Securities

3 Months Ended

Mar. 31, 2024

Investments, Debt and Equity Securities [Abstract]

Securities

Securities

Available for Sale Debt Securities. The following tables provide the amortized cost and fair values as of March 31, 2024 and December 31, 2023, and remaining maturities of AFS debt securities as of March 31, 2024.

TABLE 35: RECONCILIATION OF AMORTIZED COST TO FAIR VALUE OF AVAILABLE FOR SALE DEBT SECURITIES

	MARCH 31, 2024
(In Millions)	AMORTIZED COST		GROSS UNREALIZED GAINS		GROSS UNREALIZED LOSSES		FAIR VALUE
U.S. Government	$	6,121.6	$	11.0	$	20.3	$	6,112.3
Obligations of States and Political Subdivisions	309.6		—		14.6		295.0
Government Sponsored Agency	12,501.9		12.5		163.0		12,351.4
Non-U.S. Government	325.0		0.1		17.5		307.6
Corporate Debt	256.5		0.2		6.5		250.2
Covered Bonds	302.7		0.3		6.2		296.8
Sub-Sovereign, Supranational and Non-U.S. Agency Bonds	2,912.6		3.8		55.6		2,860.8
Other Asset-Backed	2,552.4		1.6		31.0		2,523.0
Commercial Mortgage-Backed	659.6		0.2		18.0		641.8
Total	$	25,941.9	$	29.7	$	332.7	$	25,638.9

	DECEMBER 31, 2023
(In Millions)	AMORTIZED COST		GROSS UNREALIZED GAINS		GROSS UNREALIZED LOSSES		FAIR VALUE
U.S. Government	$	3,681.5	$	2.2	$	61.5	$	3,622.2
Obligations of States and Political Subdivisions	315.8		—		20.0		295.8
Government Sponsored Agency	11,744.3		9.0		200.3		11,553.0
Non-U.S. Government	284.8		—		20.4		264.4
Corporate Debt	287.5		0.1		8.1		279.5
Covered Bonds	356.8		—		9.7		347.1
Sub-Sovereign, Supranational and Non-U.S. Agency Bonds	3,013.8		0.1		114.0		2,899.9
Other Asset-Backed	3,061.0		1.6		100.0		2,962.6
Commercial Mortgage-Backed	913.5		0.2		48.4		865.3
Total	$	23,659.0	$	13.2	$	582.4	$	23,089.8

TABLE 36: REMAINING MATURITY OF AVAILABLE FOR SALE DEBT SECURITIES

MARCH 31, 2024	ONE YEAR OR LESS				ONE TO FIVE YEARS				FIVE TO TEN YEARS				OVER TEN YEARS				TOTAL
(In Millions)	AMORTIZED COST		FAIR VALUE		AMORTIZED COST		FAIR VALUE		AMORTIZED COST		FAIR VALUE		AMORTIZED COST		FAIR VALUE		AMORTIZED COST		FAIR VALUE
U.S. Government	$	348.1	$	344.2	$	3,422.0	$	3,412.9	$	2,351.5	$	2,355.2	$	—	$	—	$	6,121.6	$	6,112.3
Obligations of States and Political Subdivisions	—		—		111.2		106.5		198.4		188.5		—		—		309.6		295.0
Government Sponsored Agency	2,631.6		2,606.9		5,460.5		5,396.1		3,409.8		3,375.2		1,000.0		973.2		12,501.9		12,351.4
Non-U.S. Government	64.8		63.5		260.2		244.1		—		—		—		—		325.0		307.6
Corporate Debt	103.1		102.3		153.4		147.9		—		—		—		—		256.5		250.2
Covered Bonds	66.4		65.9		236.3		230.9		—		—		—		—		302.7		296.8
Sub-Sovereign, Supranational and Non-U.S. Agency Bonds	126.8		125.4		2,564.7		2,525.9		221.1		209.5		—		—		2,912.6		2,860.8
Other Asset-Backed	218.3		213.5		2,108.8		2,083.8		122.7		123.0		102.6		102.7		2,552.4		2,523.0
Commercial Mortgage-Backed	21.7		20.6		577.1		570.2		60.8		51.0		—		—		659.6		641.8
Total	$	3,580.8	$	3,542.3	$	14,894.2	$	14,718.3	$	6,364.3	$	6,302.4	$	1,102.6	$	1,075.9	$	25,941.9	$	25,638.9

Note: Mortgage-backed and asset-backed securities are included in the above table taking into account anticipated future prepayments.

