

Debt Securities Available for Sale	June 30, 2019
	Amortized Cost		Gross Unrealized				Fair Value
(In Millions)	Amortized Cost		Gains		Losses		Fair Value
U.S. Government	$	5,065.5	$	23.9	$	10.0	$	5,079.4
Obligations of States and Political Subdivisions	730.5		22.8		0.1		753.2
Government Sponsored Agency	22,456.1		113.0		63.7		22,505.4
Non-U.S. Government	143.3		0.1		0.2		143.2
Corporate Debt	2,404.1		23.8		6.1		2,421.8
Covered Bonds	858.9		5.2		0.7		863.4
Sub-Sovereign, Supranational and Non-U.S. Agency Bonds	2,246.7		40.4		0.7		2,286.4
Other Asset-Backed	2,983.8		11.6		5.8		2,989.6
Commercial Mortgage-Backed	783.6		28.8		0.9		811.5
Other	13.6		—		—		13.6
Total	$	37,686.1	$	269.6	$	88.2	$	37,867.5



Debt Securities Available for Sale	December 31, 2018
	Amortized Cost		Gross Unrealized				Fair Value
(In Millions)	Amortized Cost		Gains		Losses		Fair Value
U.S. Government	$	5,203.1	$	21.8	$	39.6	$	5,185.3
Obligations of States and Political Subdivisions	657.6		2.0		3.7		655.9
Government Sponsored Agency	22,522.7		52.4		150.5		22,424.6
Non-U.S. Government	143.3		—		1.1		142.2
Corporate Debt	2,312.6		3.2		21.1		2,294.7
Covered Bonds	832.7		1.4		4.8		829.3
Sub-Sovereign, Supranational and Non-U.S. Agency Bonds	2,087.8		11.9		3.5		2,096.2
Other Asset-Backed	2,678.9		1.7		22.9		2,657.7
Commercial Mortgage-Backed	587.4		4.0		4.2		587.2
Other	15.7		—		—		15.7
Total	$	37,041.8	$	98.4	$	251.4	$	36,888.8



Debt Securities Held to Maturity	June 30, 2019
	Amortized Cost		Gross Unrealized				Fair Value
(In Millions)	Amortized Cost		Gains		Losses		Fair Value
U.S Government	$	117.7	$	—	$	—	$	117.7
Obligations of States and Political Subdivisions	16.2		0.5		—		16.7
Government Sponsored Agency	4.3		0.2		—		4.5
Corporate Debt	376.0		1.3		0.2		377.1
Covered Bonds	2,591.8		22.9		2.0		2,612.7
Non-U.S. Government	2,981.9		7.0		3.9		2,985.0
Certificates of Deposit	37.8		—		—		37.8
Sub-Sovereign, Supranational and Non-U.S. Agency Bonds	3,302.6		23.9		3.1		3,323.4
Other Asset-Backed	652.7		0.4		0.6		652.5
Other	270.2		—		72.2		198.0
Total	$	10,351.2	$	56.2	$	82.0	$	10,325.4



Debt Securities Held to Maturity	December 31, 2018
	Amortized Cost		Gross Unrealized				Fair Value
(In Millions)	Amortized Cost		Gains		Losses		Fair Value
U.S Government	$	101.6	$	—	$	—	$	101.6
Obligations of States and Political Subdivisions	18.9		0.6		—		19.5
Government Sponsored Agency	4.5		0.2		—		4.7
Corporate Debt	472.9		0.4		1.8		471.5
Covered Bonds	2,877.6		9.6		9.3		2,877.9
Non-U.S. Government	6,488.2		2.1		8.7		6,481.6
Certificates of Deposit	45.1		—		—		45.1
Sub-Sovereign, Supranational and Non-U.S. Agency Bonds	2,966.8		5.8		12.3		2,960.3
Other Asset-Backed	1,146.4		—		4.0		1,142.4
Other	232.0		—		69.6		162.4
Total	$	14,354.0	$	18.7	$	105.7	$	14,267.0

Debt securities held to maturity consist of securities that management intends to, and Northern Trust has the ability to, hold until maturity. During the six months ended June 30, 2019 and 2018, no securities were transferred from available for sale to held to maturity.



