XML 41 R31.htm IDEA: XBRL DOCUMENT v3.10.0.1
Fair Value Measurements (Tables)
 6 Months Ended
Jun. 30, 2018
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]  
Recurring Basis Hierarchy Leveling
The following tables present assets and liabilities measured at fair value on a recurring basis as of June 30, 2018 and December 31, 2017, segregated by fair value hierarchy level.
Table 33: Recurring Basis Hierarchy Leveling
(In Millions)
Level 1
 
Level 2
 
Level 3
 
Netting
 
Assets/Liabilities
at Fair Value
June 30, 2018
 
 
 
 
 
 
 
 
 
Debt Securities
 
 
 
 
 
 
 
 
 
Available for Sale
 
 
 
 
 
 
 
 
 
U.S. Government
$
5,638.5

 
$
—

 
$
—

 
$
—

 
$
5,638.5

Obligations of States and Political Subdivisions
—

 
737.8

 
—

 
—

 
737.8

Government Sponsored Agency
—

 
21,054.5

 
—

 
—

 
21,054.5

Non-U.S. Government
—

 
141.2

 
—

 
—

 
141.2

Corporate Debt
—

 
2,466.2

 
—

 
—

 
2,466.2

Covered Bonds
—

 
831.9

 
—

 
—

 
831.9

Sub-Sovereign, Supranational and Non-U.S. Agency Bonds
—

 
2,009.0

 
—

 
—

 
2,009.0

Other Asset-Backed
—

 
1,855.8

 
—

 
—

 
1,855.8

Auction Rate
—

 
—

 
2.8

 
—

 
2.8

Commercial Mortgage-Backed
—

 
427.7

 
—

 
—

 
427.7

Other
—

 
19.1

 
—

 
—

 
19.1

Total Available for Sale
5,638.5

 
29,543.2

 
2.8

 
—

 
35,184.5

Trading Account
—

 
0.7

 
—

 
—

 
0.7

Total Available for Sale and Trading Debt Securities
5,638.5

 
29,543.9

 
2.8

 
—

 
35,185.2

Other Assets
 
 
 
 
 
 
 
 
 
Derivative Assets
 
 
 
 
 
 
 
 
 
Foreign Exchange Contracts
—

 
3,308.8

 
—

 
—

 
3,308.8

Interest Rate Contracts
—

 
100.6

 
—

 
—

 
100.6

Total Derivative Assets
—

 
3,409.4

 
—

 
(1,775.8
)
 
1,633.6

Other Liabilities
 
 
 
 
 
 
 
 
 
Derivative Liabilities
 
 
 
 
 
 
 
 
 
Foreign Exchange Contracts
—

 
3,063.1

 
—

 
—

 
3,063.1

Interest Rate Contracts
—

 
113.4

 
—

 
—

 
113.4

Other Financial Derivatives (1)
—

 
0.6

 
36.1

 
—

 
36.7

Total Derivative Liabilities
$
—

 
$
3,177.1

 
$
36.1

 
$
(2,463.3
)
 
$
749.9

Note: Northern Trust has elected to net derivative assets and liabilities when legally enforceable master netting arrangements or similar agreements exist between Northern Trust and the counterparty. As of June 30, 2018, derivative assets and liabilities shown above also include reductions of $298.1 million and $985.6 million, respectively, as a result of cash collateral received from and deposited with derivative counterparties.
(1) 
This line consists of a total return swap and swaps related to the sale of certain Visa Class B common shares.



(In Millions)
Level 1
 
Level 2
 
Level 3
 
Netting
 
Assets/Liabilities
at Fair Value
December 31, 2017
 
 
 
 
 
 
 
 
 
Debt Securities
 
 
 
 
 
 
 
 
 
Available for Sale
 
 
 
 
 
 
 
 
 
