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Fair Value Measurements (Tables)
 12 Months Ended
Dec. 31, 2015
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, 2015 and 2014, segregated by fair value hierarchy level.

TABLE 44: RECURRING BASIS HIERARCHY LEVELING
 
 
DECEMBER 31, 2015
(In Millions)
LEVEL 1
 
LEVEL 2

LEVEL 3

NETTING

ASSETS/
LIABILITIES
AT FAIR
VALUE

Securities
 
 
 
 
 
Available for Sale
 
 
 
 
 
U.S. Government
$
6,178.3
 
$
—

$
—

$
—

$
6,178.3

Obligations of States and Political Subdivisions
—
 
36.4

—

—

36.4

Government Sponsored Agency
—
 
16,366.8

—

—

16,366.8

Non-U.S. Government
—
 
309.5

—

—

309.5

Corporate Debt
—
 
3,712.2

—

—

3,712.2

Covered Bonds
—
 
1,870.2

—

—

1,870.2

Sub-Sovereign, Supranational and Non-U.S. Agency Bonds
—
 
859.4

—

—

859.4

Other Asset-Backed
—
 
2,500.1

—

—

2,500.1

Auction Rate
—
 
—

17.1

—

17.1

Commercial Mortgage-Backed
—
 
374.4

—

—

374.4

Other
—
 
93.5

—

—

93.5

 
 
 
 
 
 
Total Available for Sale
6,178.3
 
26,122.5

17.1

—

32,317.9

 
 
 
 
 
 
Trading Account
—
 
1.2

—

—

1.2

 
 
 
 
 
 
Total Available for Sale and Trading Securities
6,178.3
 
26,123.7

17.1

—

32,319.1

 
 
 
 
 
 
Other Assets
 
 
 
 
 
Derivative Assets
 
 
 
 
 
Foreign Exchange Contracts
—
 
2,623.4

—

—

2,623.4

Interest Rate Contracts
—
 
228.5

—

—

228.5

 
 
 
 
 
 
Total Derivative Assets
—
 
2,851.9

—

(1,600.2
)
1,251.7

 
 
 
 
 
 
Other Liabilities
 
 
 
 
 
Derivative Liabilities
 
 
 
 
 
Foreign Exchange Contracts
—
 
2,519.4

—

—

2,519.4

Interest Rate Swaps
—
 
131.2

—

—

131.2

Other Financial Derivatives (1)
—
 
0.1

10.8

—

10.9

 
 
 
 
 
 
Total Derivative Liabilities
$
—
 
$
2,650.7

$
10.8

$
(1,717.6
)
$
943.9


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 December 31, 2015, derivative assets and liabilities shown above also include reductions of $322.8 million and $440.3 million, respectively, as a result of cash collateral received from and deposited with derivative counterparties.
(1) This line consists of a swap related to the sale of certain Visa Class B common shares and total return swaps.

 
 
DECEMBER 31, 2014
(In Millions)
LEVEL 1
 
LEVEL 2

LEVEL 3

NETTING

ASSETS/
LIABILITIES
AT FAIR
VALUE

Securities
 
 
 
 
 
Available for Sale
 
 
 
 
 
U.S. Government
$
4,506.9
 
$
—

$
—

$
—

$
4,506.9

Obligations of States and Political Subdivisions
—
 
4.6

—

—

4.6

Government Sponsored Agency
—
 
16,389.2

—

—

16,389.2

Non-U.S. Government
—
 
310.4

—

—

310.4

Corporate Debt
—
 
3,577.7

—

—

3,577.7

Covered Bonds
—
 
1,907.5

—

—

1,907.5

Supranational and Non-U.S. Agency Bonds
—
 
360.6

—

—

360.6

Residential Mortgage-Backed
—
 
6.4

—

—

6.4

Other Asset-Backed
—
 
2,321.3

—

—

2,321.3

Auction Rate
—
 
—

18.1

—

18.1

Other
—
 
155.8

—

—

155.8

 
 
 
 
 
 
Total Available for Sale
4,506.9
 
25,033.5

18.1

—

29,558.5

 
 
