Derivative Financial Instruments (Tables)

6 Months Ended

Jun. 30, 2015

Notional and Fair Value Amounts of Client-related and Trading Derivative Financial Instruments

The following table shows the notional and fair values of client-related and trading derivative financial instruments. Notional amounts of derivative financial instruments do not represent credit risk, and are not recorded in the consolidated balance sheets. They are used merely to express the volume of this activity. Northern Trust’s credit-related risk of loss is limited to the positive fair value of the derivative instrument, which is significantly less than the notional amount.

Table 58: Notional and Fair Values of Client-Related and Trading Derivative Financial Instruments

	June 30, 2015						December 31, 2014
	Notional Value		Fair Value				Notional Value		Fair Value
(In Millions)			Asset		Liability				Asset		Liability
Foreign Exchange Contracts	$	264,964.1	$	2,451.3	$	2,416.7	$	257,568.7	$	4,149.5	$	4,072.0
Interest Rate Contracts		5,576.0		96.5		93.1		5,353.8		105.5		101.3
Total	$	270,540.1	$	2,547.8	$	2,509.8	$	262,922.5	$	4,255.0	$	4,173.3

Location and Amount of Gains and Losses Recorded in Consolidated Statements of Income

The following table shows the location and amount of gains and losses recorded in the consolidated statements of income for the three and six months ended June 30, 2015, and 2014.

Table 59: Location and Amount of Gains and Losses Recorded in Income

		Amount of Derivative Gain/(Loss) Recognized in Income
	Location of Derivative Gain/(Loss) Recognized in Income	Three Months Ended June 30,				Six Months Ended June 30,
(In Millions)		2015		2014		2015		2014
Foreign Exchange Contracts	Foreign Exchange Trading Income	$	74.8	$	52.9	$	146.4	$	103.0
Interest Rate Contracts	Security Commissions and Trading Income		3.0		2.1		7.9		4.0
Total		$	77.8	$	55.0	$	154.3	$	107.0

Types and Classifications of Derivative Instruments

The following table identifies the types and classifications of derivative instruments formally designated as hedges under GAAP and used by Northern Trust to manage risk, their notional and fair values, and the respective risks addressed.

Table 60: Notional and Fair Values of Designated Risk Management Derivative Financial Instruments

			June 30, 2015						December 31, 2014
	Derivative Instrument	Risk Classification	Notional Value		Fair Value				Notional Value		Fair Value
(In Millions)					Asset		Liability				Asset		Liability
Fair Value Hedges
Available for Sale Investment Securities	Interest Rate Swap Contracts	Interest Rate	$	2,720.4	$	11.7	$	25.3	$	2,859.5	$	12.7	$	28.5
Senior Notes and Long-Term Subordinated Debt	Interest Rate Swap Contracts	Interest Rate		1,250.0		93.2		2.1		1,250.0		112.8		2.0
Cash Flow Hedges
Forecasted Foreign Currency Denominated Transactions	Foreign Exchange Contracts	Foreign Currency		413.4		6.9		14.8		344.9		6.0		14.8
Available for Sale Investment Securities	Interest Rate Swap Contracts	Interest Rate		10.0		—		—		10.0		—		—
Available for Sale Investment Securities	Interest Rate Option Contracts	Interest Rate		725.0		2.8		—		625.0		1.3		—
Net Investment Hedges
Net Investments in Non-U.S. Affiliates	Foreign Exchange Contracts	Foreign Currency		1,870.1		22.9		43.2		1,795.4		118.9		3.4
Total			$	6,988.9	$	137.5	$	85.4	$	6,884.8	$	251.7	$	48.7

Gains/Losses of Derivative Financial Instruments

The following table shows the location and amount of derivative gains and losses recorded in the consolidated statements of income related to fair value hedges for the three and six months ended June 30, 2015 and 2014.

