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Fair Value Measurements (Tables)
 3 Months Ended
Mar. 31, 2020
Fair Value Disclosures [Abstract]  
Fair Value Measurement Inputs and Valuation Techniques
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 March 31, 2020 and December 31, 2019, 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 30: LEVEL 3 NONRECURRING BASIS SIGNIFICANT UNOBSERVABLE INPUTS
 
MARCH 31, 2020
 
FINANCIAL INSTRUMENT
FAIR VALUE(1)
VALUATION TECHNIQUE
UNOBSERVABLE INPUTS
INPUT VALUES
WEIGHTED-AVERAGE INPUT VALUES
Loans
$12.9 million
Market Approach
Discount factor applied to real estate collateral-based loans to reflect realizable value
15.0
%
-
20.0%
15.4%

(1) Includes real estate collateral-based loans and other collateral-based loans.
 
DECEMBER 31, 2019
 
FINANCIAL INSTRUMENT
FAIR VALUE(1)
VALUATION TECHNIQUE
UNOBSERVABLE INPUTS
INPUT VALUES
WEIGHTED-AVERAGE INPUT VALUES
Loans
$8.0 million
Market Approach
Discount factor applied to real estate collateral-based loans to reflect realizable value
15.0
%
-
20.0%
15.3%

(1) Includes real estate collateral-based loans and other collateral-based loans.
The following table presents the fair values of Northern Trust’s Level 3 liabilities as of March 31, 2020 and December 31, 2019, 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 27: LEVEL 3 SIGNIFICANT UNOBSERVABLE INPUTS
 
MARCH 31, 2020
 
FINANCIAL INSTRUMENT
FAIR VALUE
VALUATION TECHNIQUE
UNOBSERVABLE INPUTS
INPUT VALUES
WEIGHTED-AVERAGE INPUT VALUES (1)
Swaps Related to Sale of Certain Visa Class B Common Shares
$26.5 million
Discounted Cash Flow
Conversion Rate
1.62x
1.62x
Visa Class A Appreciation
9.93%
9.93%
Expected Duration
12
-
33 months
20 months

(1) Weighted average of expected duration based on scenario probability.
 
DECEMBER 31, 2019
 
FINANCIAL INSTRUMENT
FAIR VALUE
VALUATION TECHNIQUE
UNOBSERVABLE INPUTS
INPUT VALUES
WEIGHTED-AVERAGE INPUT VALUES (1)
Swaps Related to Sale of Certain Visa Class B Common Shares
$33.4 million
Discounted Cash Flow
Conversion Rate
1.62x
1.62x
Visa Class A Appreciation
8.54%
8.54%
Expected Duration
12
-
36 months
22 months
(1) Weighted average of expected duration based on scenario probability.
Recurring Basis Hierarchy Leveling
The following table presents assets and liabilities measured at fair value on a recurring basis as of March 31, 2020 and December 31, 2019, segregated by fair value hierarchy level.
TABLE 28: RECURRING BASIS HIERARCHY LEVELING
 
MARCH 31, 2020
(In Millions)
LEVEL 1
LEVEL 2
LEVEL 3
NETTING
ASSETS/LIABILITIES AT FAIR VALUE
Debt Securities
 
 
 
 
 
Available for Sale
 
 
 
 
 
U.S. Government
$
4,584.1

$
—

$
—

$
—

$
4,584.1

Obligations of States and Political Subdivisions
—

1,776.3

—

—

1,776.3

Government Sponsored Agency
—

23,870.0

—

—

23,870.0

Non-U.S. Government
—

3.4

—

—

3.4

Corporate Debt
—

2,436.0

—

—

2,436.0

Covered Bonds
—

553.4

—

—

553.4

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

2,105.5

—

—

2,105.5

Other Asset-Backed
—

3,182.1

—

—

3,182.1

Commercial Mortgage-Backed
—

922.6

—

—

922.6

Other
—

8.3

—

—

8.3

Total Available for Sale
4,584.1

34,857.6

—

—

39,441.7

Trading Account
—

1.2

—

—

1.2

Total Available for Sale and Trading Debt Securities
4,584.1

34,858.8

—

—

39,442.9

Other Assets
 
 
 
 
 
Derivative Assets
 
 
 
 
 
Foreign Exchange Contracts
—

5,935.4

—

(2,062.6
)
3,872.8

Interest Rate Contracts
—

341.5

—

(3.2
)
338.3

Total Derivative Assets
—

6,276.9

—

(2,065.8
)
4,211.1

Other Liabilities
 
 
 
 
 
Derivative Liabilities
 
 
 
 
 