U.S. Government
$
5,700.3

 
$
—

 
$
—

 
$
—

 
$
5,700.3

Obligations of States and Political Subdivisions
—

 
746.4

 
—

 
—

 
746.4

Government Sponsored Agency
—

 
18,676.6

 
—

 
—

 
18,676.6

Non-U.S. Government
—

 
177.2

 
—

 
—

 
177.2

Corporate Debt
—

 
2,993.0

 
—

 
—

 
2,993.0

Covered Bonds
—

 
875.6

 
—

 
—

 
875.6

Sub-Sovereign, Supranational and Non-U.S. Agency Bonds
—

 
1,820.0

 
—

 
—

 
1,820.0

Other Asset-Backed
—

 
2,291.3

 
—

 
—

 
2,291.3

Auction Rate
—

 
—

 
4.3

 
—

 
4.3

Commercial Mortgage-Backed
—

 
435.1

 
—

 
—

 
435.1

Other
—

 
22.3

 
—

 
—

 
22.3

Total Available for Sale
5,700.3

 
28,037.5

 
4.3

 
—

 
33,742.1

Trading Account
—

 
0.5

 
—

 
—

 
0.5

Total Available for Sale and Trading Debt Securities
5,700.3

 
28,038.0

 
4.3

 
—

 
33,742.6

Other Assets
 
 
 
 
 
 
 
 
 
Derivative Assets
 
 
 
 
 
 
 
 
 
Foreign Exchange Contracts
—

 
2,557.1

 
—

 
—

 
2,557.1

Interest Rate Contracts
—

 
97.0

 
—

 
—

 
97.0

Total Derivative Assets
—

 
2,654.1

 
—

 
(1,860.0
)
 
794.1

Other Liabilities
 
 
 
 
 
 
 
 


Derivative Liabilities
 
 
 
 
 
 
 
 


Foreign Exchange Contracts
—

 
2,715.1

 
—

 
—

 
2,715.1

Interest Rate Contracts
—

 
83.5

 
—

 
—

 
83.5

Other Financial Derivatives (1)
—

 
0.7

 
29.7

 
—

 
30.4

Total Derivative Liabilities
$
—

 
$
2,799.3


$
29.7


$
(1,621.4
)
 
$
1,207.6

Note: Northern Trust has elected to net derivative assets and liabilities when legally enforceable master netting arrangements or similar agreements exist between Northern Trust and the counterparty. As of December 31, 2017, derivative assets and liabilities shown above also include reductions of $427.6 million and $189.0 million, respectively, as a result of cash collateral received from and deposited with derivative counterparties.
(1)
This line consists of swaps related to the sale of certain Visa Class B common shares and total return swaps.
Changes in Level 3 Assets
The following tables present the changes in Level 3 assets and liabilities for the three and six months ended June 30, 2018 and 2017.
Table 34: Changes in Level 3 Assets
Level 3 Assets (In Millions)
Auction Rate Securities
Three Months Ended June 30,
2018
 
2017
Fair Value at April 1
$
2.9

 
$
4.3

Total Gains (Losses):
 
 
 
Included in Other Comprehensive Income (1)
—

 
—

Purchases, Issues, Sales, and Settlements
 
 
 
Sales
—

 
—

Settlements
(0.1
)
 
(0.2
)
Fair Value at June 30
$
2.8

 
$
4.1

Six Months Ended June 30,
2018
 
2017
Fair Value at January 1
$
4.3

 
$
4.7

Total Gains (Losses):
 
 
 
Included in Earnings
—

 
—

Included in Other Comprehensive Income (1)
—

 
—

Purchases, Issues, Sales, and Settlements
 
 
 
Sales
—

 
—

Settlements
(1.5
)
 
(0.6
)
Fair Value at June 30
$
2.8

 
$
4.1

(1) 
Unrealized gains (losses) are included in net unrealized gains (losses) on debt securities available for sale in the consolidated statements of comprehensive income.
Changes in Level 3 Liabilities
Table 35: Changes in Level 3 Liabilities
Level 3 Liabilities (In Millions)
Swaps Related to Sale of
Certain Visa Class B
Common Shares
Three Months Ended June 30,
2018
 
2017
Fair Value at April 1
$
31.3

 
$
26.4

Total (Gains) Losses:
 
 
 
Included in Earnings (1)
7.5

 
1.5

Purchases, Issues, Sales, and Settlements
 
 
 
Purchases
—

 
—

Settlements
(2.7
)
 
(2.0
)
Fair Value at June 30
$
36.1

 
$
25.9

Six Months Ended June 30,
2018
 
2017
Fair Value at January 1
$
29.7

 
$
25.2

Total (Gains) Losses:
 
