

	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



	DECEMBER 31, 2018
(In Millions)	AMORTIZED COST		GROSS UNREALIZED GAINS		GROSS UNREALIZED 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

TABLE 66: REMAINING MATURITY OF DEBT SECURITIES AVAILABLE FOR SALE



DECEMBER 31, 2019	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	$	1,899.0	$	1,898.4	$	2,075.9	$	2,098.3	$	552.6	$	552.4	$	—	$	—	$	4,527.5	$	4,549.1
Obligations of States and Political Subdivisions	80.0		80.1		83.0		85.4		1,441.0		1,449.8		—		—		1,604.0		1,615.3
Government Sponsored Agency	4,994.1		5,005.0		9,714.1		9,728.8		5,870.0		5,869.4		2,669.3		2,668.0		23,247.5		23,271.2
Non-U.S. Government	—		—		3.3		3.3		—		—		—		—		3.3		3.3
Corporate Debt	341.8		341.7		1,981.5		2,005.5		55.6		55.5		—		—		2,378.9		2,402.7
Covered Bonds	281.0		281.6		485.3		488.3		—		—		—		—		766.3		769.9
Sub-Sovereign, Supranational and Non-U.S. Agency Bonds	333.9		334.6		1,707.4		1,743.1		50.0		49.9		—		—		2,091.3		2,127.6
Other Asset-Backed	885.1		885.3		1,977.3		1,984.8		452.8		451.1		9.3		9.3		3,324.5		3,330.5
Commercial Mortgage-Backed	46.6		46.4		167.9		174.2		555.4		577.1		—		—		769.9		797.7
Other	9.0		9.0		—		—		—		—		—		—		9.0		9.0

Total	$	8,870.5	$	8,882.1	$	18,195.7	$	18,311.7	$	8,977.4	$	9,005.2	$	2,678.6	$	2,677.3	$	38,722.2	$	38,876.3



	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



	DECEMBER 31, 2018
(In Millions)	AMORTIZED COST		GROSS UNREALIZED GAINS		GROSS UNREALIZED 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
Non-U.S. Government	6,488.2		2.1		8.7		6,481.6
Corporate Debt	472.9		0.4		1.8		471.5
Covered Bonds	2,877.6		9.6		9.3		2,877.9
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



December 31, 2019	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	$	138.8	$	138.8	$	—	$	—	$	—	$	—	$	—	$	—	$	138.8	$	138.8
Obligations of States and Political Subdivisions	8.1		8.2		2.0		2.1		—		—		—		—		10.1		10.3
Government Sponsored Agency	0.6		0.6		1.7		1.8		1.2		1.2		0.6		0.7		4.1		4.3
Non-U.S. Government	2,757.9		2,757.8		1,318.1		1,321.0		—		—		—		—		4,076.0		4,078.8
Corporate Debt	45.9		46.2		359.2		360.0		—		—		—		—		405.1		406.2
Covered Bonds	599.8		601.6		2,406.9		2,418.8		—		—		—		—		3,006.7		3,020.4
Certificates of Deposit	262.9		262.9		—		—		—		—		—		—		262.9		262.9
Sub-Sovereign, Supranational and Non-U.S. Agency Bonds	577.8		577.8		2,691.5		2,711.4		16.1		15.8		—		—		3,285.4		3,305.0
Other Asset-Backed	151.9		152.0		398.3		398.7		254.1		254.0		—		—		804.3		804.7
Other	10.6		10.5		132.0		119.3		45.9		39.7		102.6		48.4		291.1		217.9

Total	$	4,554.3	$	4,556.4	$	7,309.7	$	7,333.1	$	317.3	$	310.7	$	103.2	$	49.1	$	12,284.5	$	12,249.3

Debt securities held to maturity consist of securities that management intends to, and Northern Trust has the ability to, hold until maturity. During the twelve months ended December 31, 2019 and 2018, approximately $160.8 million and $287.9 million respectively of securities reflected in Other Asset-Backed, Covered Bonds, Sub-Sovereign, Supranational and Non-U.S. Agency Bonds, and Corporate Debt were transferred from available for sale to held to maturity.



