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Fair Value Measurements (Tables)
 3 Months Ended
Mar. 31, 2023
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 March 31, 2023 and December 31, 2022, 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 30: LEVEL 3 SIGNIFICANT UNOBSERVABLE INPUTS
MARCH 31, 2023
FINANCIAL INSTRUMENTFAIR VALUEVALUATION TECHNIQUEUNOBSERVABLE INPUTSINPUT VALUES
WEIGHTED-AVERAGE INPUT VALUES(1)
Swaps Related to Sale of Certain Visa Class B Common Shares$34.6 millionDiscounted Cash FlowConversion Rate1.60x1.60x
Visa Class A Appreciation8.92%8.92%
Expected Duration12-33 months20 months
(1) Weighted average of expected duration based on scenario probability.
DECEMBER 31, 2022
FINANCIAL INSTRUMENTFAIR VALUEVALUATION TECHNIQUEUNOBSERVABLE INPUTSINPUT VALUES
WEIGHTED-AVERAGE INPUT VALUES(1)
Swaps Related to Sale of Certain Visa Class B Common Shares$34.8 millionDiscounted Cash FlowConversion Rate1.60x1.60x
Visa Class A Appreciation8.53%8.53%
Expected Duration12-33 months20 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 March 31, 2023 and December 31, 2022, 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 33: LEVEL 3 NONRECURRING BASIS SIGNIFICANT UNOBSERVABLE INPUTS
MARCH 31, 2023
FINANCIAL INSTRUMENT
FAIR VALUE(1)
VALUATION TECHNIQUEUNOBSERVABLE INPUTSINPUT VALUESWEIGHTED-AVERAGE INPUT VALUES
Loans$5.1 millionMarket Approach
Discount factor applied to real estate collateral-dependent loans to reflect realizable value
20.0%20.0%
(1) Includes real estate collateral-dependent loans and other collateral-dependent loans.
DECEMBER 31, 2022
FINANCIAL INSTRUMENT
FAIR VALUE(1)
VALUATION TECHNIQUEUNOBSERVABLE INPUTSINPUT VALUESWEIGHTED-AVERAGE INPUT VALUES
Loans$6.6 millionMarket Approach
Discount factor applied to real estate collateral-dependent loans to reflect realizable value
15.0 %-20.0%17.2%
(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 March 31, 2023 and December 31, 2022, segregated by fair value hierarchy level.
TABLE 31: RECURRING BASIS HIERARCHY LEVELING
MARCH 31, 2023
(In Millions)LEVEL 1LEVEL 2LEVEL 3NETTINGASSETS/LIABILITIES AT FAIR VALUE
Debt Securities
Available for Sale
U.S. Government$2,859.9 $— $— $— $2,859.9 
Obligations of States and Political Subdivisions— 291.9 — — 291.9 
Government Sponsored Agency— 11,433.4 — — 11,433.4 
Non-U.S. Government— 361.4 — — 361.4 
Corporate Debt— 634.5 — — 634.5 
Covered Bonds— 344.4 — — 344.4 
Sub-Sovereign, Supranational and Non-U.S. Agency Bonds— 2,787.7 — — 2,787.7 
Other Asset-Backed— 5,010.4 — — 5,010.4 
Commercial Mortgage-Backed— 903.9 — — 903.9 
Total Available for Sale2,859.9 21,767.6 — — 24,627.5 
Trading Account— 0.1 — — 0.1 
Total Available for Sale and Trading Debt Securities2,859.9 21,767.7 — — 24,627.6 
Other Assets
Money Market Investment95.0 — — — 95.0 
Derivative Assets
Foreign Exchange Contracts— 2,315.0 — (1,601.1)713.9 
Interest Rate Contracts— 276.2 — (206.5)69.7 
Other Financial Derivatives(1)
— 0.4 — — 0.4 
Total Derivative Assets— 2,591.6 — (1,807.6)784.0 
Other Liabilities
Derivative Liabilities
Foreign Exchange Contracts— 2,272.0 — (1,499.5)772.5 
Interest Rate Contracts— 369.9 — (11.8)358.1 
Other Financial Derivatives(2)
— 1.3 34.6 (14.3)21.6 
Total Derivative Liabilities$— $2,643.2 $34.6 $(1,525.6)$1,152.2 
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, 2023, derivative assets and liabilities shown above also include reductions of $539.5 million and $257.5 million, respectively, as a result of cash collateral received from and deposited with derivative counterparties.
(1)This line consists of total return swap contracts.
(2)This line consists of swaps related to the sale of certain Visa Class B common shares and total return swap contracts.
