Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2016

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

The following tables present assets and liabilities measured at fair value on a recurring basis as of March 31, 2016 and December 31, 2015, segregated by fair value hierarchy level.

Table 23: Recurring Basis Hierarchy Leveling



(In Millions)	Level 1		Level 2		Level 3		Netting			Assets/Liabilities at Fair Value
March 31, 2016
Securities
Available for Sale
U.S. Government	$	6,857.1	$	—	$	—	$	—		$	6,857.1
Obligations of States and Political Subdivisions	—		189.8		—		—			189.8
Government Sponsored Agency	—		16,892.6		—		—			16,892.6
Non-U.S. Government	—		280.7		—		—			280.7
Corporate Debt	—		3,857.8		—		—			3,857.8
Covered Bonds	—		1,374.8		—		—			1,374.8
Sub-Sovereign, Supranational and Non-U.S. Agency Bonds	—		1,070.2		—		—			1,070.2
Other Asset-Backed	—		2,300.1		—		—			2,300.1
Auction Rate	—		—		16.6		—			16.6
Commercial Mortgage-Backed	—		406.9		—		—			406.9
Other	—		83.6		—		—			83.6
Total Available for Sale	6,857.1		26,456.5		16.6		—			33,330.2
Trading Account	—		0.2		—		—			0.2
Total Available for Sale and Trading Securities	6,857.1		26,456.7		16.6		—			33,330.4
Other Assets
Derivative Assets
Foreign Exchange Contracts	—		3,952.6		—		—			3,952.6
Interest Rate Contracts	—		334.0		—		—			334.0
Total Derivative Assets	—		4,286.6		—		(2,556.5		)	1,730.1
Other Liabilities
Derivative Liabilities
Foreign Exchange Contracts	—		4,028.4		—		—			4,028.4
Interest Rate Contracts	—		215.1		—		—			215.1
Other Financial Derivatives ⁽¹⁾	—		0.7		9.7		—			10.4
Total Derivative Liabilities	$	—	$	4,244.2	$	9.7	$	(2,916.0	)	$	1,337.9

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 March 31, 2016, derivative assets and liabilities shown above also include reductions of $871.9 million and $1.2 billion, respectively, as a result of cash collateral received from and deposited with derivative counterparties.


⁽¹⁾	This line includes a swap related to the sale of certain Visa Class B common shares, total return swap contracts, and credit default swap contracts.



(In Millions)	Level 1		Level 2		Level 3		Netting			Assets/Liabilities at Fair Value
December 31, 2015
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 Contracts	—		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 includes a swap related to the sale of certain Visa Class B common shares and total return swap contracts.

Changes in Level 3 Assets

The following tables present the changes in Level 3 assets and liabilities for the three months ended March 31, 2016 and 2015.

Table 24: Changes in Level 3 Assets



Level 3 Assets (In Millions)	Auction Rate Securities
Three Months Ended March 31,	2016			2015
Fair Value at January 1	$	17.1		$	18.1
Total Gains (Losses):
Included in Earnings	—			—
Included in Other Comprehensive Income ⁽¹⁾	(0.4		)	(0.3		)
Purchases, Issues, Sales, and Settlements
Sales	(0.1		)	—
Settlements	—			(0.3		)
Fair Value at March 31	$	16.6		$	17.5


⁽¹⁾	Unrealized gains (losses) are included in net unrealized gains (losses) on securities available for sale in the consolidated statements of comprehensive income.

Changes in Level 3 Liabilities

Table 25: Changes in Level 3 Liabilities



Level 3 Liabilities (In Millions)	Swap Related to Sale of Certain Visa Class B Common Shares
Three Months Ended March 31,	2016			2015
Fair Value at January 1	$	10.8		$	—
Total (Gains) Losses:
Included in Earnings ⁽¹⁾	(0.3		)	—
Included in Other Comprehensive Income	—			—
Purchases, Issues, Sales, and Settlements
Purchases	—			—
Settlements	(0.8		)	—
Fair Value at March 31	$	9.7		$	—


⁽¹⁾	(Gains) losses are recorded in other operating income (expense) in the consolidated statements of income.

Fair Value of Financial Instruments

The following tables summarize the fair values of all financial instruments.

