Securities

12 Months Ended

Dec. 31, 2020

Investments, Debt and Equity Securities [Abstract]

Securities

Securities

Debt Securities Available for Sale. The following tables provide the amortized cost, fair values, and remaining maturities of debt securities available for sale.

TABLE 60: RECONCILIATION OF AMORTIZED COST TO FAIR VALUE OF DEBT SECURITIES AVAILABLE FOR SALE

	DECEMBER 31, 2020
(In Millions)	AMORTIZED COST		GROSS UNREALIZED GAINS		GROSS UNREALIZED LOSSES		FAIR VALUE
U.S. Government	$	2,728.8	$	71.1	$	—	$	2,799.9
Obligations of States and Political Subdivisions	2,927.8		155.9		0.1		3,083.6
Government Sponsored Agency	24,595.1		388.5		26.9		24,956.7
Non-U.S. Government	713.6		1.1		0.7		714.0
Corporate Debt	2,459.9		79.8		0.1		2,539.6
Covered Bonds	543.1		10.0		—		553.1
Sub-Sovereign, Supranational and Non-U.S. Agency Bonds	2,281.7		64.7		0.6		2,345.8
Other Asset-Backed	3,953.5		46.8		2.8		3,997.5
Commercial Mortgage-Backed	952.2		79.7		0.1		1,031.8
Total	$	41,155.7	$	897.6	$	31.3	$	42,022.0

	DECEMBER 31, 2019
(In Millions)	AMORTIZED COST		GROSS UNREALIZED GAINS		GROSS UNREALIZED LOSSES		FAIR VALUE
U.S. Government	$	4,527.5	$	26.7	$	5.1	$	4,549.1
Obligations of States and Political Subdivisions	1,604.0		24.6		13.3		1,615.3
Government Sponsored Agency	23,247.5		101.8		78.1		23,271.2
Non-U.S. Government	3.3		—		—		3.3
Corporate Debt	2,378.9		27.8		4.0		2,402.7
Covered Bonds	766.3		4.4		0.8		769.9
Sub-Sovereign, Supranational and Non-U.S. Agency Bonds	2,091.3		37.4		1.1		2,127.6
Other Asset-Backed	3,324.5		11.3		5.3		3,330.5
Commercial Mortgage-Backed	769.9		28.7		0.9		797.7
Other	9.0		—		—		9.0
Total	$	38,722.2	$	262.7	$	108.6	$	38,876.3

TABLE 61: REMAINING MATURITY OF DEBT SECURITIES AVAILABLE FOR SALE

DECEMBER 31, 2020	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	$	300.9	$	303.2	$	1,732.8	$	1,767.0	$	695.1	$	729.7	$	—	$	—	$	2,728.8	$	2,799.9
Obligations of States and Political Subdivisions	7.9		8.0		252.1		266.8		2,578.4		2,718.4		89.4		90.4		2,927.8		3,083.6
Government Sponsored Agency	5,540.0		5,613.6		8,942.2		9,063.0		7,682.1		7,793.6		2,430.8		2,486.5		24,595.1		24,956.7
Non-U.S. Government	414.3		414.6		40.6		40.8		258.7		258.6		—		—		713.6		714.0
Corporate Debt	443.5		448.6		2,016.4		2,091.0		—		—		—		—		2,459.9		2,539.6
Covered Bonds	108.2		108.6		434.9		444.5		—		—		—		—		543.1		553.1
Sub-Sovereign, Supranational and Non-U.S. Agency Bonds	163.9		164.1		1,960.8		2,024.0		157.0		157.7		—		—		2,281.7		2,345.8
Other Asset-Backed	517.4		525.9		2,903.1		2,937.8		436.0		436.8		97.0		97.0		3,953.5		3,997.5
Commercial Mortgage-Backed	12.0		12.1		413.5		441.2		526.7		578.5		—		—		952.2		1,031.8
Total	$	7,508.1	$	7,598.7	$	18,696.4	$	19,076.1	$	12,334.0	$	12,673.3	$	2,617.2	$	2,673.9	$	41,155.7	$	42,022.0

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

Debt Securities Available for Sale with Unrealized Losses. The following table provides information regarding debt securities available for sale 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 December 31, 2020 and 2019.

