Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2017

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 September 30, 2017 and December 31, 2016, 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
September 30, 2017
Securities
Available for Sale
U.S. Government	$	5,744.4	$	—	$	—	$	—		$	5,744.4
Obligations of States and Political Subdivisions	—		765.9		—		—			765.9
Government Sponsored Agency	—		18,082.8		—		—			18,082.8
Non-U.S. Government	—		138.7		—		—			138.7
Corporate Debt	—		3,181.3		—		—			3,181.3
Covered Bonds	—		832.1		—		—			832.1
Sub-Sovereign, Supranational and Non-U.S. Agency Bonds	—		2,202.8		—		—			2,202.8
Other Asset-Backed	—		2,394.3		—		—			2,394.3
Auction Rate	—		—		4.1		—			4.1
Commercial Mortgage-Backed	—		466.5		—		—			466.5
Other	—		32.0		—		—			32.0
Total Available for Sale	5,744.4		28,096.4		4.1		—			33,844.9
Trading Account	—		0.8		—		—			0.8
Total Available for Sale and Trading Securities	5,744.4		28,097.2		4.1		—			33,845.7
Other Assets
Derivative Assets
Foreign Exchange Contracts	—		3,100.1		—		—			3,100.1
Interest Rate Contracts	—		117.1		—		—			117.1
Total Derivative Assets	—		3,217.2		—		(2,373.5		)	843.7
Other Liabilities
Derivative Liabilities
Foreign Exchange Contracts	—		3,168.6		—		—			3,168.6
Interest Rate Contracts	—		84.1		—		—			84.1
Other Financial Derivatives ⁽¹⁾	—		—		27.7		—			27.7
Total Derivative Liabilities	$	—	$	3,252.7	$	27.7	$	(2,089.8	)	$	1,190.6

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 September 30, 2017, derivative assets and liabilities shown above also include reductions of $617.9 million and $334.2 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.



(In Millions)	Level 1		Level 2		Level 3		Netting			Assets/Liabilities at Fair Value
December 31, 2016
Securities
Available for Sale
U.S. Government	$	7,522.6	$	—	$	—	$	—		$	7,522.6
Obligations of States and Political Subdivisions	—		885.2		—		—			885.2
Government Sponsored Agency	—		17,892.8		—		—			17,892.8
Non-U.S. Government	—		417.9		—		—			417.9
Corporate Debt	—		3,765.2		—		—			3,765.2
Covered Bonds	—		1,143.9		—		—			1,143.9
Sub-Sovereign, Supranational and Non-U.S. Agency Bonds	—		1,340.7		—		—			1,340.7
Other Asset-Backed	—		2,085.1		—		—			2,085.1
Auction Rate	—		—		4.7		—			4.7
Commercial Mortgage-Backed	—		471.6		—		—			471.6
Other	—		50.1		—		—			50.1
Total Available for Sale	7,522.6		28,052.5		4.7		—			35,579.8
Trading Account	—		0.3		—		—			0.3
Total Available for Sale and Trading Securities	7,522.6		28,052.8		4.7		—			35,580.1
Other Assets
Derivative Assets
Foreign Exchange Contracts	—		3,609.6		—		—			3,609.6
Interest Rate Contracts	—		247.2		—		—			247.2
Total Derivative Assets	—		3,856.8		—		(2,170.4		)	1,686.4
Other Liabilities
Derivative Liabilities
Foreign Exchange Contracts	—		3,242.9		—		—			3,242.9
Interest Rate Contracts	—		108.0		—		—			108.0
Other Financial Derivatives ⁽¹⁾	—		—		25.2		—			25.2
Total Derivative Liabilities	$	—	$	3,350.9	$	25.2	$	(2,431.2	)	$	944.9

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, 2016, derivative assets and liabilities shown above also include reductions of $461.3 million and $722.1 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.

Changes in Level 3 Assets

The following tables present the changes in Level 3 assets and liabilities for the three and nine months ended September 30, 2017 and 2016.

Table 32: Changes in Level 3 Assets



Level 3 Assets (In Millions)	Auction Rate Securities
Three Months Ended September 30,	2017		2016
Fair Value at July 1	$	4.1	$	6.1
Total Gains (Losses):
Included in Earnings	—		—
Included in Other Comprehensive Income ⁽¹⁾	—		(0.1		)
Purchases, Issues, Sales, and Settlements
Sales	—		—
Settlements	—		(0.2		)
Fair Value at September 30	$	4.1	$	5.8




Nine Months Ended September 30,	2017			2016
Fair Value at January 1	$	4.7		$	17.1
Total Gains (Losses):
Included in Earnings	—			—
Included in Other Comprehensive Income ⁽¹⁾	—			(0.7		)
Purchases, Issues, Sales, and Settlements
Sales	—			(10.1		)
Settlements	(0.6		)	(0.5		)
Fair Value at September 30	$	4.1		$	5.8


