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Fair Value Measurements (Tables)
 12 Months Ended
Dec. 31, 2019
Fair Value Disclosures [Abstract]  
Valuation Techniques, Significant Unobservable Inputs, and Quantitative Information
The following table presents the fair values of Northern Trust’s Level 3 assets that were measured at fair value on a nonrecurring basis as of December 31, 2019 and 2018, as well as the valuation technique, significant unobservable inputs, and quantitative information used to develop the significant unobservable inputs for such assets as of such dates.

TABLE 63: LEVEL 3 NONRECURRING BASIS SIGNIFICANT UNOBSERVABLE INPUTS
 
DECEMBER 31, 2019
FINANCIAL INSTRUMENT
FAIR VALUE
VALUATION TECHNIQUE
UNOBSERVABLE INPUT
RANGE OF DISCOUNTS APPLIED
Loans
$8.0 million
Market Approach
Discount to reflect realizable value
15.0%
–
30.0%

 
DECEMBER 31, 2018
FINANCIAL INSTRUMENT
FAIR VALUE
VALUATION TECHNIQUE
UNOBSERVABLE INPUT
RANGE OF DISCOUNTS APPLIED
Loans
$24.9 million
Market Approach
Discount to reflect realizable value
15.0%
–
30.0%
OREO
$0.4 million
Market Approach
Discount to reflect realizable value
15.0%
–
30.0%


The following table presents the fair values of Northern Trust’s Level 3 liabilities as of December 31, 2019 and 2018, as well as the valuation techniques, significant unobservable inputs, and quantitative information used to develop significant unobservable inputs for such liabilities as of such dates.
TABLE 60: LEVEL 3 SIGNIFICANT UNOBSERVABLE INPUTS
 
DECEMBER 31, 2019
FINANCIAL INSTRUMENT
FAIR VALUE

VALUATION TECHNIQUE
UNOBSERVABLE INPUT
INPUT VALUE
Swaps Related to Sale of Certain
Visa Class B Common Shares
$
33.4
 million
Discounted Cash Flow
Conversion Rate
1.62x
 
 
 
Visa Class A Appreciation
8.54%
 
 
 
 
RANGE OF INPUTS
 
 
 
Expected Duration
1.0

–
3.0 years

 
DECEMBER 31, 2018
FINANCIAL INSTRUMENT
FAIR VALUE

VALUATION TECHNIQUE
UNOBSERVABLE INPUT
RANGE OF INPUTS
Swaps Related to Sale of Certain Visa Class B Common Shares
$
32.8
 million
Discounted Cash Flow
Conversion Rate
1.62x

–
1.64x
 
 
 
Visa Class A Appreciation
7.0
%
–
11.0%
 
 
 
Expected Duration
1.5

–
4.0 years
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, 2019 and 2018, segregated by fair value hierarchy level.

TABLE 61: RECURRING BASIS HIERARCHY LEVELING
 
DECEMBER 31, 2019
(In Millions)
LEVEL 1
 
LEVEL 2

LEVEL 3

NETTING

ASSETS/
LIABILITIES
AT FAIR
VALUE

Debt Securities
 
 
 
 
 
Available for Sale
 
 
 
 
 
U.S. Government
$
4,549.1
 
$
—

$
—

$
—

$
4,549.1

Obligations of States and Political Subdivisions
—
 
1,615.3

—

—

1,615.3

Government Sponsored Agency
—
 
23,271.2

—

—

23,271.2

Non-U.S. Government
—
 
3.3

—

—

3.3

Corporate Debt
—
 
2,402.7

—

—

2,402.7

Covered Bonds
—
 
769.9

—

—

769.9

Sub-Sovereign, Supranational and Non-U.S. Agency Bonds
—
 
2,127.6

—

—

2,127.6

Other Asset-Backed
—
 
3,330.5

—

—

3,330.5

Commercial Mortgage-Backed
—
 
797.7

—

—

797.7

Other
—
 
9.0

—

—

9.0

 
 
 
 
 
 
Total Available for Sale
4,549.1
 
34,327.2

—

—

38,876.3

 
 
 
 
 
 
Trading Account
—
 
0.3

—

—

0.3

 
 
 
 
 
 
Total Available for Sale and Trading Debt Securities
4,549.1
 
34,327.5

—

—

38,876.6

 
 
 
 
 
 
Other Assets
 
 
 
 
 