Available for Sale Debt Securities with Unrealized Losses. The following table provides information regarding AFS debt securities with no credit losses reported that had been in a continuous unrealized loss position for less than twelve months and for twelve months or longer as of March 31, 2024 and December 31, 2023.

TABLE 37: AVAILABLE FOR SALE DEBT SECURITIES IN UNREALIZED LOSS POSITION WITH NO CREDIT LOSSES REPORTED

MARCH 31, 2024	LESS THAN 12 MONTHS				12 MONTHS OR LONGER				TOTAL
(In Millions)	FAIR VALUE		UNREALIZED LOSSES		FAIR VALUE		UNREALIZED LOSSES		FAIR VALUE		UNREALIZED LOSSES
U.S. Government	$	87.4	$	12.0	$	819.5	$	8.3	$	906.9	$	20.3
Obligations of States and Political Subdivisions	295.0		14.6		—		—		295.0		14.6
Government Sponsored Agency	145.3		7.9		8,865.2		155.1		9,010.5		163.0
Non-U.S. Government	63.5		1.3		189.5		16.2		253.0		17.5
Corporate Debt	36.9		0.9		55.7		0.9		92.6		1.8
Covered Bonds	60.4		0.5		104.9		5.7		165.3		6.2
Sub-Sovereign, Supranational and Non-U.S. Agency Bonds	110.0		5.0		1,066.0		50.6		1,176.0		55.6
Other Asset-Backed	13.9		0.7		995.0		30.3		1,008.9		31.0
Commercial Mortgage-Backed	6.0		0.4		607.4		17.6		613.4		18.0
Total	$	818.4	$	43.3	$	12,703.2	$	284.7	$	13,521.6	$	328.0

Note: Two corporate debt AFS securities with a fair value of $80.1 million and unrealized losses of $4.7 million have been excluded from the table above as these AFS securities have a $0.5 million allowance for credit losses reported as of March 31, 2024. Refer to the discussion further below and Note 6—Allowance for Credit Losses for further information.

DECEMBER 31, 2023	LESS THAN 12 MONTHS				12 MONTHS OR LONGER				TOTAL
(In Millions)	FAIR VALUE		UNREALIZED LOSSES		FAIR VALUE		UNREALIZED LOSSES		FAIR VALUE		UNREALIZED LOSSES
U.S. Government	$	—	$	—	$	3,364.7	$	61.5	$	3,364.7	$	61.5
Obligations of States and Political Subdivisions	87.8		5.9		208.0		14.1		295.8		20.0
Government Sponsored Agency	331.0		11.5		9,486.6		188.8		9,817.6		200.3
Non-U.S. Government	—		—		264.5		20.4		264.5		20.4
Corporate Debt	4.4		0.1		143.0		2.1		147.4		2.2
Covered Bonds	—		—		213.2		9.7		213.2		9.7
Sub-Sovereign, Supranational and Non-U.S. Agency Bonds	—		—		2,477.0		105.8		2,477.0		105.8
Other Asset-Backed	19.8		2.0		1,998.7		98.0		2,018.5		100.0
Commercial Mortgage-Backed	60.0		4.6		776.6		43.8		836.6		48.4
Total	$	503.0	$	24.1	$	18,932.3	$	544.2	$	19,435.3	$	568.3

Note: Three corporate debt AFS securities with a fair value of $98.4 million and unrealized losses of $5.9 million and one sub-sovereign, supranational and non-U.S. agency bonds AFS security with a fair value of $71.0 million and unrealized loss of $8.2 million have been excluded from the table above as these AFS securities have a $1.2 million allowance for credit losses reported as of December 31, 2023. Refer to the discussion further below and Note 6—Allowance for Credit Losses for further information.