 
 
 
 
Trading Account
—
 
4.7

—

—

4.7

 
 
 
 
 
 
Total Available for Sale and Trading Securities
4,506.9
 
25,038.2

18.1

—

29,563.2

 
 
 
 
 
 
Other Assets
 
 
 
 
 
Derivative Assets
 
 
 
 
 
Foreign Exchange Contracts
—
 
4,275.2

—

—

4,275.2

Interest Rate Swaps
—
 
232.3

—

—

232.3

 
 
 
 
 
 
Total Derivatives Assets
—
 
4,507.5

—

(2,257.1
)
2,250.4

 
 
 
 
 
 
Other Liabilities
 
 
 
 
 
Derivative Liabilities
 
 
 
 
 
Foreign Exchange Contracts
—
 
4,095.5

—

—

4,095.5

Interest Rate Swaps
—
 
131.8

—

—

131.8

 
 
 
 
 
 
Total Derivative Liabilities
—
 
4,227.3

—

(3,173.3
)
1,054.0


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, 2014, derivative assets and liabilities shown above also include reductions of $315.8 million and $1.2 billion, respectively, as a result of cash collateral received from and deposited with derivative counterparties.
Changes in Level 3 Assets
The following tables present the changes in Level 3 assets and liabilities for the years ended December 31, 2015 and 2014.

TABLE 45: CHANGES IN LEVEL 3 ASSETS AND LIABILITIES
LEVEL 3 ASSETS
AUCTION RATE SECURITIES
 
(In Millions)
2015

2014

Fair Value at January 1
$
18.1

$
98.9

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

4.4

Included in Other Comprehensive Income(2)
0.7

(1.7
)
Purchases, Issuances, Sales, and Settlements:
 
 
Sales
(1.2
)
(55.7
)
Settlements
(0.5
)
(27.8
)
 
 
 
Fair Value at December 31
$
17.1

$
18.1


(1) Realized gains for the year ended December 31, 2014, of $4.4 million represents gains from the sale of securities of $1.7 million and redemptions by issuers of $2.7 million. Gains on sales are recorded in investment security gains (losses) and gains on redemptions are recorded in interest income within the consolidated statements of income.
(2) Unrealized gains (losses) are included in net unrealized gains (losses) on securities available for sale, within the consolidated statements of comprehensive income.
Changes in Level 3 Liabilities
LEVEL 3 LIABILITIES
CONTINGENT CONSIDERATION
 
SWAP RELATED TO SALE OF CERTAIN VISA CLASS B
COMMON SHARES
 
(In Millions)
2015

2014

2015

2014

Fair Value at January 1
$
—

$
55.4

$
—

$
—

Total (Gains) and Losses:
 
 
 
 
Included in Earnings(1)
—

(0.1
)
12.1

—

Purchases, Issuances, Sales, and Settlements:
 
 
 
 
Settlements
—

(55.3
)
(1.3
)
—

Fair Value at December 31
$
—

$
—

$
10.8

$
—

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

$
—

$
12.0

$
—


(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 47: FAIR VALUE OF FINANCIAL INSTRUMENTS
 
DECEMBER 31, 2015
 
 
 
FAIR VALUE
(In Millions)
BOOK VALUE

TOTAL
FAIR VALUE

LEVEL 1

LEVEL 2

LEVEL 3

ASSETS
 
 
 
 
 
Cash and Due from Banks
$
6,444.6

$
6,444.6

$
6,444.6

$
—

$
—

Federal Funds Sold and Resell Agreements
1,614.2

1,614.2

—

1,614.2

—

Interest-Bearing Deposits with Banks
14,143.1

14,143.1

—

14,143.1

—

Federal Reserve Deposits
16,398.5

16,398.5

—

16,398.5

—

Securities
 
 
 
 
 
Available for Sale (Note)
32,317.9

32,317.9

6,178.3

26,122.5

17.1

Held to Maturity
5,248.3

5,227.5

26.0

5,201.5

—

Trading Account
1.2

1.2

—

1.2

—

Loans (excluding Leases)
 