Derivative Assets
 
 
 
 
 
Foreign Exchange Contracts
—
 
3,234.8

—

(2,334.1
)
900.7

Interest Rate Contracts
—
 
152.9

—

(3.9
)
149.0

 
 
 
 
 
 
Total Derivative Assets
—
 
3,387.7

—

(2,338.0
)
1,049.7

 
 
 
 
 
 
Other Liabilities
 
 
 
 
 
Derivative Liabilities
 
 
 
 
 
Foreign Exchange Contracts
—
 
3,182.2

—

(1,548.6
)
1,633.6

Interest Rate Contracts
—
 
97.4

—

(57.3
)
40.1

Other Financial Derivatives (1)
—
 
—

33.4

(12.5
)
20.9

 
 
 
 
 
 
Total Derivative Liabilities
$
—
 
$
3,279.6

$
33.4

$
(1,618.4
)
$
1,694.6

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 December 31, 2019, derivative assets and liabilities shown above also include reductions of $1,136.8 million and $417.2 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.
 
DECEMBER 31, 2018
(In Millions)
LEVEL 1
 
LEVEL 2

LEVEL 3

NETTING

ASSETS/
LIABILITIES
AT FAIR
VALUE

Debt Securities
 
 
 
 
 
Available for Sale
 
 
 
 
 
U.S. Government
$
5,185.3
 
$
—

$
—

$
—

$
5,185.3

Obligations of States and Political Subdivisions
—
 
655.9

—

—

655.9

Government Sponsored Agency
—
 
22,424.6

—

—

22,424.6

Non-U.S. Government
—
 
142.2

—

—

142.2

Corporate Debt
—
 
2,294.7

—

—

2,294.7

Covered Bonds
—
 
829.3

—

—

829.3

Sub-Sovereign, Supranational and Non-U.S. Agency Bonds
—
 
2,096.2

—

—

2,096.2

Other Asset-Backed
—
 
2,657.7

—

—

2,657.7

Commercial Mortgage Backed
—
 
587.2

—

—

587.2

Other
—
 
15.7

—

—

15.7

 
 
 
 
 
 
Total Available for Sale
5,185.3
 
31,703.5

—

—

36,888.8

 
 
 
 
 
 
Trading Account
—
 
0.3

—

—

0.3

 
 
 
 
 
 
Total Available for Sale and Trading Debt Securities
5,185.3
 
31,703.8

—

—

36,889.1

 
 
 
 
 
 
Other Assets
 
 
 
 
 
Derivative Assets
 
 
 
 
 
Foreign Exchange Contracts
—
 
2,466.1

—

(1,308.8
)
1,157.3

Interest Rate Contracts
—
 
96.1

—

(47.0
)
49.1

Other Financial Derivative (1)
—
 
1.3

—

(1.3
)
—

 
 
 
 
 
 
Total Derivatives Assets
—
 
2,563.5

—

(1,357.1
)
1,206.4

 
 
 
 
 
 
Other Liabilities
 
 
 
 
 
Derivative Liabilities
 
 
 
 
 
Foreign Exchange Contracts
—
 
2,262.5

—

(1,751.7
)
510.8

Interest Rate Contracts
—
 
93.1

—

(43.4
)
49.7

Other Financial Derivative (2)
—
 
—

32.8

(1.2
)
31.6

 
 
 
 
 
 
Total Derivative Liabilities
$
—
 
$
2,355.6

$
32.8

$
(1,796.3
)
$
592.1

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 December 31, 2018, derivative assets and liabilities shown above also include reductions of $134.5 million and $573.7 million, respectively, as a result of cash collateral received from and deposited with derivative counterparties.
(1) This line consists of a total return swap contract.
(2) This line consists of swaps related to the sale of certain Visa Class B common shares.
Changes in Level 3 Assets
The following table presents the changes in Level 3 liabilities for the years ended December 31, 2019 and 2018.

TABLE 62: CHANGES IN LEVEL 3 LIABILITIES
LEVEL 3 LIABILITIES
SWAPS RELATED TO SALE OF CERTAIN VISA CLASS B
COMMON SHARES
 
(In Millions)
2019

2018

Fair Value at January 1
$
32.8

$
29.7

Total (Gains) Losses:
 
 
Included in Earnings (1)
17.1

19.8

Purchases, Issues, Sales, and Settlements
 
 
Settlements
(16.5
)
(16.7
)
Fair Value at December 31
$
33.4

$
32.8

Unrealized (Gains) Losses Included in Earnings Related to Financial Instruments Held at December 31 (1)
$
12.3

$
13.3


(1) Gains (losses) are recorded in other operating income within the consolidated statements of income.
Changes in Level 3 Liabilities
The following table presents the changes in Level 3 liabilities for the years ended December 31, 2019 and 2018.