As of March 31, 2024, 784 AFS debt securities with a combined fair value of $13.5 billion were in an unrealized loss position without an allowance for credit losses, with their unrealized losses totaling $328.0 million. As of March 31, 2024, unrealized losses related to AFS debt securities of $163.0 million, $55.6 million, and $31.0 million related to government-sponsored agency securities, sub-sovereign, supranational and non-U.S. agency bonds and other asset-backed, respectively, which are primarily attributable to higher intermediate rates.

As of December 31, 2023, 898 AFS debt securities with a combined fair value of $19.4 billion were in an unrealized loss position without an allowance for credit losses, with their unrealized losses totaling $568.3 million. As of December 31, 2023, unrealized losses related to AFS debt securities of $200.3 million, $105.8 million, and $100.0 million related to government-sponsored agency, sub-sovereign, supranational and non-U.S. agency bonds, and other asset-backed, respectively, which are primarily attributable to lower yields and tighter spreads.

AFS debt securities impairment reviews are conducted quarterly to identify and evaluate securities that have indications of possible credit losses. A determination as to whether a security’s decline in market value is related to credit impairment takes into consideration numerous factors and the relative significance of any single factor can vary by security. Factors Northern Trust considers in determining whether impairment is credit-related include, but are not limited to, the severity of the impairment; the cause of the impairment; the financial condition and near-term prospects of the issuer; activity in the market of the issuer, which may indicate adverse credit conditions; Northern Trust’s intent regarding the sale of the security as of the balance sheet date; and the likelihood that Northern Trust will not be required to sell the security for a period of time sufficient to allow for the recovery of the security’s amortized cost basis. For each security meeting the requirements of Northern Trust’s internal screening process, an extensive review is conducted to determine if a credit loss has occurred. In January 2024, the Corporation sold certain AFS debt securities that were in an unrealized loss position. The $189.4 million loss is recognized in Investment Security Gains (Losses), net on the consolidated statements of income for the period ended March 31, 2024. In November 2023, the Corporation sold certain AFS debt securities that were in an unrealized loss position. The $176.4 million loss is recognized in Investment Security Gains (Losses), net on the consolidated statements of income for the period ended December 31, 2023.

There was a $0.7 million negative Provision for Credit Losses for AFS securities for the three months ended March 31, 2024. There was a $0.5 million Provision for Credit Losses for AFS securities for the three months ended March 31, 2023. There was a $0.5 million allowance for credit losses for AFS securities as of March 31, 2024 which was related to corporate debt securities and $1.2 million allowance for credit losses for AFS securities as of December 31, 2023, which was related to corporate debt securities and non-U.S. agency bonds. The process for identifying credit losses for AFS securities is based on the best estimate of cash flows to be collected from the security, discounted using the security’s effective interest rate. If the present value of the expected cash flows is found to be less than the current amortized cost of the security, an allowance for credit losses is generally recorded equal to the difference between the two amounts, limited to the amount the amortized cost basis exceeds the fair value of the security. For additional information, please refer to Note 6— Allowance for Credit Losses.

Held to Maturity Debt Securities. Held to maturity (HTM) debt securities consist of securities that management intends to, and Northern Trust has the ability to, hold until maturity. The following tables provide the amortized cost and fair values as of March 31, 2024 and December 31, 2023, and remaining maturities of HTM debt securities as of March 31, 2024.

TABLE 38: RECONCILIATION OF AMORTIZED COST TO FAIR VALUE OF HELD TO MATURITY DEBT SECURITIES

	MARCH 31, 2024
(In Millions)	AMORTIZED COST		GROSS UNREALIZED GAINS		GROSS UNREALIZED LOSSES		FAIR VALUE
Obligations of States and Political Subdivisions	$	2,571.6	$	0.3	$	89.5	$	2,482.4
Government Sponsored Agency	9,223.3		1.6		1,099.2		8,125.7
Non-U.S. Government	2,742.1		0.1		92.3		2,649.9
Corporate Debt	610.3		—		24.7		585.6
Covered Bonds	2,110.3		0.7		103.8		2,007.2
Certificates of Deposit	403.2		—		0.2		403.0
Sub-Sovereign, Supranational and Non-U.S. Agency Bonds	5,024.5		1.6		289.4		4,736.7
Other Asset-Backed	193.7		1.3		0.2		194.8
Commercial Mortgage-Backed	37.6		—		0.3		37.3
Other	581.3		—		162.5		418.8
Total	$	23,497.9	$	5.6	$	1,862.1	$	21,641.4

