:
2009-2020	$	2,630			100	%	—	%	—	%	—	%		$	2,178			98	%	2	%	—	%	—	%
Foreign covered bonds:
Canada	$	2,241			100	%	—	%	—	%	—	%		$	1,798			100	%	—	%	—	%	—	%
UK	1,093				100		—		—		—			984				100		—		—		—
Australia	750				100		—		—		—			431				100		—		—		—
Norway	533				100		—		—		—			287				100		—		—		—
Germany	407				100		—		—		—			357				100		—		—		—
Other	495				100		—		—		—			340				100		—		—		—
Total foreign covered bonds	$	5,519			100	%	—	%	—	%	—	%		$	4,197			100	%	—	%	—	%	—	%
Sovereign debt/sovereign guaranteed:
UK	$	3,773			100	%	—	%	—	%	—	%		$	3,318			100	%	—	%	—	%	—	%
Germany	2,346				100		—		—		—			1,997				100		—		—		—
France	2,238				100		—		—		—			1,272				100		—		—		—
Spain	1,961				—		4		96		—			1,453				—		6		94		—
Italy	1,069				—		—		100		—			1,260				—		—		100		—
Singapore	931				100		—		—		—			742				100		—		—		—
Ireland	676				29		71		—		—			301				—		100		—		—
Netherlands	564				100		—		—		—			791				100		—		—		—
Canada	502				100		—		—		—			271				100		—		—		—
Japan	434				—		100		—		—			274				—		100		—		—
Belgium	411				100		—		—		—			79				100		—		—		—
Austria	331				100		—		—		—			240				100		—		—		—
Hong Kong	330				100		—		—		—			411				100		—		—		—
Other (d)	321				45		—		21		34			237				39		4		—		57
Total sovereign debt/sovereign guaranteed	$	15,887			74	%	6	%	19	%	1	%		$	12,646			73	%	5	%	21	%	1	%
Foreign government agencies:
Germany	$	1,398			100	%	—	%	—	%	—	%		$	1,131			100	%	—	%	—	%	—	%
Netherlands	730				100		—		—		—			678				100		—		—		—
Canada	321				62		38		—		—			71				—		100		—		—
France	281				100		—		—		—			42				100		—		—		—
Sweden	276				100		—		—		—			202				100		—		—		—
Finland	241				100		—		—		—			245				100		—		—		—
Other	331				84		16		—		—			274				79		21		—		—
Total foreign government agencies	$	3,578			95	%	5	%	—	%	—	%		$	2,643			95	%	5	%	—	%	—	%

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

(b)	At June 30, 2020 and Dec. 31, 2019, 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 $538 million at June 30, 2020 and $640 million at Dec. 31, 2019 that were included in the former Grantor Trust.

(d)	Includes non-investment grade sovereign debt/sovereign guaranteed securities related to Brazil of $109 million at June 30, 2020 and $134 million at Dec. 31, 2019.

---

The following table presents the financial instruments carried on the consolidated balance sheet by caption and level in the fair value hierarchy as of June 30, 2020 and Dec. 31, 2019.

Assets measured at fair value on a nonrecurring basis	June 30, 2020													Dec. 31, 2019
										Total carrying value													Total carrying value
(in millions)	Level 1			Level 2			Level 3							Level 1			Level 2			Level 3
Loans (a)	$	—		$	53		$	—		$	53			$	—		$	58		$	—		$	58
Other assets (b)	—			107			—			107				—			64			—			64
Total assets at fair value on a nonrecurring basis	$	—		$	160		$	—		$	160			$	—		$	122		$	—		$	122

 

(a)	The fair value of these loans decreased less than $1 million in the second quarter of 2020 and the fourth quarter of 2019, 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 June 30, 2020 and Dec. 31, 2019, by caption on the consolidated balance sheet and by the valuation hierarchy.