TABLE 62: CHANGES IN LEVEL 3 LIABILITIES
LEVEL 3 LIABILITIES
SWAPS RELATED TO SALE OF CERTAIN VISA CLASS B
COMMON SHARES
 
(In Millions)
2019

2018

Fair Value at January 1
$
32.8

$
29.7

Total (Gains) Losses:
 
 
Included in Earnings (1)
17.1

19.8

Purchases, Issues, Sales, and Settlements
 
 
Settlements
(16.5
)
(16.7
)
Fair Value at December 31
$
33.4

$
32.8

Unrealized (Gains) Losses Included in Earnings Related to Financial Instruments Held at December 31 (1)
$
12.3

$
13.3


(1) Gains (losses) are recorded in other operating income 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 64: FAIR VALUE OF FINANCIAL INSTRUMENTS
 
DECEMBER 31, 2019
 
 
 
FAIR VALUE
(In Millions)
BOOK VALUE

TOTAL
FAIR VALUE

LEVEL 1

LEVEL 2

LEVEL 3

ASSETS
 
 
 
 
 
Cash and Due from Banks
$
4,459.2

$
4,459.2

$
4,459.2

$
—

$
—

Federal Reserve and Other Central Bank Deposits
33,886.0

33,886.0

—

33,886.0

—

Interest-Bearing Deposits with Banks
4,877.1

4,877.1

—

4,877.1

—

Federal Funds Sold and Securities Purchased under Agreements to Resell
712.8

712.8

—

712.8

—

Debt Securities
 
 
 
 
 
Available for Sale(1)
38,876.3

38,876.3

4,549.1

34,327.2

—

Held to Maturity
12,284.5

12,249.3

138.8

12,110.5

—

Trading Account
0.3

0.3

—

0.3

—

Loans (excluding Leases)
 
 
 
 
 
Held for Investment
31,239.5

31,517.8

—

—

31,517.8

Client Security Settlement Receivables
845.7

845.7

—

845.7

—

Other Assets
 
 
 
 
 
Federal Reserve and Federal Home Loan Bank Stock
301.2

301.2

—

301.2

—

Community Development Investments
749.3

749.3

—

749.3

—

Employee Benefit and Deferred Compensation
199.5

207.6

131.0

76.6

—

LIABILITIES
 
 
 
 
 
Deposits
 
 
 
 
 
Demand, Noninterest-Bearing, Savings, Money Market and Other Interest-Bearing
$
47,733.6

$
47,733.6

$
47,733.6

$
—

$
—

Savings Certificates and Other Time
986.7

994.2

—

994.2

—

Non U.S. Offices Interest-Bearing
60,400.3

60,400.3

—

60,400.3

—

Federal Funds Purchased
552.9

552.9

—

552.9

—

Securities Sold Under Agreements to Repurchase
489.7

489.7

—

489.7

—

Other Borrowings
6,744.8

6,745.9

—

6,745.9

—

Senior Notes
2,573.0

2,593.0

—

2,593.0

—

Long-Term Debt
 
 
 
 
 
Subordinated Debt
1,148.1

1,169.5

—

1,169.5

—

Floating Rate Capital Debt
277.7

262.1

—

262.1

—

Other Liabilities
 
 
 
 
 
Standby Letters of Credit
25.5

25.5

—

—

25.5

Loan Commitments
32.3

32.3

—

—

32.3

DERIVATIVE INSTRUMENTS
 
 
 
 
 
Asset/Liability Management
 
 
 
 
 
Foreign Exchange Contracts
 
 
 
 
 
Assets
$
83.1

$
83.1

$
—

$
83.1

$
—

Liabilities
24.1

24.1

—

24.1

—

Interest Rate Contracts
 
 
 
 
 
Assets
20.5

20.5

—

20.5

—

Liabilities
21.1

21.1

—

21.1

—

Other Financial Derivatives
 
 
 
 
 
Liabilities(2)
33.4

33.4

—

—

33.4

Client-Related and Trading
 
 
 
 
 
Foreign Exchange Contracts
 
 
 
 
 
Assets
3,151.7

3,151.7

—

3,151.7

—

Liabilities
3,158.1

3,158.1

—

3,158.1

—

Interest Rate Contracts
 
 
 
 
 
Assets
132.4

132.4

—

132.4

—

Liabilities
76.3

76.3

—

76.3

—

(1) Refer to the table located on page 107 for the disaggregation of available for sale debt securities.
(2) This line consists of swaps related to the sale of certain Visa Class B common shares.