	June 30, 2019				December 31, 2018
(In Millions)	Amortized Cost		Fair Value		Amortized Cost		Fair Value
Available for Sale
Due in One Year or Less	$	9,324.4	$	9,325.6	$	9,206.2	$	9,162.8
Due After One Year Through Five Years	19,674.2		19,799.6		21,012.7		20,943.9
Due After Five Years Through Ten Years	7,188.4		7,234.5		5,774.1		5,740.8
Due After Ten Years	1,499.1		1,507.8		1,048.8		1,041.3
Total	37,686.1		37,867.5		37,041.8		36,888.8
Held to Maturity
Due in One Year or Less	3,374.3		3,374.9		6,638.2		6,635.5
Due After One Year Through Five Years	6,803.4		6,837.9		7,066.0		7,040.0
Due After Five Years Through Ten Years	76.4		66.3		567.9		553.0
Due After Ten Years	97.1		46.3		81.9		38.5
Total	$	10,351.2	$	10,325.4	$	14,354.0	$	14,267.0

Investment Security Gains / Losses. Net investment security losses of $0.3 million were recognized in the three months ended June 30, 2019, of which $0.2 million related to OTTI of certain CRA-eligible held to maturity securities. There were no net investment security gains or losses recognized in the three months ended June 30, 2018. There were $101.8 million gross proceeds from the sale of securities during the three months ended June 30, 2019. Gross proceeds from the sale of securities during the three months ended June 30, 2018 were $176.6 million.

Net investment security losses of $0.5 million were recognized in the six months ended June 30, 2019, of which $0.2 million related to the OTTI of certain CRA-eligible held to maturity securities. Net investment security losses of $0.2 million were recognized in the six months ended June 30, 2018, all of which related to the OTTI of certain CRA-eligible held to maturity securities. For the six months ended June 30, 2019, gross proceeds of $229.3 million were received from the sale of securities, resulting in gross realized gains of $0.1 million and gross realized losses of $0.4 million. For the six months ended June 30, 2018, proceeds of $178.6 million were received from the sale of securities, resulting in gross realized gains and losses of $1.5 million each.

Debt Securities with Unrealized Losses. The following table provides information regarding debt securities that had been in a continuous unrealized loss position for less than twelve months and for twelve months or longer as of June 30, 2019 and December 31, 2018.



Debt Securities with Unrealized Losses as of June 30, 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	$	—	$	—	$	2,691.5	$	10.0	$	2,691.5	$	10.0
Obligations of States and Political Subdivisions	—		—		98.8		0.1		98.8		0.1
Government Sponsored Agency	4,930.5		14.8		8,559.6		48.9		13,490.1		63.7
Non-U.S. Government	1,575.3		0.1		1,231.9		4.0		2,807.2		4.1
Corporate Debt	98.2		0.2		793.7		6.1		891.9		6.3
Covered Bonds	19.9		0.1		741.7		2.6		761.6		2.7
Sub-Sovereign, Supranational and Non-U.S. Agency Bonds	168.9		0.4		1,343.8		3.4		1,512.7		3.8
Other Asset-Backed	1,107.6		4.4		960.4		2.0		2,068.0		6.4
Commercial Mortgage-Backed	—		—		154.4		0.9		154.4		0.9
Other	73.8		28.6		130.3		43.6		204.1		72.2
Total	$	7,974.2	$	48.6	$	16,706.1	$	121.6	$	24,680.3	$	170.2