TABLE 62: DEBT SECURITIES AVAILABLE FOR SALE IN UNREALIZED LOSS POSITION WITH NO CREDIT LOSSES REPORTED

AS OF DECEMBER 31, 2020	LESS THAN 12 MONTHS				12 MONTHS OR LONGER				TOTAL
(In Millions)	FAIR VALUE		UNREALIZED LOSSES		FAIR VALUE		UNREALIZED LOSSES		FAIR VALUE		UNREALIZED LOSSES
Obligations of States and Political Subdivisions	$	52.3	$	0.1	$	—	$	—	$	52.3	$	0.1
Government Sponsored Agency	2,402.3		13.6		2,528.7		13.3		4,931.0		26.9
Non-U.S. Government	90.5		0.7		—		—		90.5		0.7
Corporate Debt	66.6		0.1		—		—		66.6		0.1
Sub-Sovereign, Supranational and Non-U.S. Agency Bonds	162.8		0.5		49.9		0.1		212.7		0.6
Other Asset-Backed	176.8		0.2		792.3		2.6		969.1		2.8
Commercial Mortgage-Backed	44.4		0.1		—		—		44.4		0.1
Total	$	2,995.7	$	15.3	$	3,370.9	$	16.0	$	6,366.6	$	31.3

AS OF DECEMBER 31, 2019	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	$	252.2	$	2.8	$	899.7	$	2.3	$	1,151.9	$	5.1
Obligations of States and Political Subdivisions	902.4		13.3		—		—		902.4		13.3
Government Sponsored Agency	5,405.0		35.6		7,818.4		42.5		13,223.4		78.1
Corporate Debt	279.3		1.1		492.7		2.9		772.0		4.0
Covered Bonds	138.7		0.7		25.0		0.1		163.7		0.8
Sub-Sovereign, Supranational and Non-U.S. Agency Bonds	217.5		1.0		155.2		0.1		372.7		1.1
Other Asset-Backed	592.4		1.8		1,164.9		3.5		1,757.3		5.3
Commercial Mortgage-Backed	62.8		0.7		59.3		0.2		122.1		0.9
Total	$	7,850.3	$	57.0	$	10,615.2	$	51.6	$	18,465.5	$	108.6

As of December 31, 2020, 412 debt securities available for sale with a combined fair value of $6.4 billion were in an unrealized loss position, with their unrealized losses totaling $31.3 million. Unrealized losses related to debt securities available for sale of $26.9 million and $2.8 million related to government sponsored agency and other asset-backed securities, respectively, are primarily attributable to changes in market interest rates and credit spreads since their purchase. As of December 31, 2020, 16% of the corporate debt securities available for sale portfolio were backed by guarantees provided by U.S. and non-U.S. governmental entities. The remaining unrealized losses on Northern Trust’s debt securities available for sale portfolio as of December 31, 2020 are attributable to changes in overall market interest rates or credit spreads.

As of December 31, 2020, Northern Trust did not intend to sell any debt securities available for sale in an unrealized loss position and it was more likely than not that Northern Trust would not be required to sell any such investment before the recovery of its amortized cost basis, which may be maturity.

There was no provision for corporate debt securities available for sale for the year ended December 31, 2020 and no allowance for credit losses for corporate debt securities available for sale as of December 31, 2020.

Debt Securities Held to Maturity. The following tables provide the amortized cost, fair values and remaining maturities of debt securities held to maturity.

TABLE 63: RECONCILIATION OF AMORTIZED COST TO FAIR VALUES OF DEBT SECURITIES HELD TO MATURITY

	DECEMBER 31, 2020
(In Millions)	AMORTIZED COST		GROSS UNREALIZED GAINS		GROSS UNREALIZED LOSSES		FAIR VALUE
U.S. Government	$	90.0	$	—	$	—	$	90.0
Obligations of States and Political Subdivisions	2.1		0.1		—		2.2
Government Sponsored Agency	3.0		0.3		—		3.3
Non-U.S. Government	8,336.6		7.3		0.2		8,343.7
Corporate Debt	588.0		6.5		0.1		594.4
Covered Bonds	3,184.6		24.6		0.3		3,208.9
Certificates of Deposit	807.2		—		—		807.2
Sub-Sovereign, Supranational and Non-U.S. Agency Bonds	3,648.0		43.5		0.9		3,690.6
Other Asset-Backed	677.0		0.9		—		677.9
Other	454.6		1.1		76.5		379.2
Total	$	17,791.1	$	84.3	$	78.0	$	17,797.4

	DECEMBER 31, 2019
(In Millions)	AMORTIZED COST		GROSS UNREALIZED GAINS		GROSS UNREALIZED LOSSES		FAIR VALUE
U.S. Government	$	138.8	$	—	$	—	$	138.8
Obligations of States and Political Subdivisions	10.1		0.2		—		10.3
Government Sponsored Agency	4.1		0.2		—		4.3
Non-U.S. Government	4,076.0		5.3		2.5		4,078.8
Corporate Debt	405.1		1.4		0.3		406.2
Covered Bonds	3,006.7		16.1		2.4		3,020.4
Certificates of Deposit	262.9		—		—		262.9
Sub-Sovereign, Supranational and Non-U.S. Agency Bonds	3,285.4		21.7		2.1		3,305.0
Other Asset-Backed	804.3		0.7		0.3		804.7
Other	291.1		0.1		73.3		217.9
Total	$	12,284.5	$	45.7	$	80.9	$	12,249.3

As of December 31, 2020, the $17.8 billion debt securities held to maturity portfolio had an unrealized loss of $76.5 million related to other residential mortgage-backed securities, which are primarily attributable to changes in overall market interest rates and credit spreads since their purchase.

