Bank of New York Mellon : Liquidity Coverage Ratio Disclosure, 2Q2019

Liquidity

Coverage Ratio

Disclosure

For the Quarterly Period

Ended June 30, 2019

THE BANK OF NEW YORK MELLON

CORPORATION

The Bank of New York Mellon Corporation	LCR Disclosure
Table of Contents
Introduction...................................................................................................................................................................	2
LCR Disclosure.............................................................................................................................................................	3
Quarterly Variance in the LCR...............................................................................................................................	3
Drivers of the LCR .................................................................................................................................................	3
HQLA .....................................................................................................................................................................	3
Cash Outflow Amounts ..........................................................................................................................................	3
Cash Inflow Amounts.............................................................................................................................................	3
Calculation and Components of our LCR ..............................................................................................................	4
Liquidity Management..................................................................................................................................................	5
Liquidity Management Practices ............................................................................................................................	5
Sources of Funds ....................................................................................................................................................	5
Foreign Currency....................................................................................................................................................	5
Independent Liquidity Risk Oversight....................................................................................................................	5
Governance.............................................................................................................................................................	5
Forward-looking Statements .........................................................................................................................................	6

The Bank of New York Mellon Corporation

LCR Disclosure

Introduction

In this Liquidity Coverage Ratio ("LCR") Disclosure ("Disclosure"), 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. References in this Disclosure to "Parent" refer to The Bank of New York Mellon Corporation on a standalone basis. This Disclosure should be read in conjunction with the section titled "Forward-looking Statements" below.

Established in 1784 by Alexander Hamilton, we were the first company listed on the New York Stock Exchange (NYSE: BK). With a more than 230-year history, BNY Mellon is a global company that manages and services assets for financial institutions, corporations and individual investors in 35 countries.

United States 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 eligible HQLA amount is the numerator and the total net cash outflow amount is the denominator of the LCR. The LCR caps cash inflows at 75% of cash outflows and requires an add-on calculation based on the difference between the net cumulative outflow amounts on the peak day and the last day of the 30-day period to address potential maturity mismatches between outflows and inflows. The U.S. regulators have affirmed the principle that HQLA is expected to be available for use to address liquidity needs in a time of stress.

The U.S. LCR rule requires BNY Mellon and each of our affected domestic bank subsidiaries to meet an LCR of at least 100%. The LCR of BNY Mellon and each of our affected domestic bank subsidiaries was compliant with the U.S. LCR requirements for the second quarter of 2019.

In addition, BNY Mellon is subject to the Federal Reserve's Enhanced Prudential Standards, which include liquidity standards. BNY Mellon has taken actions to comply with these standards, including the adoption of various liquidity management standards and maintenance of a liquidity buffer of unencumbered highly liquid assets based on the results of internal liquidity stress testing.

In December 2016, the Federal Reserve Board issued a final rule (the "U.S. LCR Disclosure rule") requiring that large banking organizations, including BNY Mellon, publicly disclose certain quantitative

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liquidity metrics as set forth herein, as well as qualitative factors affecting their LCR results. Accordingly, we have developed this Disclosure, which contains the required public disclosures prepared in accordance with the U.S. LCR Disclosure rule and covering the period beginning on April 1, 2019 and ending on June 30, 2019. This Disclosure will remain publically available for at least 5 years. The U.S. LCR Disclosure rule requires us to present certain components of HQLA, cash inflows, and cash outflows on both a weighted and an unweighted basis. With respect to HQLA, weighted basis refers to the application of haircuts and caps applicable to otherwise eligible HQLA; unweighted basis refers to HQLA before application of such haircuts and caps. With respect to cash inflows and outflows, weighted basis refers to the application of specified inflow and outflow rates applicable to certain types of cash inflows and outflows; unweighted basis refers to inflows and outflows before the application of such rates. Averages are calculated as simple averages of daily amounts over the calendar quarter.

Any differences between the presentation of information in this Disclosure and how we present such information for other purposes are solely due to our efforts to comply with applicable regulation. The information presented in this Disclosure does not, in any way, reflect changes to our organizational structure, business plans or practices, or strategy.

Additional financial and other information about BNY Mellon and its principal business activities can be found in its 2018 Annual Report on Form 10-K ("2018 Annual Report"), Quarterly Reports on Form 10-Q("10-Q") and other filings, collectively referred to as "SEC Filings", with the Securities and Exchange Commission, which we make available on the Investor Relations section of our corporate website at www.bnymellon.com.

The Bank of New York Mellon Corporation

LCR Disclosure

LCR Disclosure

Quarterly Variance in the LCR

For the second quarter of 2019, BNY Mellon's average LCR was 117%, with average weighted HQLA holdings of $118.2 billion and an average weighted net cash outflow of $100.9 billion. Our average weighted eligible HQLA and average net cash outflow both increased in the second quarter 2019 compared to the first quarter. The second quarter 2019 average LCR decreased from the first quarter average LCR of 118% principally due to changes in the levels and composition of customer deposits as well as a long term debt maturity. We expect our average LCR to vary from period to period due to business-as-usual fluctuations in our client activity, business mix and the overall market environment. Please see below for more information regarding the components of our LCR.