Summary of financial instruments	June 30, 2020
(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	$	—		$	112,728		$	—		$	112,728		$	112,728
Interest-bearing deposits with banks	—			18,063			—			18,063			18,045
Federal funds sold and securities purchased under resale agreements	—			36,638			—			36,638			36,638
Securities held-to-maturity	5,815			40,168			—			45,983			44,615
Loans (a)	—			54,377			—			54,377			54,067
Other financial assets	4,776			1,165			—			5,941			5,941
Total	$	10,591		$	263,139		$	—		$	273,730		$	272,034
Liabilities:
Noninterest-bearing deposits	$	—		$	78,100		$	—		$	78,100		$	78,100
Interest-bearing deposits	—			226,917			—			226,917			227,370
Federal funds purchased and securities sold under repurchase agreements	—			14,512			—			14,512			14,512
Payables to customers and broker-dealers	—			25,012			—			25,012			25,012
Commercial paper	—			665			—			665			665
Borrowings	—			1,852			—			1,852			1,852
Long-term debt	—			28,875			—			28,875			27,167
Total	$	—		$	375,933		$	—		$	375,933		$	374,678

(a)	Does not include the leasing portfolio.

---

Summary of financial instruments	Dec. 31, 2019
(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	$	—		$	95,042		$	—		$	95,042		$	95,042
Interest-bearing deposits with banks	—			14,832			—			14,832			14,811
Federal funds sold and securities purchased under resale agreements	—			30,182			—			30,182			30,182
Securities held-to-maturity	4,630			30,175			—			34,805			34,483
Loans (a)	—			54,194			—			54,194			53,718
Other financial assets	4,830			1,233			—			6,063			6,063
Total	$	9,460		$	225,658		$	—		$	235,118		$	234,299
Liabilities:
Noninterest-bearing deposits	$	—		$	57,630		$	—		$	57,630		$	57,630
Interest-bearing deposits	—			200,846			—			200,846			201,836
Federal funds purchased and securities sold under repurchase agreements	—			11,401			—			11,401			11,401
Payables to customers and broker-dealers	—			18,758			—			18,758			18,758
Commercial paper	—			3,959			—			3,959			3,959
Borrowings	—			917			—			917			917
Long-term debt	—			27,858			—			27,858			27,114
Total	$	—		$	321,369		$	—		$	321,369		$	321,615

(a)	Does not include the leasing portfolio.

---

---

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)	2Q20			1Q20			2Q19			YTD20			YTD19
Interest rate fair value hedges of available-for-sale securities
Derivative	Interest revenue	$	19		$	(1,033	)	$	(486	)	$	(1,014	)	$	(869	)
Hedged item	Interest revenue	(15		)	1,011			480			996			856
Interest rate fair value hedges of long-term debt
Derivative	Interest expense	47			714			300			761			485
Hedged item	Interest expense	(49		)	(708		)	(298		)	(757		)	(482		)
Foreign exchange fair value hedges of available-for-sale securities
Derivative (a)	Other revenue	5			7			(5		)	12			1
Hedged item	Other revenue	(5		)	(7		)	5			(12		)	—
Cash flow hedges of forecasted FX exposures
(Loss) gain reclassified from OCI into income	Staff expense	(3		)	1			—			(2		)	(1		)
(Loss) recognized in the consolidated income statement due to fair value and cash flow hedging relationships		$	(1	)	$	(15	)	$	(4	)	$	(16	)	$	(10	)

(a)

Includes gains of less than $1 million in the second quarter of 2020 and first quarter of 2020, a de minimis gain in the second quarter of 2019, a gain of less than $1 million in the first six months of 2020 and a gain of $1 million in the first six months of 2019 associated with the amortization of the excluded component. At June 30, 2020 and Dec. 31, 2019, 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
	2Q20			1Q20			2Q19			YTD20			YTD19					2Q20			1Q20			2Q19			YTD20			YTD19
FX contracts	$	(45	)	$	437		$	76		$	392		$	70			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)	June 30, 2020			Dec. 31, 2019				June 30, 2020			Dec. 31, 2019
Available-for-sale securities (b)(c)	$	13,952		$	13,792			$	1,817		$	687
Long-term debt	$	14,956		$	13,945			$	919		$	116

(a)	Includes $196 million and $53 million of basis adjustment increases on discontinued hedges associated with available-for-sale securities at June 30, 2020 and Dec. 31, 2019, respectively, and $156 million and $200 million of basis adjustment decreases on discontinued hedges associated with long-term debt at June 30, 2020 and Dec. 31, 2019, 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 $131 million at June 30, 2020 and $142 million at Dec. 31, 2019.