	DECEMBER 31, 2023
(In Millions)	AMORTIZED COST		GROSS UNREALIZED GAINS		GROSS UNREALIZED LOSSES		FAIR VALUE
Obligations of States and Political Subdivisions	2,563.9		0.5		72.4		2,492.0
Government Sponsored Agency	9,355.3		2.3		1,012.4		8,345.2
Non-U.S. Government	4,789.1		0.2		90.7		4,698.6
Corporate Debt	646.1		—		28.2		617.9
Covered Bonds	2,208.6		0.3		108.3		2,100.6
Certificates of Deposit	585.1		—		0.7		584.4
Sub-Sovereign, Supranational and Non-U.S. Agency Bonds	5,245.5		3.2		294.9		4,953.8
Other Asset-Backed	214.2		0.4		0.2		214.4
Commercial Mortgage-Backed	37.6		—		0.8		36.8
Other	576.3		—		147.0		429.3
Total	$	26,221.7	$	6.9	$	1,755.6	$	24,473.0

As of March 31, 2024, the $23.5 billion HTM debt securities portfolio had unrealized losses of $1.1 billion and $289.4 million related to government-sponsored agency and sub-sovereign, supranational and non-U.S. agency bonds, respectively, which are primarily attributable to higher intermediate rates. As of December 31, 2023, the $26.2 billion HTM debt securities portfolio had unrealized losses of $1.0 billion and $294.9 million related to government-sponsored agency and sub-sovereign, supranational and non-U.S. agency bonds, respectively, which are primarily attributable to lower yields and tighter spreads.

TABLE 39: REMAINING MATURITY OF HELD TO MATURITY DEBT SECURITIES

MARCH 31, 2024	ONE YEAR OR LESS				ONE TO FIVE YEARS				FIVE TO TEN YEARS				OVER TEN YEARS				TOTAL
(In Millions)	Amortized Cost		Fair Value		Amortized Cost		Fair Value		Amortized Cost		Fair Value		Amortized Cost		Fair Value		Amortized Cost		Fair Value
Obligations of States and Political Subdivisions	$	60.4	$	60.0	$	1,206.8	$	1,174.1	$	1,039.9	$	998.1	$	264.5	$	250.2	$	2,571.6	$	2,482.4
Government Sponsored Agency	990.3		883.6		3,419.8		3,038.5		3,138.9		2,768.6		1,674.3		1,435.0		9,223.3		8,125.7
Non-U.S. Government	1,569.9		1,564.7		1,139.3		1,056.5		32.9		28.7		—		—		2,742.1		2,649.9
Corporate Debt	247.8		243.0		347.3		329.8		15.2		12.8		—		—		610.3		585.6
Covered Bonds	493.8		492.7		1,389.9		1,310.4		226.6		204.1		—		—		2,110.3		2,007.2
Certificates of Deposit	403.2		403.0		—		—		—		—		—		—		403.2		403.0
Sub-Sovereign, Supranational and Non-U.S. Agency Bonds	1,058.4		1,035.1		3,960.5		3,697.1		5.6		4.5		—		—		5,024.5		4,736.7
Other Asset-Backed	1.2		1.2		120.7		121.5		71.8		72.1		—		—		193.7		194.8
Commercial Mortgage-Backed	—		—		37.6		37.3		—		—		—		—		37.6		37.3
Other	50.7		49.2		319.8		285.0		33.1		24.9		177.7		59.7		581.3		418.8
Total	$	4,875.7	$	4,732.5	$	11,941.7	$	11,050.2	$	4,564.0	$	4,113.8	$	2,116.5	$	1,744.9	$	23,497.9	$	21,641.4

Note: Mortgage-backed and asset-backed securities are included in the above table taking into account anticipated future prepayments.