⁽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 September 30,	2017			2016
Fair Value at July 1	$	25.9		$	28.7
Total (Gains) Losses:
Included in Earnings ⁽¹⁾	4.0			2.3
Purchases, Issues, Sales, and Settlements
Purchases	—			—
Settlements	(2.2		)	(1.5		)
Fair Value at September 30	$	27.7		$	29.5



Nine Months Ended September 30,	2017			2016
Fair Value at January 1	$	25.2		$	10.8
Total (Gains) Losses:
Included in Earnings ⁽¹⁾	8.4			6.9
Purchases, Issues, Sales, and Settlements
Purchases	—			14.9
Settlements	(5.9		)	(3.1		)
Fair Value at September 30	$	27.7		$	29.5


⁽¹⁾	(Gains) losses are recorded in other operating income 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)	September 30, 2017
	Book Value		Total Fair Value		Fair Value
					Level 1		Level 2		Level 3
Assets
Cash and Due from Banks	$	5,262.9	$	5,262.9	$	5,262.9	$	—	$	—
Federal Reserve and Other Central Bank Deposits	34,060.7		34,060.7		—		34,060.7		—
Interest-Bearing Deposits with Banks	5,684.4		5,684.4		—		5,684.4		—
Federal Funds Sold and Resell Agreements	1,670.8		1,670.8		—		1,670.8		—
Securities
Available for Sale (Note)	33,844.9		33,844.9		5,744.4		28,096.4		4.1
Held to Maturity	10,811.0		10,778.7		23.9		10,754.8		—
Trading Account	0.8		0.8		—		0.8		—
Loans (excluding Leases)
Held for Investment	32,950.3		33,077.6		—		—		33,077.6
Held for Sale	—		—		—		—		—
Client Security Settlement Receivables	1,274.0		1,274.0		—		1,274.0		—
Other Assets
Federal Reserve and Federal Home Loan Bank Stock	248.1		248.1		—		248.1		—
Community Development Investments	333.8		345.0		—		345.0		—
Employee Benefit and Deferred Compensation	180.3		180.7		118.0		62.7		—
Liabilities
Deposits
Demand, Noninterest-Bearing, Savings, Money Market and Other Interest-Bearing	$	42,342.1	$	42,342.1	$	42,342.1	$	—	$	—
Savings Certificates and Other Time	1,227.4		1,229.2		—		1,229.2		—
Non U.S. Offices Interest-Bearing	62,241.1		62,241.1		—		62,241.1		—
Federal Funds Purchased	2,142.2		2,142.2		—		2,142.2		—
Securities Sold under Agreements to Repurchase	523.9		523.9		—		523.9		—
Other Borrowings	6,052.3		6,053.3		—		6,053.3		—
Senior Notes	1,497.1		1,541.4		—		1,541.4		—
Long Term Debt (excluding Leases)
Subordinated Debt	1,647.3		1,657.8		—		1,657.8		—
Floating Rate Capital Debt	277.5		259.3		—		259.3		—
Other Liabilities
Standby Letters of Credit	34.9		34.9		—		—		34.9
Loan Commitments	29.6		29.6		—		—		29.6
Derivative Instruments
Asset/Liability Management
Foreign Exchange Contracts
Assets	$	52.7	$	52.7	$	—	$	52.7	$	—
Liabilities	166.3		166.3		—		166.3		—
Interest Rate Contracts
Assets	35.6		35.6		—		35.6		—
Liabilities	16.8		16.8		—		16.8		—
Other Financial Derivatives
Liabilities ⁽¹⁾	27.7		27.7		—		—		27.7
Client-Related and Trading
Foreign Exchange Contracts
Assets	3,047.4		3,047.4		—		3,047.4		—
Liabilities	3,002.2		3,002.2		—		3,002.2		—
Interest Rate Contracts
Assets	81.5		81.5		—		81.5		—
Liabilities	67.3		67.3		—		67.3		—

Note: Refer to the table located on page 40 for the disaggregation of available for sale securities.


⁽¹⁾	This line consists of swaps related to the sale of certain Visa Class B common shares.



