Fair Value Measurements (Tables)

6 Months Ended

Jun. 30, 2019

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

The following table presents assets and liabilities measured at fair value on a recurring basis as of June 30, 2019 and December 31, 2018, 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, 2019
Debt Securities
Available for Sale
U.S. Government	$	5,079.4	$	—	$	—	$	—		$	5,079.4
Obligations of States and Political Subdivisions	—		753.2		—		—			753.2
Government Sponsored Agency	—		22,505.4		—		—			22,505.4
Non-U.S. Government	—		143.2		—		—			143.2
Corporate Debt	—		2,421.8		—		—			2,421.8
Covered Bonds	—		863.4		—		—			863.4
Sub-Sovereign, Supranational and Non-U.S. Agency Bonds	—		2,286.4		—		—			2,286.4
Other Asset-Backed	—		2,989.6		—		—			2,989.6
Commercial Mortgage-Backed	—		811.5		—		—			811.5
Other	—		13.6		—		—			13.6
Total Available for Sale	5,079.4		32,788.1		—		—			37,867.5
Trading Account	—		0.8		—		—			0.8
Total Available for Sale and Trading Debt Securities	5,079.4		32,788.9		—		—			37,868.3
Other Assets
Derivative Assets
Foreign Exchange Contracts	—		1,741.4		—		—			1,741.4
Interest Rate Contracts	—		150.4		—		—			150.4
Total Derivative Assets	—		1,891.8		—		(1,171.6		)	720.2
Other Liabilities
Derivative Liabilities
Foreign Exchange Contracts	—		1,682.7		—		—			1,682.7
Interest Rate Contracts	—		97.5		—		—			97.5
Other Financial Derivatives ⁽¹⁾	—		0.6		34.7		—			35.3
Total Derivative Liabilities	$	—	$	1,780.8	$	34.7	$	(1,248.6	)	$	566.9

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, 2019, derivative assets and liabilities shown above also include reductions of $180.8 million and $257.8 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.



(In Millions)	Level 1		Level 2		Level 3		Netting			Assets/Liabilities at Fair Value
December 31, 2018
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.

Changes in Level 3 Liabilities

The following table presents the changes in Level 3 liabilities for the three and six months ended June 30, 2019 and 2018.

Table 34: 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,	2019			2018
Fair Value at April 1	$	35.0		$	31.3
Total (Gains) Losses:
Included in Earnings ⁽¹⁾	3.1			7.5
Purchases, Issues, Sales, and Settlements
Settlements	(3.4		)	(2.7		)
Fair Value at June 30	$	34.7		$	36.1



Six Months Ended June 30,	2019			2018
Fair Value at January 1	$	32.8		$	29.7
Total (Gains) Losses:
Included in Earnings ⁽¹⁾	8.2			11.7
Purchases, Issues, Sales, and Settlements
Settlements	(6.3		)	(5.3		)
Fair Value at June 30	$	34.7		$	36.1

⁽¹⁾

(Gains) losses are recorded in other operating income in the consolidated statements of income.

Fair Value of Financial Instruments

The following table summarizes the fair values of all financial instruments.