Credit Quality Indicators. The following table provides the amortized cost of HTM debt securities by credit rating.

TABLE 40: AMORTIZED COST OF HELD TO MATURITY DEBT SECURITIES BY CREDIT RATING

	MARCH 31, 2024
($ In Millions)	AAA			AA			A			BBB			NOT RATED			TOTAL
Obligations of States and Political Subdivisions	$	956.9		$	1,614.7		$	—		$	—		$	—		$	2,571.6
Government Sponsored Agency	9,223.3			—			—			—			—			9,223.3
Non-U.S. Government	896.7			707.4			812.9			325.1			—			2,742.1
Corporate Debt	2.2			298.7			309.4			—			—			610.3
Covered Bonds	2,110.3			—			—			—			—			2,110.3
Certificates of Deposit	355.4			—			—			—			47.8			403.2
Sub-Sovereign, Supranational and Non-U.S. Agency Bonds	3,840.8			1,153.1			29.5			1.1			—			5,024.5
Other Asset-Backed	193.7			—			—			—			—			193.7
Commercial Mortgage-Backed	37.6			—			—			—			—			37.6
Other	52.5			—			—			—			528.8			581.3
Total	$	17,669.4		$	3,773.9		$	1,151.8		$	326.2		$	576.6		$	23,497.9
Percent of Total	75		%	16		%	5		%	1		%	3		%	100		%

	DECEMBER 31, 2023
($ In Millions)	AAA			AA			A			BBB			NOT RATED			TOTAL
U.S. Government	$	—		$	—		$	—		$	—		$	—		$	—
Obligations of States and Political Subdivisions	954.7			1,609.0			—			—			0.2			2,563.9
Government Sponsored Agency	9,355.3			—			—			—			—			9,355.3
Non-U.S. Government	813.3			1,179.6			2,463.3			332.9			—			4,789.1
Corporate Debt	2.1			302.6			341.4			—			—			646.1
Covered Bonds	2,208.6			—			—			—			—			2,208.6
Certificates of Deposit	545.9			—			—			—			39.2			585.1
Sub-Sovereign, Supranational and Non-U.S. Agency Bonds	4,047.9			1,166.5			30.0			1.1			—			5,245.5
Other Asset-Backed	214.2			—			—			—			—			214.2
Commercial Mortgage-Backed	37.6			—			—			—			—			37.6
Other	54.8			—			—			—			521.5			576.3
Total	$	18,234.4		$	4,257.7		$	2,834.7		$	334.0		$	560.9		$	26,221.7
Percent of Total	70		%	16		%	11		%	1		%	2		%	100		%

Credit quality indicators are metrics that provide information regarding the relative credit risk of debt securities. Northern Trust maintains a high quality debt securities portfolio, with 96% and 97% of the HTM portfolio at March 31, 2024 and December 31, 2023, respectively, comprised of securities rated A or higher. The remaining HTM debt securities portfolio was comprised of 1% rated BBB at both March 31, 2024 and December 31, 2023 and 3% and 2% which were not rated by Moody’s, S&P Global, or Fitch Ratings at March 31, 2024 and December 31, 2023, respectively. Securities not explicitly rated were grouped where possible under the credit rating of the issuer of the security.

Investment Security Gains and Losses. Proceeds of $2.0 billion from the sale of debt securities resulted in an investment security loss of $189.4 million for the three months ended March 31, 2024. The loss was comprised of $56.6 million in other asset-backed securities, $48.2 million in sub-sovereign, supranational and non-U.S. agency bonds, $34.8 million in U.S. government securities, $23.0 million in government-sponsored agency securities, $22.6 million in commercial mortgage-backed securities, and $4.2 million in covered bonds. Proceeds of $2.1 billion from the sale of debt securities resulted in investment security gains of $6.9 million for the three months ended March 31, 2023. The gain was comprised of a $9.8 million gain in obligations of states and political subdivisions, offset by losses of $1.2 million in corporate debt, $0.9 million in commercial mortgage-backed, and $0.8 million in other asset-backed securities.