DECEMBER 31, 2022
(In Millions)LEVEL 1LEVEL 2LEVEL 3NETTINGASSETS/LIABILITIES AT FAIR VALUE
Debt Securities
Available for Sale
U.S. Government$2,747.4 $— $— $— $2,747.4 
Obligations of States and Political Subdivisions— 787.6 — — 787.6 
Government Sponsored Agency— 11,545.2 — — 11,545.2 
Non-U.S. Government— 360.0 — — 360.0 
Corporate Debt— 1,747.6 — — 1,747.6 
Covered Bonds— 388.7 — — 388.7 
Sub-Sovereign, Supranational and Non-U.S. Agency Bonds— 2,479.4 — — 2,479.4 
Other Asset-Backed— 5,256.2 — — 5,256.2 
Commercial Mortgage-Backed— 1,387.8 — — 1,387.8 
Total Available for Sale2,747.4 23,952.5 — — 26,699.9 
Trading Account95.0 0.2 — — 95.2 
Total Available for Sale and Trading Debt Securities2,842.4 23,952.7 — — 26,795.1 
Other Assets
Derivative Assets
Foreign Exchange Contracts— 3,510.1 — (2,666.4)843.7 
Interest Rate Contracts— 222.0 — (144.3)77.7 
Other Financial Derivatives(1)
— 0.3 — — 0.3 
Total Derivative Assets— 3,732.4 — (2,810.7)921.7 
Other Liabilities
Derivative Liabilities
Foreign Exchange Contracts— 3,187.5 — (1,826.7)1,360.8 
Interest Rate Contracts— 431.8 — (5.9)425.9 
Other Financial Derivatives(2)
— — 34.8 (33.3)1.5 
Total Derivative Liabilities$— $3,619.3 $34.8 $(1,865.9)$1,788.2 
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, 2022, derivative assets and liabilities shown above also include reductions of $1,140.2 million and $195.3 million, respectively, as a result of cash collateral received from and deposited with derivative counterparties.
(1) This line consists of total return swap contracts.
(2) 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, 2023 and 2022.
TABLE 32: CHANGES IN LEVEL 3 LIABILITIES
(In Millions)SWAPS RELATED TO SALE OF CERTAIN VISA CLASS B COMMON SHARES
THREE MONTHS ENDED MARCH 31,20232022
Fair Value at January 1
$34.8 $37.5 
Total (Gains) Losses:
Included in Earnings(1)
7.6 4.5 
Purchases, Issues, Sales, and Settlements
Settlements(7.8)(6.7)
Fair Value at March 31
$34.6 $35.3 
(1) (Gains) losses are recorded in Other Operating Income on the consolidated statements of income.
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 March 31, 2023 and December 31, 2022. The following tables exclude those items measured at fair value on a recurring basis.
TABLE 34: FAIR VALUE OF FINANCIAL INSTRUMENTS
MARCH 31, 2023
  ESTIMATED FAIR VALUE
(In Millions)BOOK VALUETOTAL ESTIMATED FAIR VALUELEVEL 1LEVEL 2LEVEL 3
FINANCIAL ASSETS
Cash and Due from Banks$4,825.9 $4,825.9 $4,825.9 $— $— 
Federal Reserve and Other Central Bank Deposits39,288.7 39,288.7 — 39,288.7 — 
Interest-Bearing Deposits with Banks1,588.0 1,588.0 — 1,588.0 — 
Securities Purchased under Agreements to Resell1,057.4 1,057.4 — 1,057.4 — 
Debt Securities - Held to Maturity24,716.2 22,823.1 — 22,823.1 — 
Loans
Held for Investment42,209.6 42,227.1 — — 42,227.1 
Other Assets1,608.6 1,591.4 105.6 1,485.8 — 
FINANCIAL LIABILITIES
Deposits
Demand, Noninterest-Bearing, Savings, Money Market and Other Interest-Bearing$46,597.3 $46,597.3 $46,597.3 $— $— 
Savings Certificates and Other Time2,840.1 2,846.0 — 2,846.0 — 
Non U.S. Offices Interest-Bearing64,290.0 64,290.0 — 64,290.0 — 
Federal Funds Purchased4,487.3 4,487.3 — 4,487.3 — 
Securities Sold Under Agreements to Repurchase362.9 362.9 — 362.9 — 
Other Borrowings11,365.1 11,366.3 — 11,366.3 — 
Senior Notes2,769.2 2,745.8 — 2,745.8 — 
Long-Term Debt2,070.9 2,107.1 — 2,107.1 — 
Unfunded Commitments220.1 220.1 — 220.1 — 
Other Liabilities79.2 79.2 — — 79.2 
    
DECEMBER 31, 2022
  ESTIMATED FAIR VALUE
(In Millions)BOOK VALUETOTAL ESTIMATED FAIR VALUELEVEL 1LEVEL 2LEVEL 3
FINANCIAL ASSETS
Cash and Due from Banks$4,654.2 $4,654.2 $4,654.2 $— $— 
Federal Reserve and Other Central Bank Deposits40,030.4 40,030.4 — 40,030.4 — 
Interest-Bearing Deposits with Banks1,941.1 1,941.1 — 1,941.1 — 
Federal Funds Sold32.0 32.0 — 32.0 — 
Securities Purchased under Agreements to Resell1,070.3 1,070.3 — 1,070.3 — 
Debt Securities - Held to Maturity25,036.1 22,879.3 50.0 22,829.3 — 
Loans
Held for Investment42,749.0 42,636.5 — — 42,636.5 
Other Assets1,476.9 1,460.4 94.7 1,365.7 — 
FINANCIAL LIABILITIES
Deposits
Demand, Noninterest-Bearing, Savings, Money Market and Other Interest-Bearing$56,468.9 $56,468.9 $56,468.9 $— $— 
Savings Certificates and Other Time1,981.3 1,976.1 — 1,976.1 — 
Non U.S. Offices Interest-Bearing65,481.9 65,481.9 — 65,481.9 — 
Federal Funds Purchased1,896.9 1,896.9 — 1,896.9 — 
Securities Sold Under Agreements to Repurchase567.2 567.2 — 567.2 — 
Other Borrowings7,592.3 7,592.8 — 7,592.8 — 
Senior Notes2,724.2 2,729.8 — 2,729.8 — 
Long-Term Debt2,066.2 2,110.7 — 2,110.7 — 
Unfunded Commitments218.9 218.9 — 218.9 — 
Other Liabilities73.2 73.2 — — 73.2