Table 61: Location and Amount of Derivative Gains and Losses Recorded in Income

		Location of Derivative Gain/(Loss) Recognized in Income	Amount of Derivative Gain/(Loss) Recognized in Income
	Derivative Instrument		Three Months Ended June 30,						Six Months Ended June 30,
(In Millions)			2015			2014			2015			2014
Available for Sale Investment Securities	Interest Rate Swap Contracts	Interest Income	$	5.0		$	(14.9	)	$	(12.3	)	$	(27.0	)
Senior Notes and Long-Term Subordinated Debt	Interest Rate Swap Contracts	Interest Expense		(27.7	)		27.7			2.1			60.2
Total			$	(22.7	)	$	12.8		$	(10.2	)	$	33.2

Cash Flow Hedge Derivative Gains and Losses Recognized in AOCI and the Amounts Reclassified to Earnings

The following tables provide cash flow hedge derivative gains and losses recognized in AOCI and the amounts reclassified to earnings during the three and six months ended June 30, 2015 and 2014.

Table 62: Cash Flow Hedge Derivative Gains and Losses Recognized in AOCI and Reclassified to Earnings

(In Millions)	Foreign Exchange Contracts (Before Tax)						Interest Rate Option Contracts (Before Tax)
Three Months Ended June 30,	2015			2014			2015			2014
Net Gain/(Loss) Recognized in AOCI	$	6.5		$	(1.3	)	$	(1.7	)	$	—
Net Gain/(Loss) Reclassified from AOCI to Net Income
Other Operating Income		(2.3	)		1.9			—			—
Interest Income		—			—			1.2			—
Other Operating Expense		(0.3	)		—			—			—
Total	$	(2.6	)	$	1.9		$	1.2		$	—

(In Millions)	Foreign Exchange Contracts (Before Tax)						Interest Rate Option Contracts (Before Tax)
Six Months Ended June 30,	2015			2014			2015		2014
Net Gain/(Loss) Recognized in AOCI	$	(1.4	)	$	1.1		$	1.5	$	—
Net Gain/(Loss) Reclassified from AOCI to Net Income
Other Operating Income		(3.9	)		2.7			—		—
Interest Income		—			—			2.4		—
Other Operating Expense		(0.8	)		(0.2	)		—		—
Total	$	(4.7	)	$	2.5		$	2.4	$	—

Net Investment Hedge Gains and Losses Recognized in AOCI

The following table provides net investment hedge gains and losses recognized in AOCI during the three and six months ended June 30, 2015 and 2014.

Table 63: Net Investment Hedge Gains and Losses Recognized in AOCI

	Hedging Gain/(Loss) Recognized in OCI (Before Tax)
	Three Months Ended June 30,						Six Months Ended June 30,
(In Millions)	2015			2014			2015		2014
Foreign Exchange Contracts	$	(81.1	)	$	(22.9	)	$	30.5	$	(31.9	)
Sterling Denominated Subordinated Debt		—			(6.7	)		5.0		(8.3	)
Total	$	(81.1	)	$	(29.6	)	$	35.5	$	(40.2	)

Types of Risk Management Derivative Instruments Not Formally Designated as Hedges, Including Notional Amounts and Fair Values

The following table identifies the types of risk management derivative instruments not formally designated as hedges and their notional amounts and fair values.

Table 64: Notional and Fair Values of Non-Designated Risk Management Derivative Instruments

(In Millions)	June 30, 2015						December 31, 2014
	Notional Value		Fair Value				Notional Value		Fair Value
			Asset		Liability				Asset		Liability
Foreign Exchange Contracts	$	205.6	$	1.0	$	0.7	$	246.3	$	0.8	$	5.3
Other Financial Derivatives (1)		110.7		—		11.3		—		—		—
Total	$	316.3	$	1.0	$	12.0	$	246.3	$	0.8	$	5.3

(1) This line includes a swap related to the sale of certain Visa Class B common shares.

Gains/Losses of Derivative Financial Instruments

The following table provides the location and amount of gains and losses recorded in the consolidated statements of income for the three and six months ended June 30, 2015 and 2014.

Table 65: Location and Amount of Gains and Losses Recorded in Income for Non-Designated Risk Management Derivative Instruments

(In Millions)	Location of Derivative Gain/ (Loss) Recognized in Income		Amount of Derivative Gain/(Loss) Recognized in Income
			Three Months Ended June 30,					Six Months Ended June 30,
			2015			2014		2015			2014
Foreign Exchange Contracts		Other Operating Income		6.6			1.5		(2.1	)		0.8
Other Financial Derivatives (1)		Other Operating Income		(11.3	)		—		(11.3	)		—
Total			$	(4.7	)	$	1.5	$	(13.4	)	$	0.8

(1) This line includes a swap related to the sale of certain Visa Class B common shares.