Bank of New York Mellon S : NV, March 2020

Executive summary

1 Article 431 CRR - Scope of disclosure requirements4

1.1 Purpose of Pillar 35

1.2 Article 433/434 CRR - Frequency and means of disclosure 6

1.3 Article 432 CRR - Non-material, proprietary or confidential information 6

1.4 Governance: approval and publication 6

1.5 Article 436 CRR - Scope of application 7

1.6 Organisational structure 7

1.7 EMEA business operating model 10

1.8 Core business lines 11

1.9 Key metrics 12

Table 1: KM1 - Key metrics 13

Capital

2 Article 437 CRR - Own funds 16

Table 2: CC1 - Composition of regulatory capital 17

Table 3: TLAC1 - Transitional own funds 18

3 Article 438 CRR - Capital requirements 20

3.1 Calculating capital requirements 21

Table 4: EU OV1 - Overview of RWAs 21

Risk

4 Article 435 CRR - Risk management objectives and policies 23

4.1 Risk objectives 25

4.2 Risk governance 26

4.3 Risk management framework 31

4.4 High-level assessment 33

4.5 Risk appetite 33

4.6 Risk assessment methodology and reporting systems 33

4.7 Escalation of risks and issues 36

4.8 Recovery and resolution planning 36

5 Article 451 CRR - Leverage 37

Table 5: LR1 - Leverage ratio summary 37

Table 6: LR2 - Leverage ratio common disclosure 38

Any discrepancies between the totals and sums of components within the tables and graphs within this report are as a result of roundings.

Appendices

Appendix 1 - Other risks 40

Liquidity risk 40

Restitution risk 40

Group risk 40

Model risk 41

Strategic risk 41

Appendix 2 - Glossary of terms 42

Appendix 3 - CRD IV reference 46

Executive summary

1 Article 431 CRR - Scope of disclosure requirements

These Pillar 3 disclosures are published for The Bank of New York Mellon SA/NV ('BNY Mellon SA/NV' or the 'Company'), in line with the disclosure principles of the National Bank of Belgium1 ('NBB'), the Capital Requirements Directive2 ('CRD IV') and the Capital Requirements Regulation3 ('CRR'), complementing the annual disclosures of the financial statements.

These disclosures cover The Bank of New York Mellon SA/NV, its subsidiary undertaking and branches as at 31 March 2020.

These disclosures were approved by the BNY Mellon SA/NV Executive Committee ('ExCo') on 26 June 2020.

• 1 NBB Circular 2015_25: Orientations relatives à la publication d'informations (Pilier III, CRD IV), 3 September 2015.

• 2 Directive 2013/36/EU on access to the activity of credit institutions and the prudential supervision of credit institutions and investment firms, amending Directive 2002/87/EC and repealing Directives 2006/48/EC and 2006/49/EC, 26 June 2013.

• 3 Regulation (EU) No 575/2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012, 26 June 2013.

Pillar 3 disclosures are required for a consolidated group and for those parts of the group covered by CRD IV. When assessing the appropriateness of these disclosures in the application of Article 431(3) of the CRR, BNY Mellon SA/NV has ensured adherence to the following principles of:

The Basel Committee on Banking Supervision ('BCBS') requires these disclosures to be published at the highest level of consolidation. BNY Mellon SA/NV has adopted this approach with information presented at a fully consolidated level.

*This ratio is for information only. BNY Mellon SA/NV is not subject to a binding leverage requirement.

CET1 ratio	=	CET1 capital / Pillar 1 RWAs
Tier 1 ratio	=	Tier 1 capital / Pillar 1 RWAs
Total capital ratio	=	Total capital / Pillar 1 RWAs
Basel III leverage ratio	=	Capital measure / Exposure measure

1.1 Purpose of Pillar 3

The aim of the Pillar 3 disclosures is to provide market participants with accurate and comprehensive information regarding the risk profile of BNY Mellon SA/NV, including key information around on the scope of application, capital, risk exposures, risk assessment processes, enabling users to better understand and compare its business, its risks and capital adequacy.

To that end, Pillar 3 principles require disclosure of risk management objectives and policies for each of the following categories of risk and relevant quantitative risk assessment disclosures on a quarterly basis:

These disclosures focus only on those risk categories that are relevant to BNY Mellon SA/NV.

Where appropriate, the disclosures also include comparatives for the prior periods and an analysis of the more significant movements to provide greater insight into the risk management practices of BNY Mellon SA/NV and its risk profile.