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Fair Value Measurements (Tables)
 6 Months Ended
Jun. 30, 2016
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]  
Recurring Basis Hierarchy Leveling
The following tables present assets and liabilities measured at fair value on a recurring basis as of June 30, 2016 and December 31, 2015, segregated by fair value hierarchy level.
Table 31: Recurring Basis Hierarchy Leveling
(In Millions)
Level 1
 
Level 2
 
Level 3
 
Netting
 
Assets/Liabilities
at Fair Value
June 30, 2016
 
 
 
 
 
 
 
 
 
Securities
 
 
 
 
 
 
 
 
 
Available for Sale
 
 
 
 
 
 
 
 
 
U.S. Government
$
6,889.3

 
$
—

 
$
—

 
$
—

 
$
6,889.3

Obligations of States and Political Subdivisions
—

 
643.6

 
—

 
—

 
643.6

Government Sponsored Agency
—

 
17,437.0

 
—

 
—

 
17,437.0

Non-U.S. Government
—

 
280.7

 
—

 
—

 
280.7

Corporate Debt
—

 
4,001.4

 
—

 
—

 
4,001.4

Covered Bonds
—

 
1,376.6

 
—

 
—

 
1,376.6

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

 
1,121.5

 
—

 
—

 
1,121.5

Other Asset-Backed
—

 
2,390.6

 
—

 
—

 
2,390.6

Auction Rate
—

 
—

 
6.1

 
—

 
6.1

Commercial Mortgage-Backed
—

 
410.9

 
—

 
—

 
410.9

Other
—

 
74.4

 
—

 
—

 
74.4

Total Available for Sale
6,889.3

 
27,736.7

 
6.1

 
—

 
34,632.1

Trading Account
—

 
3.1

 
—

 
—

 
3.1

Total Available for Sale and Trading Securities
6,889.3

 
27,739.8

 
6.1

 
—

 
34,635.2

Other Assets
 
 
 
 
 
 
 
 
 
Derivative Assets
 
 
 
 
 
 
 
 
 
Foreign Exchange Contracts
—

 
4,737.7

 
—

 
—

 
4,737.7

Interest Rate Contracts
—

 
374.5

 
—

 
—

 
374.5

Total Derivative Assets
—

 
5,112.2

 
—

 
(2,606.4
)
 
2,505.8

Other Liabilities
 
 
 
 
 
 
 
 
 
Derivative Liabilities
 
 
 
 
 
 
 
 
 
Foreign Exchange Contracts
—

 
4,695.2

 
—

 
—

 
4,695.2

Interest Rate Contracts
—

 
269.4

 
—

 
—

 
269.4

Other Financial Derivatives (1)
—

 
0.1

 
28.7

 
—

 
28.8

Total Derivative Liabilities
$
—

 
$
4,964.7

 
$
28.7

 
$
(3,778.3
)
 
$
1,215.1

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 June 30, 2016, derivative assets and liabilities shown above also include reductions of $205.8 million and $1.4 billion, respectively, as a result of cash collateral received from and deposited with derivative counterparties.
(1) 
This line includes swaps related to the sale of certain Visa Class B common shares 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 $440.2 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 and six months ended June 30, 2016 and 2015.
Table 32: Changes in Level 3 Assets
Level 3 Assets (In Millions)
Auction Rate Securities
Three Months Ended June 30,
2016
 
2015
Fair Value at April 1
$
16.6

 
$
17.5

Total Gains (Losses):
 
 
 
Included in Earnings
—

 
—

Included in Other Comprehensive Income (1)
(0.2
)
 
0.5

Purchases, Issues, Sales, and Settlements
 
 
 
Sales
(10.0
)
 
(1.2
)
Settlements
(0.3
)
 
(0.2
)
Fair Value at June 30
$
6.1

 
$
16.6

Six Months Ended June 30,
2016
 
2015
Fair Value at January 1
$
17.1

 
$
18.1

Total Gains (Losses):
 
 
 
Included in Earnings
—

 
—

Included in Other Comprehensive Income (1)
(0.6
)
 
0.2

Purchases, Issues, Sales, and Settlements
 
 
 
Sales
(10.1
)
 
(1.2
)
Settlements
(0.3
)
 
(0.5
)
Fair Value at June 30
$
6.1

 
$
16.6

(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 33: 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,
2016
 
2015
Fair Value at April 1
$
9.7

 
$
—

Total (Gains) Losses:
 
 
 
Included in Earnings (1)
4.9

 
—

Included in Other Comprehensive Income
—

 
—

Purchases, Issues, Sales, and Settlements
 
 
 
Purchases
14.9

 
11.3

Settlements
(0.8
)
 
—

Fair Value at June 30
$
28.7

 
$
11.3

Six Months Ended June 30,
2016
 
2015
Fair Value at January 1
$
10.8

 
$
—

Total (Gains) Losses:
 
 
 
Included in Earnings (1)
4.6

 
—

Included in Other Comprehensive Income
—

 
—

Purchases, Issues, Sales, and Settlements
 
 
 
Purchases
14.9

 
11.3

Settlements
(1.6
)
 
—

Fair Value at June 30
$
28.7

 
$
11.3

(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 35: Fair Value of Financial Instruments
(In Millions)
June 30, 2016
 
Book
Value
 
Total
Fair Value
 
Fair Value
 
Level 1
 
Level 2
 
Level 3
Assets
 
 
 
 
 
Cash and Due from Banks
$
5,312.1

 
$
5,312.1

 
$
5,312.1

 
$
—

 
$
—

Federal Reserve and Other Central Bank Deposits
23,035.8

 
23,035.8

 
—

 
23,035.8

 
—

Interest-Bearing Deposits with Banks
6,991.7

 
6,991.7

 
—

 
6,991.7

 
—

Federal Funds Sold and Resell Agreements
1,862.7

 
1,862.7

 
—

 
1,862.7

 
—

Securities
 
 
 