(In Millions)	December 31, 2016
	Book Value		Total Fair Value		Fair Value
					Level 1		Level 2		Level 3
Assets
Cash and Due from Banks	$	5,332.0	$	5,332.0	$	5,332.0	$	—	$	—
Federal Reserve and Other Central Bank Deposits	26,674.2		26,674.2		—		26,674.2		—
Interest-Bearing Deposits with Banks	4,800.6		4,800.6		—		4,800.6		—
Federal Funds Sold and Resell Agreements	1,974.3		1,974.3		—		1,974.3		—
Securities
Available for Sale (Note)	35,579.8		35,579.8		7,522.6		28,052.5		4.7
Held to Maturity	8,921.1		8,905.1		15.0		8,890.1		—
Trading Account	0.3		0.3		—		0.3		—
Loans (excluding Leases)
Held for Investment	33,354.1		33,471.3		—		—		33,471.3
Held for Sale	13.4		13.4		—		—		13.4
Client Security Settlement Receivables	1,043.7		1,043.7		—		1,043.7		—
Other Assets
Federal Reserve and Federal Home Loan Bank Stock	203.1		203.1		—		203.1		—
Community Development Investments	218.9		215.5		—		215.5		—
Employee Benefit and Deferred Compensation	166.2		162.5		107.2		55.3		—
Liabilities
Deposits
Demand, Noninterest-Bearing, Savings, Money Market and Other Interest-Bearing	$	46,671.9	$	46,671.9	$	46,671.9	$	—	$	—
Savings Certificates and Other Time	1,331.7		1,337.5		—		1,337.5		—
Non U.S. Offices Interest-Bearing	53,648.1		53,648.1		—		53,648.1		—
Federal Funds Purchased	204.8		204.8		—		204.8		—
Securities Sold under Agreements to Repurchase	473.7		473.7		—		473.7		—
Other Borrowings	5,109.5		5,113.4		—		5,113.4		—
Senior Notes	1,496.6		1,535.5		—		1,535.5		—
Long Term Debt (excluding Leases)
Subordinated Debt	1,307.9		1,316.0		—		1,316.0		—
Floating Rate Capital Debt	277.4		251.0		—		251.0		—
Other Liabilities
Standby Letters of Credit	37.2		37.2		—		—		37.2
Loan Commitments	41.2		41.2		—		—		41.2
Derivative Instruments
Asset/Liability Management
Foreign Exchange Contracts
Assets	$	335.4	$	335.4	$	—	$	335.4	$	—
Liabilities	21.2		21.2		—		21.2		—
Interest Rate Contracts
Assets	160.2		160.2		—		160.2		—
Liabilities	22.8		22.8		—		22.8		—
Other Financial Derivatives
Liabilities ⁽¹⁾	25.2		25.2		—		—		25.2
Client-Related and Trading
Foreign Exchange Contracts
Assets	3,274.2		3,274.2		—		3,274.2		—
Liabilities	3,221.7		3,221.7		—		3,221.7		—
Interest Rate Contracts
Assets	87.0		87.0		—		87.0		—
Liabilities	85.2		85.2		—		85.2		—

Note: Refer to the table located on page 41 for the disaggregation of available for sale securities.


⁽¹⁾	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]

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 September 30, 2017 and December 31, 2016.

Table 30: Level 3 Significant Unobservable Inputs



	September 30, 2017
Financial Instrument	Fair Value			Valuation Technique	Unobservable Inputs	Range of Inputs
Auction Rate Securities	$	4.1	million	Comparables	Price	$87		—	99
Swaps Related to Sale of Certain Visa Class B Common Shares	$	27.7	million	Discounted Cash Flow	Visa Class A Appreciation	7.0	%	—	11.0%
				Discounted Cash Flow	Conversion Rate	1.63	x	—	1.65x
					Expected Duration	1.5		—	4.0 years



	December 31, 2016
Financial Instrument	Fair Value			Valuation Technique	Unobservable Inputs	Range of Inputs
Auction Rate Securities	$	4.7	million	Comparables	Price	$84		—	99
Swap Related to Sale of Certain Visa Class B Common Shares	$	25.2	million	Discounted Cash Flow	Visa Class A Appreciation	7.0	%	—	11.0%
				Discounted Cash Flow	Conversion Rate	1.63	x	—	1.65x
					Expected Duration	1.5		—	4.5 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 September 30, 2017 and December 31, 2016.

Table 34: Level 3 Nonrecurring Basis Significant Unobservable Inputs



	September 30, 2017
Financial Instrument	Fair Value	Valuation Technique	Unobservable Input	Range of Discounts Applied
Loans	$12.6 million	Market Approach	Discount to reflect realizable value	15.0	%	-	25.0%
OREO	$1.4 million	Market Approach	Discount to reflect realizable value	15.0	%	-	20.0%



	December 31, 2016
Financial Instrument	Fair Value	Valuation Technique	Unobservable Input	Range of Discounts Applied
Loans	$6.7 million	Market Approach	Discount to reflect realizable value	15.0	%	-	25.0%
OREO	$0.7 million	Market Approach	Discount to reflect realizable value	15.0	%	-	20.0%