 
DECEMBER 31, 2018

 
 
FAIR VALUE
(In Millions)
BOOK VALUE

TOTAL
FAIR VALUE

LEVEL 1

LEVEL 2

LEVEL 3

ASSETS
 
 
 
 
 
Cash and Due from Banks
$
4,581.6

$
4,581.6

$
4,581.6

$
—

$
—

Federal Reserve and Other Central Bank Deposits
30,080.2

30,080.2

—

30,080.2

—

Interest-Bearing Deposits with Banks
4,264.2

4,264.2

—

4,264.2

—

Federal Funds Sold and Securities Purchased under Agreements to Resell
1,165.2

1,165.2

—

1,165.2

—

Debt Securities
 
 
 
 
 
Available for Sale(1)
36,888.8

36,888.8

5,185.3

31,703.5

—

Held to Maturity
14,354.0

14,267.0

101.6

14,165.4

—

Trading Account
0.3

0.3

—

0.3

—

Loans (excluding Leases)
 
 
 
 
 
Held for Investment
32,287.0

32,339.2

—

—

32,339.2

Client Security Settlement Receivables
1,646.1

1,646.1

—

1,646.1

—

Other Assets
 
 
 
 
 
Federal Reserve and Federal Home Loan Bank Stock
300.3

300.3

—

300.3

—

Community Development Investments
606.6

606.6

—

606.6

—

Employee Benefit and Deferred Compensation
202.3

194.5

125.0

69.5

—

LIABILITIES
 
 
 
 
 
Deposits
 
 
 
 
 
Demand, Noninterest-Bearing, Savings, Money Market and Other Interest-Bearing
$
37,340.1

$
37,340.1

$
37,340.1

$
—

$
—

Savings Certificates and Other Time
688.7

691.8

—

691.8

—

Non U.S. Offices Interest-Bearing
66,468.0

66,468.0

—

66,468.0

—

Federal Funds Purchased
2,594.2

2,594.2

—

2,594.2

—

Securities Sold Under Agreements to Repurchase
168.3

168.3

—

168.3

—

Other Borrowings
7,901.7

7,904.1

—

7,904.1

—

Senior Notes
2,011.3

1,994.4

—

1,994.4

—

Long-Term Debt
 
 
 
 
 
Subordinated Debt
1,112.4

1,089.7

—

1,089.7

—

Floating Rate Capital Debt
277.6

253.5

—

253.5

—

Other Liabilities
 
 
 
 
 
Standby Letters of Credit
30.8

30.8

—

—

30.8

Loan Commitments
34.3

34.3

—

—

34.3

DERIVATIVE INSTRUMENTS
 
 
 
 
 
Asset/Liability Management
 
 
 
 
 
Foreign Exchange Contracts
 
 
 
 
 
Assets
$
306.7

$
306.7

$
—

$
306.7

$
—

Liabilities
72.5

72.5

—

72.5

—

Interest Rate Contracts
 
 
 
 
 
Assets
30.0

30.0

—

30.0

—

Liabilities
24.5

24.5

—

24.5

—

Other Financial Derivatives
 
 
 
 
 
Assets(2)
1.3

1.3

—

1.3

—

Liabilities(3)
32.8

32.8

—

—

32.8

Client-Related and Trading
 
 
 
 
 
Foreign Exchange Contracts
 
 
 
 
 
Assets
2,159.4

2,159.4

—

2,159.4

—

Liabilities
2,190.0

2,190.0

—

2,190.0

—

Interest Rate Contracts
 
 
 
 
 
Assets
66.1

66.1

—

66.1

—

Liabilities
68.6

68.6

—

68.6

—

(1) Refer to the table located on page 108 for the disaggregation of available for sale debt securities.
(2) This line consists of a total return swap contract.
(3) This line consists of swaps related to the sale of certain Visa Class B common shares.