XML 67 R43.htm IDEA: XBRL DOCUMENT v3.10.0.1
Fair Value Measurements (Tables)
 12 Months Ended
Dec. 31, 2018
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]  
Assets and Liabilities Measured at Fair Value on Recurring Basis Segregated by Fair Value Hierarchy Level
The following presents assets and liabilities measured at fair value on a recurring basis as of December 31, 2018 and 2017, segregated by fair value hierarchy level.

TABLE 47: RECURRING BASIS HIERARCHY LEVELING
 
DECEMBER 31, 2018
(In Millions)
LEVEL 1
 
LEVEL 2

LEVEL 3

NETTING

ASSETS/
LIABILITIES
AT FAIR
VALUE

Debt Securities
 
 
 
 
 
Available for Sale
 
 
 
 
 
U.S. Government
$
5,185.3
 
$
—

$
—

$
—

$
5,185.3

Obligations of States and Political Subdivisions
—
 
655.9

—

—

655.9

Government Sponsored Agency
—
 
22,424.6

—

—

22,424.6

Non-U.S. Government
—
 
142.2

—

—

142.2

Corporate Debt
—
 
2,294.7

—

—

2,294.7

Covered Bonds
—
 
829.3

—

—

829.3

Sub-Sovereign, Supranational and Non-U.S. Agency Bonds
—
 
2,096.2

—

—

2,096.2

Other Asset-Backed
—
 
2,657.7

—

—

2,657.7

Commercial Mortgage-Backed
—
 
587.2

—

—

587.2

Other
—
 
15.7

—

—

15.7

 
 
 
 
 
 
Total Available for Sale
5,185.3
 
31,703.5

—

—

36,888.8

 
 
 
 
 
 
Trading Account
—
 
0.3

—

—

0.3

 
 
 
 
 
 
Total Available for Sale and Trading Debt Securities
5,185.3
 
31,703.8

—

—

36,889.1

 
 
 
 
 
 
Other Assets
 
 
 
 
 
Derivative Assets
 
 
 
 
 
Foreign Exchange Contracts
—
 
2,466.1

—

—

2,466.1

Interest Rate Contracts
—
 
96.1

—

—

96.1

Other Financial Derivatives (1)
—
 
1.3

—

—

1.3

 
 
 
 
 
 
Total Derivative Assets
—
 
2,563.5

—

(1,357.1
)
1,206.4

 
 
 
 
 
 
Other Liabilities
 
 
 
 
 
Derivative Liabilities
 
 
 
 
 
Foreign Exchange Contracts
—
 
2,262.5

—

—

2,262.5

Interest Rate Contracts
—
 
93.1

—

—

93.1

Other Financial Derivatives (2)
—
 
—

32.8

—

32.8

 
 
 
 
 
 
Total Derivative Liabilities
$
—
 
$
2,355.6

$
32.8

$
(1,796.3
)
$
592.1


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, 2018, derivative assets and liabilities shown above also include reductions of $134.5 million and $573.7 million, respectively, as a result of cash collateral received from and deposited with derivative counterparties.
(1) This line consists of a total return swap contract.
(2) This line consists of swaps related to the sale of certain Visa Class B common shares.

 
DECEMBER 31, 2017
(In Millions)
LEVEL 1
 
LEVEL 2

LEVEL 3

NETTING

ASSETS/
LIABILITIES
AT FAIR
VALUE

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

Other Financial Derivative
—
 
—

—

—

—

Total Derivatives 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 Derivative (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 a total return swap contract.
Changes in Level 3 Assets
The following tables present the changes in Level 3 assets and liabilities for the years ended December 31, 2018 and 2017.

TABLE 48: CHANGES IN LEVEL 3 ASSETS AND LIABILITIES
LEVEL 3 ASSETS
AUCTION RATE SECURITIES
 
(In Millions)
2018

2017

Fair Value at January 1
$
4.3

$
4.7

Total Gains (Losses):
 
 
Included in Other Comprehensive Income (1)
0.1

0.2

Purchases, Issues, Sales, and Settlements
 
 
Settlements
(4.4
)
(0.6
)
 
 
 
Fair Value at December 31
$
—

$
4.3


(1) Unrealized gains (losses) are included in net unrealized gains (losses) on debt securities available for sale, within the consolidated statements of comprehensive income.
Changes in Level 3 Liabilities
LEVEL 3 LIABILITIES
SWAPS RELATED TO SALE OF CERTAIN VISA CLASS B
COMMON SHARES
 
(In Millions)
2018

2017

Fair Value at January 1
$
29.7

$
25.2

Total (Gains) Losses:
 
 
Included in Earnings (1)
19.8

12.7

Purchases, Issues, Sales, and Settlements
 
 
Settlements
(16.7
)
(8.2
)
Fair Value at December 31
$
32.8

$
29.7

Unrealized (Gains) Losses Included in Earnings Related to Financial Instruments Held at December 31 (1)
$
13.3

$
11.4


(1) Gains (losses) are recorded in other operating income (expense) within the consolidated statements of income.
Book and Fair Values of All Financial Instruments
The following tables summarize the fair values of all financial instruments.