Foreign Exchange Contracts
—

5,763.4

—

(4,763.3
)
1,000.1

Interest Rate Contracts
—

160.1

—

(126.9
)
33.2

Other Financial Derivatives (1)
—

—

26.5

—

26.5

Total Derivative Liabilities
$
—

$
5,923.5

$
26.5

$
(4,890.2
)
$
1,059.8

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, 2020, derivative assets and liabilities shown above also include reductions of $197.6 million and $3,022.0 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, 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.
Changes in Level 3 Liabilities
The following table presents the changes in Level 3 liabilities for the three months ended March 31, 2020 and 2019.
TABLE 29: CHANGES IN LEVEL 3 LIABILITIES
(In Millions)
SWAPS RELATED TO SALE OF CERTAIN VISA CLASS B COMMON SHARES
THREE MONTHS ENDED MARCH 31,
2020
2019
Fair Value at January 1
$
33.4

$
32.8

Total (Gains) Losses:
 
 
Included in Earnings (1)
(2.9
)
5.1

Purchases, Issues, Sales, and Settlements
 
 
Settlements
(4.0
)
(2.9
)
Fair Value at March 31
$
26.5

$
35.0

(1) (Gains) losses are recorded in Other Operating Income on the consolidated statements of income.
 
 
 
Fair Value of Financial Instruments
The following table summarizes the fair values of all financial instruments.
TABLE 31: FAIR VALUE OF FINANCIAL INSTRUMENTS
 
MARCH 31, 2020
 
 
 
FAIR VALUE
(In Millions)
BOOK VALUE

TOTAL FAIR VALUE

LEVEL 1

LEVEL 2

LEVEL 3

ASSETS
 
 
 
Cash and Due from Banks
$
5,833.2

$
5,833.2

$
5,833.2

$
—

$
—

Federal Reserve and Other Central Bank Deposits
44,661.5

44,661.5

—

44,661.5

—

Interest-Bearing Deposits with Banks
5,358.9

5,358.9

—

5,358.9

—

Federal Funds Sold and Securities Purchased under Agreements to Resell
998.2

998.2

—

998.2

—

Debt Securities
 
 
 
 
 
Available for Sale(1)
39,441.7

39,441.7

4,584.1

34,857.6

—

Held to Maturity
12,635.7

12,533.0

105.0

12,428.0

—

Trading Account
1.2

1.2

—

1.2

—

Loans (excluding Leases)
 
 
 
 
 
Held for Investment
37,626.2

38,076.3

—

—

38,076.3

Client Security Settlement Receivables
2,116.9

2,116.9

—

2,116.9

—

Other Assets
 
 
 
 
 
Federal Reserve and Federal Home Loan Bank Stock
301.2

301.2

—

301.2

—

Community Development Investments
746.2

746.2

—

746.2

—

Employee Benefit and Deferred Compensation
204.7

218.9

147.1

71.8

—

LIABILITIES
 
 
 
 
 
Deposits
 
 
 
Demand, Noninterest-Bearing, Savings, Money Market and Other Interest-Bearing
$
60,793.4

$
60,793.4

$
60,793.4

$
—

$
—

Savings Certificates and Other Time
918.7

927.9

—

927.9

—

Non U.S. Offices Interest-Bearing
69,779.1

69,779.1

—

69,779.1

—

Federal Funds Purchased
4,370.6

4,370.6

—

4,370.6

—

Securities Sold Under Agreements to Repurchase
34.1

34.1

—

34.1

—

Other Borrowings
5,955.9

5,949.8

—

5,949.8

—

Senior Notes
2,668.5

2,583.6

—

2,583.6

—

Long-Term Debt
 
 
 
 
 
Subordinated Debt
1,196.0

1,122.6

—

1,122.6

—

Floating Rate Capital Debt
277.7

255.5

—

255.5

—

Other Liabilities
 
 
 
 
 
Standby Letters of Credit
27.2

27.2

—

—

27.2

Loan Commitments
49.0

49.0

—

—

49.0

Derivative Instruments
 
 
 
 
 
Asset/Liability Management
 
 
 
 
 
Foreign Exchange Contracts
 
 
 
 
 
Assets
$
149.3

$
149.3

$
—

$
149.3

$
—

Liabilities
17.3

17.3

—

17.3

—

Interest Rate Contracts
 
 
 
 
 
Assets
12.9

12.9

—

12.9

—

Liabilities
18.3

18.3

—

18.3

—

Other Financial Derivatives
 
 
 
 
Liabilities(2)
26.5

26.5

—

—

26.5

Client-Related and Trading
 
 
 
 
 
Foreign Exchange Contracts
 
 
 
 
 
Assets
5,786.1

5,786.1

—

5,786.1

—

Liabilities
5,746.1

5,746.1

—

5,746.1

—

Interest Rate Contracts
 
 
 
 
Assets
328.6

328.6

—

328.6

—

Liabilities
141.8

141.8

—

141.8

—

(1) Refer to the table located on page 38 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, 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 39 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.