Debt Securities with Unrealized Losses as of December 31, 2018	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	$	—	$	—	$	2,862.0	$	39.6	$	2,862.0	$	39.6
Obligations of States and Political Subdivisions	169.6		2.4		279.6		1.3		449.2		3.7
Government Sponsored Agency	8,368.8		33.5		6,822.4		117.0		15,191.2		150.5
Non-U.S. Government	5,065.2		0.8		1,274.0		9.0		6,339.2		9.8
Corporate Debt	712.7		4.1		1,097.4		18.8		1,810.1		22.9
Covered Bonds	646.4		3.7		696.9		10.4		1,343.3		14.1
Sub-Sovereign, Supranational and Non-U.S. Agency Bonds	1,105.0		4.6		1,189.2		11.2		2,294.2		15.8
Other Asset-Backed	2,507.8		15.9		954.9		11.0		3,462.7		26.9
Commercial Mortgage-Backed	22.8		0.1		274.4		4.1		297.2		4.2
Other	50.5		18.8		112.6		50.8		163.1		69.6
Total	$	18,648.8	$	83.9	$	15,563.4	$	273.2	$	34,212.2	$	357.1

As of June 30, 2019, 1,120 debt securities with a combined fair value of $24.7 billion were in an unrealized loss position, with their unrealized losses totaling $170.2 million. Unrealized losses of $63.7 million and $10.0 million related to government sponsored agency and U.S. government securities, respectively, are primarily attributable to changes in market interest rates since their purchase. Unrealized losses of $6.3 million within corporate debt securities primarily reflect higher market rates since purchase; 30% of the corporate debt portfolio is backed by guarantees provided by U.S. and non-U.S. governmental entities.

The majority of the $72.2 million of unrealized losses in debt securities classified as “other” at June 30, 2019 related to debt securities primarily purchased at a premium or par by Northern Trust to fulfill its obligations under the CRA. Unrealized losses on these CRA-related securities were attributable to yields that were below market rates for the purpose of supporting institutions and programs that benefit low- to moderate- income communities within Northern Trust’s market area. The remaining unrealized losses on Northern Trust’s securities portfolio as of June 30, 2019 were attributable to changes in overall market interest rates, increased credit spreads or reduced market liquidity. As of June 30, 2019, Northern Trust did not intend to sell any investment 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.

Security impairment reviews are conducted quarterly to identify and evaluate securities that have indications of possible OTTI. A determination as to whether a security’s decline in market value is other-than-temporary 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 other-than-temporary include, but are not limited to: the length of time the security has been impaired; the severity of the impairment; the cause of the impairment and 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 it 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 OTTI has occurred.

While all securities are considered, the process for identifying credit impairment within CRA-eligible mortgage-backed securities incorporates an expected loss approach using discounted cash flows on the underlying collateral pools. To evaluate whether an unrealized loss on CRA-eligible mortgage-backed securities is other-than-temporary, a calculation of the security’s present value is made using current pool data, the current delinquency pipeline, default rates and loan loss severities based on the historical performance of the mortgage pools, and Northern Trust’s outlook for the housing market and the overall economy. If the present value of the collateral pools were found to be less than the current amortized cost of the security, a credit-related OTTI loss would be recorded in earnings equal to the difference between the two amounts.

Impairments of CRA-eligible mortgage-backed securities are influenced by a number of factors, including but not limited to, U.S. economic and housing market performance, pool credit enhancement level, year of origination and estimated credit quality of the collateral. The factors used in estimating losses related to CRA-eligible mortgage-backed securities vary by vintage of loan origination and collateral quality.

There were $0.2 million OTTI losses recognized during the three months ended June 30, 2019 related to CRA-eligible mortgage-backed securities. There were no OTTI losses recognized during the three months ended June 30, 2018. There were $0.2 million and $0.2 million of OTTI losses recognized in the six months ended June 30, 2019 and 2018, respectively, related to CRA-eligible mortgage-backed securities.



	Three Months Ended June 30,				Six Months Ended June 30,
(In Millions)	2019		2018		2019		2018
Cumulative Credit-Related Losses on Debt Securities Held — Beginning of Period	$	4.1	$	3.8	$	4.1	$	3.6
Plus: Losses on Newly Identified Impairments	0.1		—		0.1		0.2
Additional Losses on Previously Identified Impairments	0.1		—		0.1		—
Less: Current and Prior Period Losses on Debt Securities Sold During the Period	—		—		—		—
Cumulative Credit-Related Losses on Debt Securities Held — End of Period	$	4.3	$	3.8	$	4.3	$	3.8