Fair Value Measurements (Tables)

6 Months Ended

Jun. 30, 2024

Fair Value Disclosures [Abstract]

Fair Value Measurement Inputs and Valuation Techniques

The following table presents the fair values of Northern Trust’s Level 3 liabilities as of June 30, 2024 and December 31, 2023, 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 35: LEVEL 3 SIGNIFICANT UNOBSERVABLE INPUTS

	JUNE 30, 2024
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	$30.6 million	Discounted Cash Flow	Conversion Rate	1.59x			1.59x
			Visa Class A Appreciation	9.32%			9.32%
			Expected Duration	16	-	38.5 months	29.5 months

(1) Weighted average of expected duration based on scenario probability.

	DECEMBER 31, 2023
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	$25.4 million	Discounted Cash Flow	Conversion Rate	1.59x			1.59x
			Visa Class A Appreciation	10.49%			10.49%
			Expected Duration	9	-	27 months	13 months

(1) Weighted average of expected duration based on scenario probability.

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 June 30, 2024 and December 31, 2023, 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 38: LEVEL 3 NONRECURRING BASIS SIGNIFICANT UNOBSERVABLE INPUTS

	JUNE 30, 2024
FINANCIAL INSTRUMENT	FAIR VALUE(1)	VALUATION TECHNIQUE	UNOBSERVABLE INPUTS	INPUT VALUES				WEIGHTED-AVERAGE INPUT VALUES
Loans	$6.0 million	Market Approach	Discount factor applied to real estate collateral-dependent loans to reflect realizable value	0.0	%	-	15.0%	14.0%

(1) Includes real estate collateral-dependent loans and other collateral-dependent loans.

	DECEMBER 31, 2023
FINANCIAL INSTRUMENT	FAIR VALUE(1)	VALUATION TECHNIQUE	UNOBSERVABLE INPUTS	INPUT VALUES				WEIGHTED-AVERAGE INPUT VALUES
Loans	$43.3 million	Market Approach	Discount factor applied to real estate collateral-dependent loans to reflect realizable value	0.0	%	-	20.0%	2.0%

(1) Includes real estate collateral-dependent loans and other collateral-dependent loans.

Recurring Basis Hierarchy Leveling

The following table presents assets and liabilities measured at fair value on a recurring basis as of June 30, 2024 and December 31, 2023, segregated by fair value hierarchy level.

TABLE 36: RECURRING BASIS HIERARCHY LEVELING

	JUNE 30, 2024
(In Millions)	LEVEL 1		LEVEL 2		LEVEL 3		NETTING		ASSETS/LIABILITIES AT FAIR VALUE
Debt Securities
Available for Sale
U.S. Government	$	6,089.9	$	—	$	—	$	—	$	6,089.9
Obligations of States and Political Subdivisions	—		293.4		—		—		293.4
Government Sponsored Agency	—		12,633.1		—		—		12,633.1
Non-U.S. Government	—		311.2		—		—		311.2
Corporate Debt	—		219.7		—		—		219.7
Covered Bonds	—		299.9		—		—		299.9
Sub-Sovereign, Supranational and Non-U.S. Agency Bonds	—		3,753.4		—		—		3,753.4
Other Asset-Backed	—		2,625.8		—		—		2,625.8
Commercial Mortgage-Backed	—		635.3		—		—		635.3
Total Available for Sale Debt Securities	6,089.9		20,771.8		—		—		26,861.7
Other Assets
Equity Securities(1)	95.0		286.8		—		—		381.8
Derivative Assets
Foreign Exchange Contracts	—		1,424.3		—		(943.2)		481.1
Interest Rate Contracts	—		409.5		—		(175.8)		233.7
Total Derivative Assets	—		1,833.8		—		(1,119.0)		714.8
Other Liabilities
Derivative Liabilities
Foreign Exchange Contracts	—		1,378.5		—		(850.0)		528.5
Interest Rate Contracts	—		472.7		—		(2.3)		470.4
Other Financial Derivatives(2)	—		—		30.6		(29.2)		1.4
Total Derivative Liabilities	$	—	$	1,851.2	$	30.6	$	(881.5)	$	1,000.3

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, 2024, derivative assets and liabilities shown above also include reductions of $586.3 million and $348.9 million, respectively, as a result of cash collateral received from and deposited with derivative counterparties.

(1) Equity securities consists of a money market investment and Visa Class C common shares with a fair value of $95.0 million and $286.8 million, respectively, as of June 30, 2024.

(2) Consists of swaps related to the sale of certain Visa Class B common shares.

	DECEMBER 31, 2023
(In Millions)	LEVEL 1		LEVEL 2		LEVEL 3		NETTING		ASSETS/LIABILITIES AT FAIR VALUE
Debt Securities
Available for Sale
U.S. Government	$	3,622.2	$	—	$	—	$	—	$	3,622.2
Obligations of States and Political Subdivisions	—		295.8		—		—		295.8
Government Sponsored Agency	—		11,553.0		—		—		11,553.0
Non-U.S. Government	—		264.4		—		—		264.4
Corporate Debt	—		279.5		—		—		279.5
Covered Bonds	—		347.1		—		—		347.1
Sub-Sovereign, Supranational and Non-U.S. Agency Bonds	—		2,899.9		—		—		2,899.9
Other Asset-Backed	—		2,962.6		—		—		2,962.6
Commercial Mortgage-Backed	—		865.3		—		—		865.3
Total Available for Sale Debt Securities	3,622.2		19,467.6		—		—		23,089.8
Other Assets
Money Market Investment	95.0		—		—		—		95.0
Derivative Assets
Foreign Exchange Contracts	—		3,266.7		—		(2,937.2)		329.5
Interest Rate Contracts	—		301.5		—		(189.5)		112.0
Total Derivative Assets	—		3,568.2		—		(3,126.7)		441.5
Other Liabilities
Derivative Liabilities
Foreign Exchange Contracts	—		3,255.2		—		(2,175.7)		1,079.5
Interest Rate Contracts	—		369.2		—		(6.0)		363.2
Other Financial Derivatives(1)	—		—		25.4		(23.7)		1.7
Total Derivative Liabilities	$	—	$	3,624.4	$	25.4	$	(2,205.4)	$	1,444.4