 
 
Included in Earnings (1)
11.7

 
4.4

Purchases, Issues, Sales, and Settlements
 
 
 
Purchases
—

 
—

Settlements
(5.3
)
 
(3.7
)
Fair Value at June 30
$
36.1

 
$
25.9

(1) 
(Gains) losses are recorded in other operating income in the consolidated statements of income.
Fair Value of Financial Instruments
The following tables summarize the fair values of all financial instruments.
Table 37: Fair Value of Financial Instruments
(In Millions)
June 30, 2018
 
Book
Value
 
Total
Fair Value
 
Fair Value
 
Level 1
 
Level 2
 
Level 3
Assets
 
 
 
 
 
Cash and Due from Banks
$
4,888.1

 
$
4,888.1

 
$
4,888.1

 
$
—

 
$
—

Federal Reserve and Other Central Bank Deposits
33,422.0

 
33,422.0

 
—

 
33,422.0

 
—

Interest-Bearing Deposits with Banks
4,161.2

 
4,161.2

 
—

 
4,161.2

 
—

Federal Funds Sold and Resell Agreements
1,427.8

 
1,427.8

 
—

 
1,427.8

 
—

Debt Securities
 
 
 
 
 
 
 
 
 
Available for Sale (Note)
35,184.5

 
35,184.5

 
5,638.5

 
29,543.2

 
2.8

Held to Maturity
14,225.1

 
14,157.8

 
115.7

 
14,042.1

 
—

Trading Account
0.7

 
0.7

 
—

 
0.7

 
—

Loans (excluding Leases)
 
 
 
 
 
 
 
 
 
Held for Investment
32,189.8

 
32,156.5

 
—

 
—

 
32,156.5

Held for Sale
—

 
—

 
—

 
—

 
—

Client Security Settlement Receivables
2,027.3

 
2,027.3

 
—

 
2,027.3

 
—

Other Assets
 
 
 
 
 
 
 
 
 
Federal Reserve and Federal Home Loan Bank Stock
280.8

 
280.8

 
—

 
280.8

 
—

Community Development Investments
472.0

 
472.0

 
—

 
472.0

 
—

Employee Benefit and Deferred Compensation
207.2

 
203.2

 
131.9

 
71.3

 
—

Liabilities
 
 
 
 
 
 
 
 
 
Deposits
 
 
 
 
 
Demand, Noninterest-Bearing, Savings, Money Market and Other Interest-Bearing
$
42,158.3

 
$
42,158.3

 
$
42,158.3

 
$
—

 
$
—

Savings Certificates and Other Time
855.2

 
859.8

 
—

 
859.8

 
—

Non U.S. Offices Interest-Bearing
63,511.4

 
63,511.4

 
—

 
63,511.4

 
—

Federal Funds Purchased
3,222.0

 
3,222.0

 
—

 
3,222.0

 
—

Securities Sold under Agreements to Repurchase
981.3

 
981.3

 
—

 
981.3

 
—

Other Borrowings
7,635.1

 
7,639.7

 
—

 
7,639.7

 
—

Senior Notes
1,497.7

 
1,492.2

 
—

 
1,492.2

 
—

Long Term Debt (excluding Leases)
 
 
 
 
 
 
 
 
 
Subordinated Debt
1,399.8

 
1,394.6

 
—

 
1,394.6

 
—

Floating Rate Capital Debt
277.5

 
260.1

 
—

 
260.1

 
—

Other Liabilities
 
 
 
 
 
 
 
 
 
Standby Letters of Credit
26.7

 
26.7

 
—

 
—

 
26.7

Loan Commitments
32.8

 
32.8

 
—

 
—

 
32.8

Derivative Instruments
 
 
 
 
 
 
 
 
 
Asset/Liability Management
 
 
 
 
 
 
 
 
 
Foreign Exchange Contracts
 
 
 
 
 
 
 
 
 
Assets
$
251.9

 
$
251.9

 
$
—

 
$
251.9

 
$
—

Liabilities
9.3

 
9.3

 
—

 
9.3

 
—

Interest Rate Contracts
 
 
 
 
 
 
 
 
 
Assets
33.5

 
33.5

 
—

 
33.5

 
—

Liabilities
22.9

 
22.9

 
—

 
22.9

 
—

Other Financial Derivatives
 
 
 