 
 
 
 
 
 
Available for Sale (Note)
34,632.1

 
34,632.1

 
6,889.3

 
27,736.7

 
6.1

Held to Maturity
6,370.9

 
6,376.2

 
8.0

 
6,368.2

 
—

Trading Account
3.1

 
3.1

 
—

 
3.1

 
—

Loans (excluding Leases)
 
 
 
 
 
 
 
 
 
Held for Investment
33,984.1

 
34,346.5

 
—

 
—

 
34,346.5

Held for Sale
1.2

 
1.2

 
—

 
—

 
1.2

Client Security Settlement Receivables
2,217.0

 
2,217.0

 
—

 
2,217.0

 
—

Other Assets
 
 
 
 
 
 
 
 
 
Federal Reserve and Federal Home Loan Bank Stock
273.1

 
273.1

 
—

 
273.1

 
—

Community Development Investments
182.0

 
187.7

 
—

 
187.7

 
—

Employee Benefit and Deferred Compensation
166.8

 
169.7

 
116.1

 
53.6

 
—

Liabilities
 
 
 
 
 
 
 
 
 
Deposits
 
 
 
 
 
Demand, Noninterest-Bearing, Savings and Money Market
$
47,136.3

 
$
47,136.3

 
$
47,136.3

 
$
—

 
$
—

Savings Certificates and Other Time
1,403.1

 
1,411.6

 
—

 
1,411.6

 
—

Non U.S. Offices Interest-Bearing
50,547.5

 
50,547.5

 
—

 
50,547.5

 
—

Federal Funds Purchased
306.0

 
306.0

 
—

 
306.0

 
—

Securities Sold under Agreements to Repurchase
565.5

 
565.5

 
—

 
565.5

 
—

Other Borrowings
6,037.6

 
6,039.4

 
—

 
6,039.4

 
—

Senior Notes
1,496.2

 
1,589.7

 
—

 
1,589.7

 
—

Long Term Debt (excluding Leases)
 
 
 
 
 
 
 
 
 
Subordinated Debt
1,391.9

 
1,384.0

 
—

 
1,384.0

 
—

Floating Rate Capital Debt
277.4

 
241.4

 
—

 
241.4

 
—

Other Liabilities
 
 
 
 
 
 
 
 
 
Standby Letters of Credit
44.2

 
44.2

 
—

 
—

 
44.2

Loan Commitments
45.5

 
45.5

 
—

 
—

 
45.5

Derivative Instruments
 
 
 
 
 
 
 
 
 
Asset/Liability Management
 
 
 
 
 
 
 
 
 
Foreign Exchange Contracts
 
 
 
 
 
 
 
 
 
Assets
$
77.5

 
$
77.5

 
$
—

 
$
77.5

 
$
—

Liabilities
41.5

 
41.5

 
—

 
41.5

 
—

Interest Rate Contracts
 
 
 
 
 
 
 
 
 
Assets
168.0

 
168.0

 
—

 
168.0

 
—

Liabilities
65.1

 
65.1

 
—

 
65.1

 
—

Other Financial Derivatives
 
 
 
 
 
 
 
Liabilities (1)
28.8

 
28.8

 
—

 
0.1

 
28.7

Client-Related and Trading
 
 
 
 
 
 
 
 
 
Foreign Exchange Contracts
 
 
 
 
 
 
 
 
 
Assets
4,660.2

 
4,660.2

 
—

 
4,660.2

 
—

Liabilities
4,653.7

 
4,653.7

 
—

 
4,653.7

 
—

Interest Rate Contracts
 
 
 
 
 
 
 
Assets
206.5

 
206.5

 
—

 
206.5

 
—

Liabilities
204.3

 
204.3

 
—

 
204.3

 
—

Note: Refer to the table located on page 37 for the disaggregation of available for sale securities.
(1)
This line includes swaps 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
$
6,418.5

 
$
6,418.5

 
$
6,418.5

 
$
—

 
$
—

Federal Reserve and Other Central Bank Deposits
23,695.5

 
23,695.5

 
—

 
23,695.5

 
—

Interest-Bearing Deposits with Banks
6,872.2

 
6,872.2

 
—

 
6,872.2

 
—

Federal Funds Sold and Resell Agreements
1,614.2

 
1,614.2

 
—

 
1,614.2

 
—

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 38 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 June 30, 2016 and December 31, 2015.
Table 30: Level 3 Significant Unobservable Inputs
 
June 30, 2016
Financial Instrument
Fair Value
 
Valuation
Technique
 
Unobservable Inputs
 
Range of Lives
and Rates
Auction Rate Securities
$
6.1
 million
 
Discounted Cash Flow
 
Remaining lives
 
2.00

—
8.64 years
 
 
 
 
Discount rates
 
0.5
%
—
2.5%
Swaps Related to Sale of Certain Visa Class B Common Shares
$
28.7
 million
 
Discounted Cash Flow
 
Visa Class A Appreciation
 
9.0
%
—
14.0%
 
 
 
Conversion Rate
 
1.63x

—
1.65x
 
 
 
 
Expected Duration
 
2.00

—
5.00 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
 
 
 
 
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
 
1.61x

—
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 June 30, 2016 and December 31, 2015.
Table 34: Level 3 Nonrecurring Basis Significant Unobservable Inputs
 
 
June 30, 2016
Financial Instrument
 
Fair Value
 
Valuation
Technique
 
Unobservable Input
 
Range of Discounts
Applied
Loans
 
$6.2 million
 
Market Approach
 
Discount to reflect realizable value
 
15.0
%
-
25.0%
OREO
 
$1.7 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%