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Derivative Financial Instruments (Tables)
 9 Months Ended
Sep. 30, 2017
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Fair Value of Securities Collateral for Derivative Transactions
Table 59: Fair Value of Securities Collateral for Derivative Transactions
(in Millions)
September 30, 2017
December 31, 2016
Pledged to others:
 
 
Not permitted by contract or custom to sell or repledge
$
43.0

$
70.8

Permitted by contract or custom to sell or repledge
—

—

Accepted from others:
 
 
Not permitted by contract or custom to sell or repledge
—

—

Permitted by contract or custom to sell or repledge
4.5
—
Notional and Fair Value Amounts of Client-related and Trading Derivative Financial Instruments
The following table shows the notional and fair values of client-related and trading derivative financial instruments. Notional amounts of derivative financial instruments do not represent credit risk, and are not recorded in the consolidated balance sheets. They are used merely to express the volume of this activity. Northern Trust’s credit-related risk of loss is limited to the positive fair value of the derivative instrument, which is significantly less than the notional amount.
Table 60: Notional and Fair Values of Client-Related and Trading Derivative Financial Instruments
 
September 30, 2017
 
December 31, 2016
 
Notional
Value
 
Fair Value
 
Notional
Value
 
Fair Value
(In Millions)
Asset
 
Liability
 
Asset
 
Liability
Foreign Exchange Contracts
$
323,057.7

 
$
3,047.4

 
$
3,002.2

 
$
273,213.1

 
$
3,274.2

 
$
3,221.7

Interest Rate Contracts
7,384.0

 
81.5

 
67.3

 
6,968.3

 
87.0

 
85.2

Total
$
330,441.7

 
$
3,128.9

 
$
3,069.5

 
$
280,181.4

 
$
3,361.2

 
$
3,306.9
Location and Amount of Client-Related and Trading Derivative Gains and Losses Recorded in Income
The following table shows the location and amount of gains and losses recorded in the consolidated statements of income for the three and nine months ended September 30, 2017 and 2016.
Table 61: Location and Amount of Client-Related and Trading Derivative Gains and Losses Recorded in Income
 
 
Amount of Derivative
Gain Recognized in Income
 
Location of Derivative Gain Recognized in Income
Three Months Ended September 30,
 
Nine Months Ended September 30,
(In Millions)
2017
 
2016
 
2017
 
2016
Foreign Exchange Contracts
Foreign Exchange
Trading Income
$
49.1

 
$
53.6

 
$
147.1

 
$
178.5

Interest Rate Contracts
Security Commissions
and Trading Income
2.7

 
2.6

 
8.3

 
9.7

Total
 
$
51.8

 
$
56.2

 
$
155.4

 
$
188.2
Notional and fair Value of Designated Risk Management Derivative Financial Instruments
The following table identifies the types and classifications of derivative instruments formally designated as hedges under GAAP and used by Northern Trust to manage risk, their notional and fair values, and the respective risks addressed.
Table 62: Notional and Fair Value of Designated Risk Management Derivative Financial Instruments
 
 
 
 
 
September 30, 2017
 
December 31, 2016
 
Derivative
Instrument
 
Risk
Classification
 
Notional
Value
 
Fair Value
 
Notional
Value
 
Fair Value
(In Millions)
Asset
 
Liability
 
Asset
 
Liability
Fair Value Hedges
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Available for Sale Investment Securities
Interest Rate Swap Contracts
 
Interest
Rate
 
$
3,430.1

 
$
17.4

 
$
11.0

 
$
3,873.4

 
$
88.3

 
$
16.8

Senior Notes and Long-Term Subordinated Debt
Interest Rate Swap Contracts
 
Interest
Rate
 
1,250.0

 
18.0

 
4.1

 
1,250.0

 
71.8

 
3.3

Cash Flow Hedges
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Forecasted Foreign Currency Denominated Transactions
Foreign Exchange Contracts
 
Foreign
Currency
 
431.2

 
11.7

 
8.5

 
329.3

 
8.5

 
7.8

Foreign Currency Denominated Investment Securities
Foreign Exchange Contracts
 
Foreign Currency
 
1,439.8

 
27.4

 
—

 
1,431.6

 
151.5

 
0.8

Available for Sale Investment Securities
Interest Rate Contracts
 
Interest
Rate
 
1,025.0

 
0.2

 
1.7

 
975.0

 
0.1

 
2.7

Net Investment Hedges
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Net Investments in Non-U.S. Affiliates
Foreign Exchange Contracts
 
Foreign
Currency
 
2,855.4

 
5.0

 
154.9

 
2,083.6

 
174.6

 
10.8

Total
 
 
 
 
$
10,431.5

 
$
79.7

 
$
180.2

 
$
9,942.9

 
$
494.8

 
$
42.2
Location and Amount of Fair Value Hedge Derivative Gains and Losses Recorded in Income
The following table shows the location and amount of derivative gains and losses recognized in the consolidated statements of income related to fair value hedges for the three and nine months ended September 30, 2017 and 2016.
Table 63: Location and Amount of Fair Value Hedge Derivative Gains and Losses Recorded in Income
 
 
 