 
 
 
 
Liabilities (1)
36.7

 
36.7

 
—

 
0.6

 
36.1

Client-Related and Trading
 
 
 
 
 
 
 
 
 
Foreign Exchange Contracts
 
 
 
 
 
 
 
 
 
Assets
3,056.9

 
3,056.9

 
—

 
3,056.9

 
—

Liabilities
3,053.8

 
3,053.8

 
—

 
3,053.8

 
—

Interest Rate Contracts
 
 
 
 
 
 
 
Assets
67.1

 
67.1

 
—

 
67.1

 
—

Liabilities
90.5

 
90.5

 
—

 
90.5

 
—

Note: Refer to the table located on page 40 for the disaggregation of available for sale debt securities.
(1)
This line consists of a total return swap and swaps related to the sale of certain Visa Class B common shares.
(In Millions)
December 31, 2017
 
Book
Value
 
Total
Fair Value
 
Fair Value
 
Level 1
 
Level 2
 
Level 3
Assets
 
 
 
 
 
 
 
 
 
Cash and Due from Banks
$
4,518.1

 
$
4,518.1

 
$
4,518.1

 
$
—

 
$
—

Federal Reserve and Other Central Bank Deposits
40,479.1

 
40,479.1

 
—

 
40,479.1

 
—

Interest-Bearing Deposits with Banks
5,611.9

 
5,611.9

 
—

 
5,611.9

 
—

Federal Funds Sold and Resell Agreements
1,324.3

 
1,324.3

 
—

 
1,324.3

 
—

Debt Securities
 
 
 
 
 
 
 
 
 
Available for Sale (Note)
33,742.1

 
33,742.1

 
5,700.3

 
28,037.5

 
4.3

Held to Maturity
13,049.0

 
13,010.9

 
35.0

 
12,975.9

 
—

Trading Account
0.5

 
0.5

 
—

 
0.5

 
—

Loans (excluding Leases)
 
 
 
 
 
 
 
 
 
Held for Investment
32,211.1

 
32,375.8

 
—

 
—

 
32,375.8

Held for Sale
20.9

 
20.9

 
—

 
—

 
20.9

Client Security Settlement Receivables
1,647.0

 
1,647.0

 
—

 
1,647.0

 
—

Other Assets
 
 
 
 
 
 
 
 
 
Federal Reserve and Federal Home Loan Bank Stock
223.1

 
223.1

 
—

 
223.1

 
—

Community Development Investments
415.3

 
415.3

 
—

 
415.3

 
—

Employee Benefit and Deferred Compensation
183.4

 
181.5

 
115.5

 
66.0

 
—

Liabilities
 
 
 
 
 
 
 
 
 
Deposits
 
 
 
 
 
 
 
 
 
Demand, Noninterest-Bearing, Savings, Money Market and Other Interest-Bearing
$
45,566.3

 
$
45,566.3

 
$
45,566.3

 
$
—

 
$
—

Savings Certificates and Other Time
1,152.3

 
1,153.6

 
—

 
1,153.6

 
—

Non U.S. Offices Interest-Bearing
65,672.2

 
65,672.2

 
—

 
65,672.2

 
—

Federal Funds Purchased
2,286.1

 
2,286.1

 
—

 
2,286.1

 
—

Securities Sold under Agreements to Repurchase
834.0

 
834.0

 
—

 
834.0

 
—

Other Borrowings
6,051.1

 
6,052.9

 
—

 
6,052.9

 
—

Senior Notes
1,497.3

 
1,528.4

 
—

 
1,528.4

 
—

Long Term Debt (excluding Leases)
 
 
 
 
 
 
 
 
 
Subordinated Debt
1,435.1

 
1,449.8

 
—

 
1,449.8

 
—

Floating Rate Capital Debt
277.5

 
260.0

 
—

 
260.0

 
—

Other Liabilities
 
 
 
 
 
 
 
 
 
Standby Letters of Credit
30.3

 
30.3

 
—

 
—

 
30.3

Loan Commitments
33.1

 
33.1

 
—

 
—

 
33.1

Derivative Instruments
 
 
 
 
 
 
 
 
 
Asset/Liability Management
 
 
 