	DECEMBER 31,
(In Millions)	2019			2018			2017
Gross Realized Debt Securities Gains	$	2.4		$	1.5		$	0.2
Gross Realized Debt Securities Losses	(3.5		)	(2.0		)	(1.6		)
Changes in Other-Than-Temporary Impairment Losses⁽¹⁾	(0.3		)	(0.5		)	(0.2		)

Net Investment Security (Losses)/Gains	$	(1.4	)	$	(1.0	)	$	(1.6	)

TABLE 70: DEBT SECURITIES WITH UNREALIZED LOSSES



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	$	2.7	$	899.8	$	2.4	$	1,152.0	$	5.1
Obligations of States and Political Subdivisions	902.5		13.3		—		—		902.5		13.3
Government Sponsored Agency	5,405.0		35.6		7,818.4		42.5		13,223.4		78.1
Non-U.S. Government	3,620.2		2.5		—		—		3,620.2		2.5
Corporate Debt	410.4		1.3		492.8		3.0		903.2		4.3
Covered Bonds	646.8		3.2		—		—		646.8		3.2
Sub-Sovereign, Supranational and Non-U.S. Agency Bonds	1,302.0		3.1		155.2		0.1		1,457.2		3.2
Other Asset-Backed	706.9		2.1		1,164.9		3.5		1,871.8		5.6
Commercial Mortgage-Backed	62.8		0.7		59.3		0.2		122.1		0.9
Other	54.1		26.7		164.0		46.6		218.1		73.3

Total	$	13,362.9	$	91.2	$	10,754.4	$	98.3	$	24,117.3	$	189.5



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 December 31, 2019, 1,289 debt securities with a combined fair value of $24.1 billion were in an unrealized loss position, with their unrealized losses totaling $189.5 million. Unrealized losses of $78.1 million and $13.3 million related to government sponsored agency and obligations of states and political subdivisions, respectively, are primarily attributable to changes in market rates since their purchase.

The majority of the $73.3 million of unrealized losses in debt securities classified as “other” at December 31, 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 are attributable to yields that are 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 December 31, 2019 were attributable to changes in overall market interest rates, increased credit spreads, or reduced market liquidity. As of December 31, 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, a security type for which Northern Trust has recognized OTTI in 2019 and 2018, incorporates an expected loss approach using discounted cash flows on the underlying collateral pools. To evaluate whether an unrealized loss on a CRA-eligible mortgage-backed security 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 year of loan origination and collateral quality.

Credit Losses on Debt Securities. The table below provides information regarding total other-than-temporarily impaired debt securities, including noncredit-related amounts recognized in other comprehensive income and net impairment losses recognized in earnings, for the years ended December 31, 2019, 2018, and 2017.



	DECEMBER 31,
(In Millions)	2019			2018			2017
Changes in Other-Than-Temporary Impairment Losses⁽¹⁾	$	(0.3	)	$	(0.5	)	$	(0.2	)
Noncredit-related Losses Recorded in / (Reclassified from) OCI⁽²⁾	—			—			—

Net Impairment Losses Recognized in Earnings	$	(0.3	)	$	(0.5	)	$	(0.2	)

(1) For initial other-than-temporary impairments in the respective period, the balance includes the excess of the amortized cost over the fair value of the impaired securities. For subsequent impairments of the same security, the balance includes any additional changes in fair value of the security subsequent to its most recently recorded OTTI.

(2) For initial other-than-temporary impairments in the respective period, the balance includes the portion of the excess of amortized cost over the fair value of the impaired securities that was recorded in OCI. For subsequent impairments of the same security, the balance includes additional changes in OCI for that security subsequent to its most recently recorded OTTI.



	YEAR ENDED DECEMBER 31,
(In Millions)	2019		2018		2017
Cumulative Credit-Related Losses on Debt Securities Held – Beginning of Year	$	4.1	$	3.6	$	3.4
Plus: Losses on Newly Identified Impairments	0.2		0.4		0.1
Additional Losses on Previously Identified Impairments	0.1		0.1		0.1
Less: Current and Prior Period Losses on Debt Securities Sold or Matured During the Year	—		—		—

Cumulative Credit-Related Losses on Debt Securities Held – End of Year	$	4.4	$	4.1	$	3.6