 
 
 
 
Held for Investment
32,432.7

32,596.5

—

—

32,596.5

Held for Sale
12.0

12.0

—

—

12.0

Client Security Settlement Receivables
2,157.0

2,157.0

—

2,157.0

—

Other Assets
 
 
 
 
 
Federal Reserve and Federal Home Loan Bank Stock
253.1

253.1

—

253.1

—

Community Development Investments
173.5

177.1

—

177.1

—

Employee Benefit and Deferred Compensation
155.3

153.4

104.2

49.2

—

LIABILITIES
 
 
 
 
 
Deposits
 
 
 
 
 
Demand, Noninterest-Bearing, Savings and Money Market
$
45,191.3

$
45,191.3

$
45,191.3

$
—

$
—

Savings Certificates and Other Time
1,455.8

1,463.5

—

1,463.5

—

Non-U.S. Offices Interest-Bearing
50,221.8

50,221.8

—

50,221.8

—

Federal Funds Purchased
351.5

351.5

—

351.5

—

Securities Sold under Agreements to Repurchase
546.6

546.6

—

546.6

—

Other Borrowings
4,055.1

4,055.7

—

4,055.7

—

Senior Notes
1,497.4

1,531.8

—

1,531.8

—

Long Term Debt (excluding Leases)
 
 
 
 
 
Subordinated Debt
1,341.6

1,332.2

—

1,332.2

—

Floating Rate Capital Debt
277.3

236.6

—

236.6

—

Other Liabilities
 
 
 
 
 
Standby Letters of Credit
46.6

46.6

—

—

46.6

Loan Commitments
48.9

48.9

—

—

48.9

DERIVATIVE INSTRUMENTS
 
 
 
 
 
Asset/Liability Management
 
 
 
 
 
Foreign Exchange Contracts
 
 
 
 
 
Assets
$
81.6

$
81.6

$
—

$
81.6

$
—

Liabilities
19.0

19.0

—

19.0

—

Interest Rate Contracts
 
 
 
 
 
Assets
117.4

117.4

—

117.4

—

Liabilities
22.7

22.7

—

22.7

—

Other Financial Derivatives
 
 
 
 
 
Liabilities (1)
10.9

10.9

—

0.1

10.8

Client-Related and Trading
 
 
 
 
 
Foreign Exchange Contracts
 
 
 
 
 
Assets
2,541.8

2,541.8

—

2,541.8

—

Liabilities
2,500.4

2,500.4

—

2,500.4

—

Interest Rate Contracts
 
 
 
 
 
Assets
111.1

111.1

—

111.1

—

Liabilities
108.5

108.5

—

108.5

—


Note: Refer to the table located on page 100 for the disaggregation of available for sale securities.
(1) This line consists of a swap related to the sale of certain Visa Class B common shares and total return swaps.

 
DECEMBER 31, 2014

 
 
FAIR VALUE
(In Millions)
BOOK VALUE

TOTAL
FAIR VALUE

LEVEL 1

LEVEL 2

LEVEL 3

ASSETS
 
 
 
 
 
Cash and Due from Banks
$
3,050.6

$
3,050.6

$
3,050.6

$
—

$
—

Federal Funds Sold and Resell Agreements
1,062.7

1,062.7

—

1,062.7

—

Interest-Bearing Deposits with Banks
14,928.3

14,928.3

—

14,928.3

—

Federal Reserve Deposits
17,386.3

17,386.3

—

17,386.3

—

Securities
 
 
 
 
 
Available for Sale (Note)
29,558.5

29,558.5

4,506.9

25,033.5

18.1

Held to Maturity
4,170.8

4,176.1

—

4,176.1

—

Trading Account
4.7

4.7

—

4.7

—

Loans (excluding Leases)
 
 
 
 
 
Held for Investment
30,458.0

30,600.4

—

—

30,600.4

Held for Sale
2.5

2.5

—

—

2.5

Client Security Settlement Receivables
1,568.8

1,568.8

—

1,568.8

—

Other Assets
 
 
 