 
 
 
 
 
 
Foreign Exchange Contracts
 
 
 
 
 
 
 
 
 
Assets
$
30.1

 
$
30.1

 
$
—

 
$
30.1

 
$
—

Liabilities
192.6

 
192.6

 
—

 
192.6

 
—

Interest Rate Contracts
 
 
 
 
 
 
 
 
 
Assets
31.9

 
31.9

 
—

 
31.9

 
—

Liabilities
19.4

 
19.4

 
—

 
19.4

 
—

Other Financial Derivatives
 
 
 
 
 
 
 
 
 
Liabilities (1)
30.4

 
30.4

 
—

 
0.7

 
29.7

Client-Related and Trading
 
 
 
 
 
 
 
 
 
Foreign Exchange Contracts
 
 
 
 
 
 
 
 
 
Assets
2,527.0

 
2,527.0

 
—

 
2,527.0

 
—

Liabilities
2,522.5

 
2,522.5

 
—

 
2,522.5

 
—

Interest Rate Contracts
 
 
 
 
 
 
 
 
 
Assets
65.1

 
65.1

 
—

 
65.1

 
—

Liabilities
64.1

 
64.1

 
—

 
64.1

 
—

Note: Refer to the table located on page 41 for the disaggregation of available for sale debt securities.
(1)
This line consists of swaps related to the sale of certain Visa Class B common shares and total return swaps.
Fair Value, Measurements, Recurring  
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]  
Significant Unobservable Inputs
The following table presents the fair values of Northern Trust’s Level 3 assets and liabilities as of June 30, 2018 and December 31, 2017, as well as the valuation techniques, significant unobservable inputs, and quantitative information used to develop significant unobservable inputs for such assets and liabilities as of such dates.
Table 32: Level 3 Significant Unobservable Inputs
 
June 30, 2018
Financial Instrument
Fair Value
 
Valuation
Technique
 
Unobservable Inputs
 
Range of Inputs
Auction Rate Securities
$
2.8
 million
 
Comparables
 
Price
 
$93
—
100
Swaps Related to Sale of Certain Visa Class B Common Shares
$
36.1
 million
 
Discounted Cash Flow
 
Visa Class A Appreciation
 
7.0
%
—
11.0%
 
 
 
Conversion Rate
 
1.62
x
—
1.64x
 
 
 
 
Expected Duration
 
1.25

—
3.75 years

 
December 31, 2017
Financial Instrument
Fair Value
 
Valuation
Technique
 
Unobservable Inputs
 
Range of Inputs
Auction Rate Securities
$
4.3
 million
 
Comparables
 
Price
 
$92
—
100
Swap Related to Sale of Certain Visa Class B Common Shares
$
29.7
 million
 
Discounted Cash Flow
 
Visa Class A Appreciation
 
7.0
%
—
11.0%
 
 
 
Conversion Rate
 
1.63
x
—
1.65x
 
 
 
 
Expected Duration
 
1.5

—
4.0 years
Fair Value, Measurements, Nonrecurring  
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]  
Significant Unobservable Inputs
The following table presents the fair values of Northern Trust’s Level 3 assets that were measured at fair value on a nonrecurring basis as of June 30, 2018 and December 31, 2017, as well as the valuation technique, significant unobservable inputs and quantitative information used to develop the significant unobservable inputs for such assets as of such dates.
Table 36: Level 3 Nonrecurring Basis Significant Unobservable Inputs
 
 
June 30, 2018
Financial Instrument
 
Fair Value
 
Valuation
Technique
 
Unobservable Input
 
Range of Discounts
Applied
Loans
 
$13.8 million
 
Market Approach
 
Discount to reflect realizable value
 
15.0
%
-
25.0%
OREO
 
$0.2 million
 
Market Approach
 
Discount to reflect realizable value
 
15.0
%
-
20.0%

 
 
December 31, 2017
Financial Instrument
 
Fair Value
 
Valuation
Technique
 
Unobservable Input
 
Range of Discounts
Applied
Loans
 
$12.2 million
 
Market Approach
 
Discount to reflect realizable value
 
15.0
%
-
25.0%
OREO
 
$0.3 million
 
Market Approach
 
Discount to reflect realizable value
 
15.0
%
-
20.0%