TABLE 50: FAIR VALUE OF FINANCIAL INSTRUMENTS
 
DECEMBER 31, 2018
 
 
 
FAIR VALUE
(In Millions)
BOOK VALUE

TOTAL
FAIR VALUE

LEVEL 1

LEVEL 2

LEVEL 3

ASSETS
 
 
 
 
 
Cash and Due from Banks
$
4,581.6

$
4,581.6

$
4,581.6

$
—

$
—

Federal Reserve and Other Central Bank Deposits
30,080.2

30,080.2

—

30,080.2

—

Interest-Bearing Deposits with Banks
4,264.2

4,264.2

—

4,264.2

—

Federal Funds Sold and Securities Purchased under Agreements to Resell
1,165.2

1,165.2

—

1,165.2

—

Debt Securities
 
 
 
 
 
Available for Sale (Note)
36,888.8

36,888.8

5,185.3

31,703.5

—

Held to Maturity
14,354.0

14,267.0

101.6

14,165.4

—

Trading Account
0.3

0.3

—

0.3

—

Loans (excluding Leases)
 
 
 
 
 
Held for Investment
32,287.0

32,339.2

—

—

32,339.2

Held for Sale
—

—

—

—

—

Client Security Settlement Receivables
1,646.1

1,646.1

—

1,646.1

—

Other Assets
 
 
 
 
 
Federal Reserve and Federal Home Loan Bank Stock
300.3

300.3

—

300.3

—

Community Development Investments
606.6

606.6

—

606.6

—

Employee Benefit and Deferred Compensation
202.3

194.5

125.0

69.5

—

LIABILITIES
 
 
 
 
 
Deposits
 
 
 
 
 
Demand, Noninterest-Bearing, Savings and Money Market
$
37,340.1

$
37,340.1

$
37,340.1

$
—

$
—

Savings Certificates and Other Time
688.7

691.8

—

691.8

—

Non U.S. Offices Interest-Bearing
66,468.0

66,468.0

—

66,468.0

—

Federal Funds Purchased
2,594.2

2,594.2

—

2,594.2

—

Securities Sold Under Agreements to Repurchase
168.3

168.3

—

168.3

—

Other Borrowings
7,901.7

7,904.1

—

7,904.1

—

Senior Notes
2,011.3

1,994.4

—

1,994.4

—

Long-Term Debt
 
 
 
 
 
Subordinated Debt
1,112.4

1,089.7

—

1,089.7

—

Floating Rate Capital Debt
277.6

253.5

—

253.5

—

Other Liabilities
 
 
 
 
 
Standby Letters of Credit
28.0

28.0

—

—

28.0

Loan Commitments
139.9

139.9

—

—

139.9

DERIVATIVE INSTRUMENTS
 
 
 
 
 
Asset/Liability Management
 
 
 
 
 
Foreign Exchange Contracts
 
 
 
 
 
Assets
$
306.7

$
306.7

$
—

$
306.7

$
—

Liabilities
72.5

72.5

—

72.5

—

Interest Rate Contracts
 
 
 
 
 
Assets
30.0

30.0

—

30.0

—

Liabilities
24.5

24.5

—

24.5

—

Other Financial Derivatives
 
 
 
 
 
Assets (1)
1.3

1.3

—

1.3

—

Liabilities (2)
32.8

32.8

—

—

32.8

Client-Related and Trading
 
 
 
 
 
Foreign Exchange Contracts
 
 
 
 
 
Assets
2,159.4

2,159.4

—

2,159.4

—

Liabilities
2,190.0

2,190.0

—

2,190.0

—

Interest Rate Contracts
 
 
 
 
 
Assets
66.1

66.1

—

66.1

—

Liabilities
68.6

68.6

—

68.6

—

Note: Refer to the table located on page 105 for the disaggregation of available for sale debt securities.
(1) This line consists of a total return swap contract.
(2) This line consists of swaps related to the sale of certain Visa Class B common shares.

 
DECEMBER 31, 2017

 
 
FAIR VALUE
(In Millions)
BOOK VALUE

TOTAL
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 Securities Purchased under Agreements to Resell
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 and Money Market
$
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
 
 
 
 
 
Assets
—

—

—

—

—

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 106 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 a total return swap contract.
Fair Value, Measurements, Recurring  
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]  
Valuation Techniques, Significant Unobservable Inputs, and Quantitative Information
The following table presents the fair values of Northern Trust’s Level 3 assets and liabilities as of December 31, 2018 and 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 46: LEVEL 3 SIGNIFICANT UNOBSERVABLE INPUTS
 
DECEMBER 31, 2018
FINANCIAL INSTRUMENT
FAIR VALUE

VALUATION TECHNIQUE
UNOBSERVABLE INPUT
RANGE OF INPUTS
Swaps Related to Sale of Certain
Visa Class B Common Shares
$
32.8
 million
Discounted Cash Flow
Visa Class A Appreciation
7.0
%
–
11.0%
 
 
 
Conversion Rate
1.62
x
–
1.64x
 
 
 
Expected Duration
1.5

–
4.0 years

 
DECEMBER 31, 2017
FINANCIAL INSTRUMENT
FAIR VALUE

VALUATION TECHNIQUE
UNOBSERVABLE INPUT
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]  
Valuation Techniques, Significant Unobservable Inputs, and Quantitative Information
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 December 31, 2018 and 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 49: LEVEL 3 NONRECURRING BASIS SIGNIFICANT UNOBSERVABLE INPUTS
 
DECEMBER 31, 2018
FINANCIAL INSTRUMENT
FAIR VALUE
VALUATION TECHNIQUE
UNOBSERVABLE INPUT
RANGE OF DISCOUNTS APPLIED
Loans
$24.9 million
Market Approach
Discount to reflect realizable value
15.0%
–
30.0%
OREO
$0.4 million
Market Approach
Discount to reflect realizable value
15.0%
–
30.0%