(c)	Carrying amount represents the amortized cost.

---

The following table summarizes the notional amount and carrying values of our total derivative portfolio at June 30, 2020 and Dec. 31, 2019.

Impact of derivative instruments on the balance sheet	Notional value							Asset derivatives fair value							Liability derivatives fair value
	June 30, 2020			Dec. 31, 2019				June 30, 2020			Dec. 31, 2019				June 30, 2020			Dec. 31, 2019
(in millions)
Derivatives designated as hedging instruments: (a)(b)
Interest rate contracts	$	27,775		$	28,365			$	—		$	—			$	915		$	350
Foreign exchange contracts	8,040			8,390				137			21				49			257
Total derivatives designated as hedging instruments								$	137		$	21			$	964		$	607
Derivatives not designated as hedging instruments: (b)(c)
Interest rate contracts	$	217,613		$	306,790			$	5,501		$	3,690			$	4,668		$	3,250
Foreign exchange contracts	781,991			848,961				4,322			5,331				4,036			5,340
Equity contracts	1,657			3,189				13			19				22			5
Credit contracts	165			165				—			—				2			4
Total derivatives not designated as hedging instruments								$	9,836		$	9,040			$	8,728		$	8,599
Total derivatives fair value (d)								$	9,973		$	9,061			$	9,692		$	9,206
Effect of master netting agreements (e)								(5,640		)	(5,819		)		(5,817		)	(5,415		)
Fair value after effect of master netting agreements								$	4,333		$	3,242			$	3,875		$	3,791

(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 $869 million and $1,046 million, respectively, at June 30, 2020, and $1,022 million and $618 million, respectively, at Dec. 31, 2019.

---

---

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 June 30, 2020
	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	$	3,549		$	2,436			$	1,113		$	384		$	—		$	729
Foreign exchange contracts	4,026			3,204				822			7			—			815
Equity and other contracts	9			—				9			1			—			8
Total derivatives subject to netting arrangements	7,584			5,640				1,944			392			—			1,552
Total derivatives not subject to netting arrangements	2,389			—				2,389			—			—			2,389
Total derivatives	9,973			5,640				4,333			392			—			3,941
Reverse repurchase agreements	72,781			48,615			(b)	24,166			24,140			—			26
Securities borrowing	12,472			—				12,472			11,843			—			629
Total	$	95,226		$	54,255			$	40,971		$	36,375		$	—		$	4,596

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

(a)	Includes the effect of netting agreements and net cash collateral received. The offset related to the OTC derivatives was allocated to the various types of derivatives based on the net positions.

(b)	Offsetting of reverse repurchase agreements relates to our involvement in the FICC, where we settle government securities transactions on a net basis for payment and delivery through the Fedwire system.

---

Offsetting of derivative liabilities and financial liabilities at June 30, 2020								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	$	5,563		$	2,680			$	2,883		$	2,849		$	—		$	34
Foreign exchange contracts	3,690			3,134				556			150			—			406
Equity and other contracts	22			3				19			—			—			19
Total derivatives subject to netting arrangements	9,275			5,817				3,458			2,999			—			459
Total derivatives not subject to netting arrangements	417			—				417			—			—			417
Total derivatives	9,692			5,817				3,875			2,999			—			876
Repurchase agreements	59,794			48,615			(b)	11,179			11,175			—			4
Securities lending	982			—				982			962			—			20
Total	$	70,468		$	54,432			$	16,036		$	15,136		$	—		$	900

(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, 2019								Net liabilities recognized in the balance sheet
	Gross liabilities recognized			Gross amounts offset in the balance sheet							Gross amounts not offset in the balance sheet
(in millions)							(a)				Financial instruments			Cash collateral pledged			Net amount
Derivatives subject to netting arrangements:
Interest rate contracts	$	3,550		$	1,986			$	1,564		$	1,539		$	—		$	25
Foreign exchange contracts	4,873			3,428				1,445			74			—			1,371
Equity and other contracts	5			1				4			2			—			2
Total derivatives subject to netting arrangements	8,428			5,415				3,013			1,615			—			1,398
Total derivatives not subject to netting arrangements	778			—				778			—			—			778
Total derivatives	9,206			5,415				3,791			1,615			—			2,176
Repurchase agreements	104,451			93,794			(b)	10,657			10,657			—			—
Securities lending	718			—				718			694			—			24
Total	$	114,375		$	99,209			$	15,166		$	12,966		$	—		$	2,200

(a)	Includes the effect of netting agreements and net cash collateral paid. The offset related to the OTC derivatives was allocated to the various types of derivatives based on the net positions.