Table 27: Fair Value of Financial Instruments



(In Millions)	March 31, 2016
	Book Value		Total Fair Value		Fair Value
					Level 1		Level 2		Level 3
Assets
Cash and Due from Banks	$	7,005.0	$	7,005.0	$	7,005.0	$	—	$	—
Federal Funds Sold and Resell Agreements	1,765.2		1,765.2		—		1,765.2		—
Interest-Bearing Deposits with Banks	13,535.5		13,535.5		—		13,535.5		—
Federal Reserve Deposits	14,415.3		14,415.3		—		14,415.3		—
Securities
Available for Sale (Note)	33,330.2		33,330.2		6,857.1		26,456.5		16.6
Held to Maturity	5,869.6		5,861.5		28.0		5,833.5		—
Trading Account	0.2		0.2		—		0.2		—
Loans (excluding Leases)
Held for Investment	33,478.4		33,715.2		—		—		33,715.2
Held for Sale	1.4		1.4		—		—		1.4
Client Security Settlement Receivables	1,902.7		1,902.7		—		1,902.7		—
Other Assets
Federal Reserve and Federal Home Loan Bank Stock	253.1		253.1		—		253.1		—
Community Development Investments	193.0		199.4		—		199.4		—
Employee Benefit and Deferred Compensation	165.4		169.5		117.7		51.8		—
Liabilities
Deposits
Demand, Noninterest-Bearing, Savings and Money Market	$	45,495.2	$	45,495.2	$	45,495.2	$	—	$	—
Savings Certificates and Other Time	1,417.0		1,425.1		—		1,425.1		—
Non U.S. Offices Interest-Bearing	50,747.4		50,747.4		—		50,747.4		—
Federal Funds Purchased	263.3		263.3		—		263.3		—
Securities Sold under Agreements to Repurchase	507.1		507.1		—		507.1		—
Other Borrowings	4,009.8		4,009.8		—		4,009.8		—
Senior Notes	1,496.1		1,573.3		—		1,573.3		—
Long Term Debt (excluding Leases)
Subordinated Debt	1,377.9		1,353.6		—		1,353.6		—
Floating Rate Capital Debt	277.3		223.5		—		223.5		—
Other Liabilities
Standby Letters of Credit	45.3		45.3		—		—		45.3
Loan Commitments	46.3		46.3		—		—		46.3
Derivative Instruments
Asset/Liability Management
Foreign Exchange Contracts
Assets	$	12.3	$	12.3	$	—	$	12.3	$	—
Liabilities	80.2		80.2		—		80.2		—
Interest Rate Contracts
Assets	158.5		158.5		—		158.5		—
Liabilities	42.2		42.2		—		42.2		—
Other Financial Derivatives
Liabilities ⁽¹⁾	10.4		10.4		—		0.7		9.7
Client-Related and Trading
Foreign Exchange Contracts
Assets	3,940.3		3,940.3		—		3,940.3		—
Liabilities	3,948.2		3,948.2		—		3,948.2		—
Interest Rate Contracts
Assets	175.5		175.5		—		175.5		—
Liabilities	172.9		172.9		—		172.9		—

Note: Refer to the table located on page 30 for the disaggregation of available for sale securities.


⁽¹⁾	This line includes a swap related to the sale of certain Visa Class B common shares, credit default swaps and total return swaps.



(In Millions)	December 31, 2015
	Book Value		Total Fair Value		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 31 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.

Fair Value, Measurements, Recurring

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

Level 3 Nonrecurring Basis Significant Unobservable Inputs

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 March 31, 2016 and December 31, 2015.

Table 22: Level 3 Significant Unobservable Inputs



	March 31, 2016
Financial Instrument	Fair Value			Valuation Technique	Unobservable Inputs	Range of Lives and Rates
Auction Rate Securities	$	16.6	million	Discounted Cash Flow	Remaining lives	0.17		—	8.64 years
				Discounted Cash Flow	Discount rates	0.2	%	—	3.9%
Swap Related to Sale of Certain Visa Class B Common Shares	$	9.7	million	Discounted Cash Flow	Visa Class A Appreciation	9.5	%	—	15.0%
				Discounted Cash Flow	Conversion Rate	1.61x		—	1.65x
					Expected Duration	1.25		—	4.25 years



	December 31, 2015
Financial Instrument	Fair Value			Valuation Technique	Unobservable Inputs	Range of Lives and Rates
Auction Rate Securities	$	17.1	million	Discounted Cash Flow	Remaining lives	0.42		—	8.64 years
				Discounted Cash Flow	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%
				Discounted Cash Flow	Conversion Rate	1.61x		—	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]

Level 3 Nonrecurring Basis Significant Unobservable Inputs

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 March 31, 2016 and December 31, 2015.

Table 26: Level 3 Nonrecurring Basis Significant Unobservable Inputs



	March 31, 2016
Financial Instrument	Fair Value	Valuation Technique	Unobservable Input	Range of Discounts Applied
Loans	$10.1 million	Market Approach	Discount to reflect realizable value	15.0	%	-	25.0%
OREO	$2.5 million	Market Approach	Discount to reflect realizable value	15.0	%	-	20.0%



	December 31, 2015
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%