Table 36: Fair Value of Financial Instruments



(In Millions)	June 30, 2019
	Book Value		Total Fair Value		Fair Value
					Level 1		Level 2		Level 3
Assets
Cash and Due from Banks	$	5,348.3	$	5,348.3	$	5,348.3	$	—	$	—
Federal Reserve and Other Central Bank Deposits	27,553.5		27,553.5		—		27,553.5		—
Interest-Bearing Deposits with Banks	4,193.6		4,193.6		—		4,193.6		—
Federal Funds Sold and Securities Purchased under Agreements to Resell	660.5		660.5		—		660.5		—
Debt Securities
Available for Sale (Note)	37,867.5		37,867.5		5,079.4		32,788.1		—
Held to Maturity	10,351.2		10,325.4		117.7		10,207.7		—
Trading Account	0.8		0.8		—		0.8		—
Loans (excluding Leases)
Held for Investment	30,783.1		31,048.6		—		—		31,048.6
Client Security Settlement Receivables	1,311.1		1,311.1		—		1,311.1		—
Other Assets
Federal Reserve and Federal Home Loan Bank Stock	301.2		301.2		—		301.2		—
Community Development Investments	589.9		589.9		—		589.9		—
Employee Benefit and Deferred Compensation	203.8		208.8		135.3		73.5		—
Liabilities
Deposits
Demand, Noninterest-Bearing, Savings, Money Market and Other Interest-Bearing	$	40,305.1	$	40,305.1	$	40,305.1	$	—	$	—
Savings Certificates and Other Time	897.3		904.9		—		904.9		—
Non U.S. Offices Interest-Bearing	59,028.0		59,028.0		—		59,028.0		—
Federal Funds Purchased	368.0		368.0		—		368.0		—
Securities Sold Under Agreements to Repurchase	125.2		125.2		—		125.2		—
Other Borrowings	7,766.4		7,772.2		—		7,772.2		—
Senior Notes	2,565.6		2,582.9		—		2,582.9		—
Long-Term Debt
Subordinated Debt	1,147.6		1,163.1		—		1,163.1		—
Floating Rate Capital Debt	277.6		257.1		—		257.1		—
Other Liabilities
Standby Letters of Credit	30.5		30.5		—		—		30.5
Loan Commitments	32.4		32.4		—		—		32.4
Derivative Instruments
Asset/Liability Management
Foreign Exchange Contracts
Assets	$	62.3	$	62.3	$	—	$	62.3	$	—
Liabilities	18.1		18.1		—		18.1		—
Interest Rate Contracts
Assets	22.6		22.6		—		22.6		—
Liabilities	24.6		24.6		—		24.6		—
Other Financial Derivatives
Liabilities ⁽¹⁾	35.3		35.3		—		0.6		34.7
Client-Related and Trading
Foreign Exchange Contracts
Assets	1,679.1		1,679.1		—		1,679.1		—
Liabilities	1,664.6		1,664.6		—		1,664.6		—
Interest Rate Contracts
Assets	127.8		127.8		—		127.8		—
Liabilities	72.9		72.9		—		72.9		—

Note: Refer to the table located on page 39 for the disaggregation of available for sale debt securities.


(1)	This line consists of a total return swap contract and swaps related to the sale of certain Visa Class B common shares.



(In Millions)	December 31, 2018
	Book Value		Total Fair Value		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
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, Money Market and Other Interest-Bearing	$	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	30.8		30.8		—		—		30.8
Loan Commitments	34.3		34.3		—		—		34.3
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 40 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.

Fair Value, Measurements, Recurring

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Fair Value Assets and Liabilities, Measured on Recurring and Nonrecurring Basis, Valuation Techniques, Unobservable Inputs and Quantitative Information

The following table presents the fair values of Northern Trust’s Level 3 liabilities as of June 30, 2019 and December 31, 2018, as well as the valuation techniques, significant unobservable inputs, and quantitative information used to develop significant unobservable inputs for such liabilities as of such dates.

Table 32: Level 3 Significant Unobservable Inputs

June 30, 2019

Financial Instrument

Fair Value

Valuation

Technique

Unobservable Inputs

Range of Inputs

Swaps Related to Sale of Certain Visa Class B Common Shares

34.7

million

Discounted Cash Flow

Visa Class A Appreciation

7.0

—

11.0%

Conversion Rate

1.62

—

1.64x

Expected Duration

1.5

—

3.5 years

December 31, 2018

Financial Instrument

Fair Value

Valuation

Technique

Unobservable Inputs

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

—

1.64x

Expected Duration

1.5

—

4.0 years

Fair Value, Measurements, Nonrecurring

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Fair Value Assets and Liabilities, Measured on Recurring and Nonrecurring Basis, Valuation Techniques, 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 June 30, 2019 and December 31, 2018, 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 35: Level 3 Nonrecurring Basis Significant Unobservable Inputs



	June 30, 2019
Financial Instrument	Fair Value	Valuation Technique	Unobservable Input	Range of Discounts Applied
Loans	$27.3 million	Market Approach	Discount to reflect realizable value	15.0	%	-	30.0%



	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%