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, 2023, derivative assets and liabilities shown above also include reductions of $2,093.8 million and $1,172.5 million, respectively, as a result of cash collateral received from and deposited with derivative counterparties.

(1) 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 and six months ended June 30, 2024 and 2023.

TABLE 37: CHANGES IN LEVEL 3 LIABILITIES

(In Millions)	SWAPS RELATED TO SALE OF CERTAIN VISA CLASS B COMMON SHARES
THREE MONTHS ENDED JUNE 30,	2024		2023
Fair Value at April 1	$	21.1	$	34.6
Total (Gains) Losses:
Included in Earnings(1)	15.4		10.9
Purchases, Issues, Sales, and Settlements
Settlements	(5.9)		(9.1)
Fair Value at June 30	$	30.6	$	36.4

(1) (Gains) losses are recorded in Other Operating Income on the consolidated statements of income.

SIX MONTHS ENDED JUNE 30,	2024		2023
Fair Value at January 1	$	25.4	$	34.8
Total (Gains) Losses:	16.6		18.5
Purchases, Issues, Sales, and Settlements
Settlements	(11.4)		(16.9)
Fair Value at June 30	$	30.6	$	36.4

Fair Value of Financial Instruments

The following tables present the book value and estimated fair value, including the fair value hierarchy level, of Northern Trust’s financial instruments that are not measured at fair value on the consolidated balance sheets as of June 30, 2024 and December 31, 2023. The following tables exclude those items measured at fair value on a recurring basis.

TABLE 39: FAIR VALUE OF FINANCIAL INSTRUMENTS

	JUNE 30, 2024
					ESTIMATED FAIR VALUE
(In Millions)	BOOK VALUE		TOTAL ESTIMATED FAIR VALUE		LEVEL 1		LEVEL 2		LEVEL 3
FINANCIAL ASSETS
Cash and Due from Banks	$	6,567.0	$	6,567.0	$	6,567.0	$	—	$	—
Federal Reserve and Other Central Bank Deposits	43,207.2		43,207.2		—		43,207.2		—
Interest-Bearing Deposits with Banks	1,380.9		1,380.9		—		1,380.9		—
Securities Purchased under Agreements to Resell	859.6		859.6		—		859.6		—
Debt Securities - Held to Maturity	22,798.6		20,942.1		—		20,942.1		—
Loans
Held for Investment	41,967.5		41,936.9		—		—		41,936.9
Other Assets	1,482.0		1,471.4		88.9		1,382.5		—
FINANCIAL LIABILITIES
Deposits	122,990.9		123,057.8		—		123,057.8		—
Federal Funds Purchased	2,406.4		2,406.4		—		2,406.4		—
Securities Sold Under Agreements to Repurchase	629.2		629.2		—		629.2		—
Other Borrowings	6,823.7		6,842.8		—		6,842.8		—
Senior Notes	2,744.0		2,766.5		—		2,766.5		—
Long-Term Debt	4,073.0		4,133.4		—		4,133.4		—
Unfunded Commitments	162.9		162.9		—		162.9		—
Other Liabilities	45.2		45.2		—		—		45.2

    

	DECEMBER 31, 2023
					ESTIMATED FAIR VALUE
(In Millions)	BOOK VALUE		TOTAL ESTIMATED FAIR VALUE		LEVEL 1		LEVEL 2		LEVEL 3
FINANCIAL ASSETS
Cash and Due from Banks	$	4,791.5	$	4,791.5	$	4,791.5	$	—	$	—
Federal Reserve and Other Central Bank Deposits	34,326.2		34,326.2		—		34,326.2		—
Interest-Bearing Deposits with Banks	1,939.0		1,939.0		—		1,939.0		—
Securities Purchased under Agreements to Resell	784.7		784.7		—		784.7		—
Debt Securities - Held to Maturity	26,221.7		24,473.0		—		24,473.0		—
Loans
Held for Investment	47,438.3		47,598.3		—		—		47,598.3
Other Assets	1,476.6		1,458.0		86.1		1,371.9		—
FINANCIAL LIABILITIES
Deposits	116,164.0		116,207.6		—		116,207.6		—
Federal Funds Purchased	3,045.4		3,045.4		—		3,045.4		—
Securities Sold Under Agreements to Repurchase	784.7		784.7		—		784.7		—
Other Borrowings	6,567.8		6,607.4		—		6,607.4		—
Senior Notes	2,773.2		2,798.1		—		2,798.1		—
Long-Term Debt	4,065.0		4,186.8		—		4,186.8		—
Unfunded Commitments	178.8		178.8		—		178.8		—
Other Liabilities	74.9		74.9		—		—		74.9