Drivers of the LCR

Deposits are the key driver of our LCR. BNY Mellon provides custody, cash management and clearing services to a wide range of clients, including banks, broker dealers, other non-bank financial institutions, corporations, and individuals. These services are primarily operational and generate substantial deposit balances. Client deposits are the main funding source for BNY Mellon and are the main component of weighted outflow in the LCR. The HQLA BNY Mellon holds is adequate to cover assumed deposit outflows, as well as other cash outflows, under the hypothetical LCR liquidity stress. Pursuant to its liquidity management practices described below, BNY Mellon has also established internal limits to monitor depositor concentration risk.

HQLA

For the second quarter of 2019, BNY Mellon's total eligible average weighted HQLA was $118.2 billion. BNY Mellon held an average weighted balance of eligible level 1 HQLA of $101.3 billion, which was mainly composed of deposits with central banks, U.S. Treasury securities, and securities issued or guaranteed by non-U.S. sovereigns. BNY Mellon held an average weighted balance of $16.9 billion of eligible level 2 HQLA, the majority of which consisted of U.S. agency mortgage-backed securities.

Cash Outflow Amounts

For the second quarter of 2019, the average weighted cash outflow was $136.2 billion.

Average weighted retail funding outflow was $5.5 billion, 44% of which consisted of other retail funding outflow, which included less stable retail deposits and broker-dealer retail customer cash. Stable retail deposit outflow and brokered deposit outflow comprised the remaining 56% of retail funding outflow.

Average weighted unsecured wholesale funding outflow was $107.0 billon. Approximately 62% of average unweighted unsecured wholesale funding outflow was operational deposits with low outflow rates; 37% was non-operational funding outflow, with high outflow rates, primarily consisting of non- operational deposits, broker-dealer wholesale customer cash and Fed funds purchased. Operational deposit outflow and non-operational funding outflow comprised approximately 97% of average weighted unsecured wholesale funding outflows. Unsecured debt outflow made up the remaining 3%.

Average weighted secured wholesale funding outflow was $11.1 billion, the majority of which was from repurchase agreements and customer shorts in our broker-dealer subsidiaries.

Average weighted outflow from credit and liquidity facilities was $8.7 billion, most of which were from committed credit facilities.

The remaining average weighted outflow of $3.9 billion was mainly related to derivative exposures and other collateral requirements.

Cash Inflow Amounts

For the second quarter of 2019, the average weighted cash inflow was $36.2 billion.

Average weighted secured lending transaction inflow was $24.9 billion, the majority of which was from reverse repurchase agreements and margin loans collateralized with non-HQLA assets in our broker- dealer subsidiaries.

Average weighted unsecured wholesale cash inflow was $7.7 billion, mainly from commercial loans. The remaining average weighted inflow of $3.6 billion consisted primarily of broker-dealer segregated account inflows.

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The Bank of New York Mellon Corporation

LCR Disclosure

Calculation and Components of our LCR

The table below provides information about our calculation and components of the LCR as required by the U.S. LCR Disclosure rule.

Liquidity Coverage Ratio	Average	Average
April 1, 2019 to June 30, 2019	Unweighted	Weighted
(in millions)		Amount	Amount
High-Quality Liquid Assets (b)
1	Total eligible high-quality liquid assets (HQLA), of which:	$121,178	$118,192
2	Eligible level 1 liquid assets	101,267	101,267
3	Eligible level 2A liquid assets	19,911	16,925
4	Eligible level 2B liquid assets	-	-
Cash Outflow Amounts
5	Deposit outflow from retail customers and counterparties, of which:	23,752	5,540
6	Stable retail deposit outflow	1,700	51
7	Other retail funding outflow	10,207	2,450
8	Brokered deposit outflow	11,845	3,039
9	Unsecured wholesale funding outflow, of which:	209,136	106,990
10	Operational deposit outflow	129,488	32,293
11	Non-operational funding outflow	76,663	71,712
12	Unsecured debt outflow	2,985	2,985
13	Secured wholesale funding and asset exchange outflow	57,451	11,057
14	Additional outflow requirements, of which:	34,558	12,245
15	Outflow related to derivative exposures and other collateral requirements	4,316	3,531
16	Outflow related to credit and liquidity facilities including unconsolidated	30,242	8,714
	structured transactions and mortgage commitments
17	Other contractual funding obligation outflow	375	375
18	Other contingent funding obligations outflow	-	-
19	Total Cash Outflow	$325,272	$136,207
Cash Inflow Amounts
20	Secured lending and asset exchange cash inflow	82,337	24,894
21	Retail cash inflow	17	8
22	Unsecured wholesale cash inflow	7,894	7,676
23	Other cash inflows, of which:	3,609	3,609
24	Net derivative cash inflow	132	132
25	Securities cash inflow	97	97
26	Broker-dealer segregated account inflow	3,380	3,380
27	Other cash inflow	-	-
28	Total Cash Inflow	$93,857	$36,187
			Average
			Amount (a)
29	HQLA Amount (b)		$118,192
30	Total Net Cash Outflow Amount Excluding the Maturity Mismatch Add-on		100,020
31	Maturity Mismatch Add-on		838
32	Total Net Cash Outflow Amount		100,858
33	Liquidity Coverage Ratio (%)		117%

1. The amounts reported in this column may not equal the calculation of those amounts using component amounts reported in rows 1 - 28 due to technical factors such as the application of the level 2 liquid asset caps, the total inflow cap, and for depository institution holding companies subject to subpart G of the U.S. LCR rule, the application of the modification to total net cash outflows.
2. HQLA excludes excess liquidity held at certain subsidiaries that is not transferable within the Company.

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