(b)	Offsetting of repurchase agreements relates to our involvement in the FICC, where we settle government securities transactions on a net basis for payment and delivery through the Fedwire system.

---

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
	June 30, 2020													Dec. 31, 2019
	Remaining contractual maturity									Total				Remaining contractual maturity									Total
(in millions)	Overnight and continuous			Up to 30 days			30 days or more							Overnight and continuous			Up to 30 days			30 days or more
Repurchase agreements:
U.S. Treasury	$	52,950		$	300		$	109		$	53,359			$	94,788		$	10		$	—		$	94,798
U.S. government agencies	642			—			—			642				594			16			—			610
Agency RMBS	1,384			—			149			1,533				4,234			774			—			5,008
Corporate bonds	195			23			1,272			1,490				266			236			1,617			2,119
Other debt securities	93			79			1,749			1,921				40			188			1,079			1,307
Equity securities	—			98			751			849				31			99			479			609
Total	$	55,264		$	500		$	4,030		$	59,794			$	99,953		$	1,323		$	3,175		$	104,451
Securities lending:
U.S. government agencies	$	21		$	—		$	—		$	21			$	19		$	—		$	—		$	19
Other debt securities	191			—			—			191				201			—			—			201
Equity securities	770			—			—			770				498			—			—			498
Total	$	982		$	—		$	—		$	982			$	718		$	—		$	—		$	718
Total secured borrowings	$	56,246		$	500		$	4,030		$	60,776			$	100,671		$	1,323		$	3,175		$	105,169

---

---

---

---

---

---

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

For the quarter ended June 30, 2020	Investment Services				Investment and Wealth Management				Other				Consolidated
(dollars in millions)
Total fee and other revenue	$	2,339			$	838		(a)	$	38			$	3,215		(a)
Net interest revenue (expense)	768				48				(36		)		780
Total revenue	3,107				886			(a)	2				3,995			(a)
Provision for credit losses	145				7				(9		)		143
Noninterest expense	1,989				658				39				2,686
Income (loss) before income taxes	$	973			$	221		(a)	$	(28	)		$	1,166		(a)
Pre-tax operating margin (b)	31		%		25		%		N/M				29		%
Average assets	$	335,288			$	30,327			$	49,744			$	415,359

(a)	Total fee and other revenue includes net income from consolidated investment management funds of $39 million, representing $54 million of income and noncontrolling interests of $15 million. Total revenue and income before income taxes are net of noncontrolling interests of $15 million.

(b)	Income before income taxes divided by total revenue.

N/M - Not meaningful.

---

For the quarter ended March 31, 2020	Investment Services				Investment and Wealth Management				Other				Consolidated
(dollars in millions)
Total fee and other revenue	$	2,436			$	846		(a)	$	30			$	3,312		(a)
Net interest revenue (expense)	806				52				(44		)		814
Total revenue (loss)	3,242				898			(a)	(14		)		4,126			(a)
Provision for credit losses	149				9				11				169
Noninterest expense	1,987				695				30				2,712
Income (loss) before income taxes	$	1,106			$	194		(a)	$	(55	)		$	1,245		(a)
Pre-tax operating margin (b)	34		%		22		%		N/M				30		%
Average assets	$	304,089			$	30,543			$	50,646			$	385,278

(a)	Total fee and other revenue includes net loss from consolidated investment management funds of $20 million, representing $38 million of losses and a loss attributable to noncontrolling interests of $18 million. Total revenue and income before income taxes are net of a loss attributable to noncontrolling interests of $18 million.

(b)	Income before income taxes divided by total revenue.

N/M - Not meaningful.