TABLE 64: REMAINING MATURITY OF DEBT SECURITIES HELD TO MATURITY

DECEMBER 31, 2020	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	$	90.0	$	90.0	$	—	$	—	$	—	$	—	$	—	$	—	$	90.0	$	90.0
Obligations of States and Political Subdivisions	1.4		1.4		0.7		0.8		—		—		—		—		2.1		2.2
Government Sponsored Agency	0.5		0.5		1.3		1.4		0.8		0.9		0.4		0.5		3.0		3.3
Non-U.S. Government	8,065.4		8,065.5		271.2		278.2		—		—		—		—		8,336.6		8,343.7
Corporate Debt	126.2		126.3		461.8		468.1		—		—		—		—		588.0		594.4
Covered Bonds	1,283.7		1,289.5		1,836.3		1,854.7		64.6		64.7		—		—		3,184.6		3,208.9
Certificates of Deposit	807.2		807.2		—		—		—		—		—		—		807.2		807.2
Sub-Sovereign, Supranational and Non-U.S. Agency Bonds	943.2		947.2		2,354.8		2,393.4		350.0		350.0		—		—		3,648.0		3,690.6
Other Asset-Backed	239.4		239.7		433.4		433.9		4.2		4.3		—		—		677.0		677.9
Other	36.6		36.0		247.7		230.3		53.7		48.2		116.6		64.7		454.6		379.2
Total	$	11,593.6	$	11,603.3	$	5,607.2	$	5,660.8	$	473.3	$	468.1	$	117.0	$	65.2	$	17,791.1	$	17,797.4

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

Debt securities held to maturity consist of securities that management intends to, and Northern Trust has the ability to, hold until maturity. During the year ended December 31, 2020, $301.5 million securities reflected in U.S. government were transferred from available for sale to held to maturity, all of which were transferred in the second quarter of 2020. During the year ended December 31, 2019, $160.8 million securities reflected in covered bonds were transferred from available for sale to held to maturity.

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

TABLE 65: AMORTIZED COST OF DEBT SECURITIES HELD TO MATURITY BY CREDIT RATING

	AS OF DECEMBER 31, 2020
(In Millions)	AAA			AA			A			BBB			NOT RATED			TOTAL
U.S. Government	$	90.0		$	—		$	—		$	—		$	—		$	90.0
Obligations of States and Political Subdivisions	—			1.0			—			1.1			—			2.1
Government Sponsored Agency	3.0			—			—			—			—			3.0
Non-U.S. Government	319.8			1,337.4			6,630.6			48.8			—			8,336.6
Corporate Debt	3.8			279.1			305.1			—			—			588.0
Covered Bonds	3,184.6			—			—			—			—			3,184.6
Certificates of Deposit	—			—			—			—			807.2			807.2
Sub-Sovereign, Supranational and Non-U.S. Agency Bonds	2,590.9			1,057.1			—			—			—			3,648.0
Other Asset-Backed	677.0			—			—			—			—			677.0
Other	—			—			—			—			454.6			454.6
Total	$	6,869.1		$	2,674.6		$	6,935.7		$	49.9		$	1,261.8		$	17,791.1
Percent of Total	39		%	15		%	39		%	—		%	7		%	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 93% of the held to maturity portfolio at December 31, 2020 comprised of securities rated A or higher. The remaining held to maturity debt securities portfolio was comprised of 7% not rated by Moody’s Investors Service, Standard and Poor’s, or Fitch Ratings. 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 $879.9 million, $1.2 billion, and $307.3 million in 2020, 2019, and 2018, respectively, from the sale of debt securities resulted in the following gains and losses shown in the following table.

TABLE 66: INVESTMENT SECURITY GAINS AND LOSSES

	DECEMBER 31,
(In Millions)	2020		2019		2018
Gross Realized Debt Securities Gains	$	3.4	$	2.4	$	1.5
Gross Realized Debt Securities Losses	(3.8)		(3.5)		(2.0)
Changes in Other-Than-Temporary Impairment Losses(1)	—		(0.3)		(0.5)
Net Investment Security (Losses) Gains	$	(0.4)	$	(1.4)	$	(1.0)

(1) Other-than-temporary impairment losses relate to certain Community Reinvestment Act (CRA) eligible held to maturity debt securities