 
 
Federal Reserve and Federal Home Loan Bank Stock
207.5

207.5

—

207.5

—

Community Development Investments
209.9

210.8

—

210.8

—

Employee Benefit and Deferred Compensation
143.2

146.7

96.7

50.0

—

LIABILITIES
 
 
 
 
 
Deposits
 
 
 
 
 
Demand, Noninterest-Bearing, Savings and Money Market
$
41,454.6

$
41,454.6

$
41,454.6

$
—

$
—

Savings Certificates and Other Time
1,757.4

1,757.0

—

1,757.0

—

Non-U.S. Offices Interest-Bearing
47,545.0

47,545.0

—

47,545.0

—

Federal Funds Purchased
932.9

932.9

—

932.9

—

Securities Sold under Agreements to Repurchase
885.1

885.1

—

885.1

—

Other Borrowings
1,685.2

1,686.2

—

1,686.2

—

Senior Notes
1,497.0

1,541.8

—

1,541.8

—

Long Term Debt (excluding Leases)
 
 
 
 
 
Subordinated Debt
1,583.3

1,583.4

—

1,583.4

—

Floating Rate Capital Debt
277.2

242.8

—

242.8

—

Other Liabilities
 
 
 
 
 
Standby Letters of Credit
60.1

60.1

—

—

60.1

Loan Commitments
28.3

28.3

—

—

28.3

DERIVATIVE INSTRUMENTS
 
 
 
 
 
Asset/Liability Management
 
 
 
 
 
Foreign Exchange Contracts
 
 
 
 
 
Assets
$
125.7

$
125.7

$
—

$
125.7

$
—

Liabilities
23.5

23.5

—

23.5

—

Interest Rate Contracts
 
 
 
 
 
Assets
126.8

126.8

—

126.8

—

Liabilities
30.5

30.5

—

30.5

—

Client-Related and Trading
 
 
 
 
 
Foreign Exchange Contracts
 
 
 
 
 
Assets
4,149.5

4,149.5

—

4,149.5

—

Liabilities
4,072.0

4,072.0

—

4,072.0

—

Interest Rate Contracts
 
 
 
 
 
Assets
105.5

105.5

—

105.5

—

Liabilities
101.3

101.3

—

101.3

—


Note: Refer to the table located on page 101 for the disaggregation of available for sale securities
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 presents the fair values of, and the valuation techniques, significant unobservable inputs, and quantitative information used to develop significant unobservable inputs for, Northern Trust’s Level 3 assets and liabilities as of December 31, 2015.

TABLE 43: LEVEL 3 SIGNIFICANT UNOBSERVABLE INPUTS
FINANCIAL INSTRUMENT
FAIR VALUE

VALUATION TECHNIQUE
UNOBSERVABLE INPUT
RANGE OF LIVES AND RATES
Auction Rate Securities
$
17.1
 million
Discounted Cash Flow
Remaining lives
0.42

–
8.64 years
 
 
 
Discount rates
0.3
%
–
4.4%
Swap Related to Sale of Certain
Visa Class B Common Shares
$
10.8
 million
Discounted Cash Flow
Visa Class A Appreciation
9.5
%
–
15.0%
 
 
 
Conversion Rate
1.61
x
–
1.65x
 
 
 
Expected Duration
1.50

–
4.50 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 provides the fair value of, and the valuation technique, significant unobservable inputs, and quantitative information used to develop the significant unobservable inputs for, Northern Trust’s Level 3 assets that were measured at fair value on a nonrecurring basis as of December 31, 2015.

TABLE 46: LEVEL 3 NONRECURRING BASIS SIGNIFICANT UNOBSERVABLE INPUTS
FINANCIAL INSTRUMENT
FAIR VALUE
VALUATION TECHNIQUE
UNOBSERVABLE INPUT
RANGE OF DISCOUNTS APPLIED
Loans
$10.4 million
Market Approach
Discount to reflect realizable value
15.0%
–
25.0%
OREO
$3.6 million
Market Approach
Discount to reflect realizable value
15.0%
–
20.0%