Location of
Derivative
Gain/(Loss)
Recognized in
Income
 
Amount of Derivative
Gain/(Loss)
Recognized in Income
 
Derivative
Instrument
 
Three Months Ended September 30,
 
Nine Months Ended September 30,
(In Millions)
2017
 
2016
 
2017
 
2016
Available for Sale Investment Securities
Interest Rate
Swap Contracts
 
Interest
Income
 
$
1.1

 
$
15.5

 
$
(24.5
)
 
$
(44.3
)
Senior Notes and Long-Term Subordinated Debt
Interest Rate
Swap Contracts
 
Interest
Expense
 
1.2

 
(7.3
)
 
14.3

 
63.7

Total
 
 
 
 
$
2.3

 
$
8.2

 
$
(10.2
)
 
$
19.4
Cash Flow Hedge Derivative Gains and Losses Recognized in AOCI and the Amounts Reclassified to Earnings
The following table provides cash flow hedge derivative gains and losses recognized in AOCI and the amounts reclassified to income during the three and nine months ended September 30, 2017 and 2016.
Table 64: Cash Flow Hedge Derivative Gains and Losses Recognized in AOCI and Reclassified to Income
(In Millions)
Foreign Exchange
Contracts (Before Tax)
 
Interest Rate 
Contracts (Before Tax)
Three Months Ended September 30,
2017
 
2016
 
2017
 
2016
Net Gain/(Loss) Recognized in AOCI
$
3.1

 
$
(0.5
)
 
$
(0.2
)
 
$
(5.9
)
Net Gain/(Loss) Reclassified from AOCI to Net Income
 
 
 
 
 
 
 
Other Operating Income
1.7

 
(6.8
)
 
—

 
—

Interest Income
4.2

 
1.6

 
0.1

 
0.7

Other Operating Expense
0.1

 
(0.2
)
 
—

 
—

Total
$
6.0

 
$
(5.4
)
 
$
0.1

 
$
0.7

(In Millions)
Foreign Exchange
Contracts (Before Tax)
 
Interest Rate
Contracts (Before Tax)
Nine Months Ended September 30,
2017
 
2016
 
2017
 
2016
Net Gain/(Loss) Recognized in AOCI
$
19.4

 
$
1.7

 
$
1.2

 
$
1.9

Net Gain/(Loss) Reclassified from AOCI to Net Income
 
 
 
 
 
 
 
Other Operating Income
4.2

 
(8.5
)
 
—

 
—

Interest Income
12.1

 
1.6

 
0.2

 
2.5

Other Operating Expense
(0.1
)
 
(0.7
)
 
—

 
—

Total
$
16.2

 
$
(7.6
)
 
$
0.2

 
$
2.5
Net Investment Hedge Gains and Losses Recognized in AOCI
The following table provides net investment hedge gains and losses recognized in AOCI during the three and nine months ended September 30, 2017 and 2016.
Table 65: Net Investment Hedge Gains and Losses Recognized in AOCI
 
Hedging Gain / (Loss)
Recognized in OCI (Before Tax)
 
Three Months Ended September 30,
 
Nine Months Ended September 30,
(In Millions)
2017
 
2016
 
2017
 
2016
Foreign Exchange Contracts
$
(62.3
)
 
$
4.1

 
$
(194.7
)
 
$
87.6

Total
$
(62.3
)
 
$
4.1

 
$
(194.7
)
 
$
87.6
Notional and Fair Values of Non-Designated Risk Management Derivative Instruments
The following table identifies the types of risk management derivative instruments not formally designated as hedges and their notional amounts and fair values.
Table 66: Notional and Fair Values of Non-Designated Risk Management Derivative Instruments
 
September 30, 2017
 
December 31, 2016
(In Millions)
Notional
Value
 
Fair Value
 
Notional
Value
 
Fair Value
Asset
 
Liability
 
Asset
 
Liability
Foreign Exchange Contracts
$
996.4

 
$
8.7

 
$
2.9

 
$
289.6

 
$
0.8

 
$
1.8

Other Financial Derivatives (1)
364.3

 
—

 
27.7

 
270.0

 
—

 
25.2

Total
$
1,360.7

 
$
8.7

 
$
30.6

 
$
559.6

 
$
0.8

 
$
27.0


(1) 
This line includes swaps related to sales of certain Visa Class B common shares.
Location and Amount of Gains and Losses Recorded in Income for Non-Designated Risk Management Derivative Instruments
The following table provides the location and amount of gains and losses recorded in the consolidated statements of income for the three and nine months ended September 30, 2017 and 2016.
Table 67: Location and Amount of Gains and Losses Recorded in Income for Non-Designated Risk Management Derivative Instruments
(In Millions)
Location of
Derivative Gain / (Loss) Recognized
in Income
Amount of Derivative Gain / (Loss)
Recognized in Income
Three Months Ended September 30,
 
Nine Months Ended September 30,
2017
 
2016
 
2017
 
2016
Foreign Exchange Contracts
Other Operating Income
$
(5.9
)
 
$
(1.2
)
 
$
2.2

 
$
(0.2
)
Other Financial Derivatives (1)
Other Operating Income
(4.0
)
 
(2.3
)
 
(8.4
)
 
(8.6
)
Total
 
$
(9.9
)
 
$
(3.5
)
 
$
(6.2
)
 
$
(8.8
)
(1) 
This line includes swaps related to sales of certain Visa Class B common shares, total return swap contracts, and credit default swap contracts.