For the quarter ended June 30, 2019	Investment Services				Investment and Wealth Management				Other				Consolidated
(dollars in millions)
Total fee and other revenue	$	2,233			$	854		(a)	$	31			$	3,118		(a)
Net interest revenue (expense)	783				59				(40		)		802
Total revenue (loss)	3,016				913			(a)	(9		)		3,920			(a)
Provision for credit losses	(4		)		(2		)		(2		)		(8		)
Noninterest expense	1,963				655				29				2,647
Income (loss) before income taxes	$	1,057			$	260		(a)	$	(36	)		$	1,281		(a)
Pre-tax operating margin (b)	35		%		29		%		N/M				33		%
Average assets	$	264,781			$	29,793			$	47,810			$	342,384

(a)	Total fee and other revenue includes net income from consolidated investment management funds of $6 million, representing $10 million of income and noncontrolling interests of $4 million. Total revenue and income before income taxes are net of noncontrolling interests of $4 million.

(b)	Income before income taxes divided by total revenue.

N/M - Not meaningful.

For the six months ended June 30, 2020	Investment Services				Investment and Wealth Management				Other				Consolidated
(dollars in millions)
Total fee and other revenue	$	4,775			$	1,684		(a)	$	68			$	6,527		(a)
Net interest revenue (expense)	1,574				100				(80		)		1,594
Total revenue (loss)	6,349				1,784			(a)	(12		)		8,121			(a)
Provision for credit losses	294				16				2				312
Noninterest expense	3,976				1,353				69				5,398
Income (loss) before income taxes	$	2,079			$	415		(a)	$	(83	)		$	2,411		(a)
Pre-tax operating margin (b)	33		%		23		%		N/M				30		%
Average assets	$	319,689			$	30,435			$	50,194			$	400,318

(a)	Total fee and other revenue includes net income from consolidated investment management funds of $19 million, representing $16 million of income and a loss attributable to noncontrolling interests of $3 million. Total revenue and income before income taxes are net of a loss attributable to noncontrolling interests of $3 million.

(b)	Income before income taxes divided by total revenue.

N/M - Not meaningful.

---

For the six months ended June 30, 2019	Investment Services				Investment and Wealth Management				Other				Consolidated
(dollars in millions)
Total fee and other revenue	$	4,394			$	1,723		(a)	$	49			$	6,166		(a)
Net interest revenue (expense)	1,587				126				(70		)		1,643
Total revenue (loss)	5,981				1,849			(a)	(21		)		7,809			(a)
Provision for credit losses	4				(1		)		(4		)		(1		)
Noninterest expense	3,944				1,324				78				5,346
Income (loss) before income taxes	$	2,033			$	526		(a)	$	(95	)		$	2,464		(a)
Pre-tax operating margin (b)	34		%		28		%		N/M				32		%
Average assets	$	260,432			$	30,819			$	48,041			$	339,292

(a)	Total fee and other revenue includes net income from consolidated investment management funds of $22 million, representing $36 million of income and noncontrolling interests of $14 million. Total revenue and income before income taxes are net of noncontrolling interests of $14 million.

(b)	Income before income taxes divided by total revenue.

N/M - Not meaningful.

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

Non-cash investing and financing transactions	Six months ended June 30,
(in millions)	2020				2019
Change in assets of consolidated investment management funds	$	215			$	76
Change in liabilities of consolidated investment management funds	3				4
Change in nonredeemable noncontrolling interests of consolidated investment management funds	10				65
Securities purchased not settled	1,730				1,113
Securities matured not settled	—				10
Premises and equipment/capitalized software funded by finance lease obligations	—				14
Premises and equipment/operating lease obligations	66				1,272			(a)
Investment redemptions not settled	—				—

 

(a)	Includes $1,244 million related to the adoption of ASU 2016-02, Leases, and $28 million related to new or modified leases.

---

---

---

---

---

(c)	The following table discloses repurchases of our common stock made in the second quarter of 2020. All of the Company’s preferred stock outstanding has preference over the Company’s common stock with respect to the payment of dividends.

(a)	Reflects shares repurchased from employees, primarily in connection with the employees’ payment of taxes upon the vesting of restricted stock.

(b)

The Federal Reserve has announced that it will conduct additional analysis for all participating CCAR firms later this year and will not allow participating firms to make open market common stock repurchases during the third quarter of 2020. We are permitted to continue to repurchase shares from employees, primarily in connection with the employees’ payment of taxes upon the vesting of restricted stock.

---

---

---

---