

	MARCH 31, 2020
(In Millions)	AMORTIZED COST		GROSS UNREALIZED GAINS		GROSS UNREALIZED LOSSES		FAIR VALUE
U.S. Government	$	4,481.7	$	102.4	$	—	$	4,584.1
Obligations of States and Political Subdivisions	1,725.2		54.3		3.2		1,776.3
Government Sponsored Agency	23,611.0		365.3		106.3		23,870.0
Non-U.S. Government	3.3		0.1		—		3.4
Corporate Debt	2,408.6		38.7		11.3		2,436.0
Covered Bonds	550.5		4.2		1.3		553.4
Sub-Sovereign, Supranational and Non-U.S. Agency Bonds	2,047.5		58.6		0.6		2,105.5
Other Asset-Backed	3,284.9		2.3		105.1		3,182.1
Commercial Mortgage-Backed	904.3		31.1		12.8		922.6
Other	8.3		—		—		8.3
Total	$	39,025.3	$	657.0	$	240.6	$	39,441.7



	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 33: REMAINING MATURITY OF DEBT SECURITIES AVAILABLE FOR SALE



MARCH 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	$	2,204.6	$	2,221.5	$	1,724.7	$	1,768.4	$	552.4	$	594.2	$	—	$	—	$	4,481.7	$	4,584.1
Obligations of States and Political Subdivisions	35.9		35.9		87.5		91.3		1,601.8		1,649.1		—		—		1,725.2		1,776.3
Government Sponsored Agency	5,825.0		5,895.7		10,097.6		10,225.5		5,524.0		5,565.7		2,164.4		2,183.1		23,611.0		23,870.0
Non-U.S. Government	3.3		3.4		—		—		—		—		—		—		3.3		3.4
Corporate Debt	366.4		365.8		2,036.4		2,064.4		5.8		5.8		—		—		2,408.6		2,436.0
Covered Bonds	108.3		108.6		442.2		444.8		—		—		—		—		550.5		553.4
Sub-Sovereign, Supranational and Non-U.S. Agency Bonds	327.6		327.8		1,669.9		1,727.8		50.0		49.9		—		—		2,047.5		2,105.5
Other Asset-Backed	643.0		641.2		2,164.5		2,096.3		464.4		432.5		13.0		12.1		3,284.9		3,182.1
Commercial Mortgage-Backed	26.1		25.9		255.7		258.0		600.8		617.5		21.7		21.2		904.3		922.6
Other	8.3		8.3		—		—		—		—		—		—		8.3		8.3
Total	$	9,548.5	$	9,634.1	$	18,478.5	$	18,676.5	$	8,799.2	$	8,914.7	$	2,199.1	$	2,216.4	$	39,025.3	$	39,441.7

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 March 31, 2020 and December 31, 2019.



AS OF MARCH 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	$	230.6	$	3.2	$	—	$	—	$	230.6	$	3.2
Government Sponsored Agency	2,803.1		24.4		7,033.0		81.9		9,836.1		106.3
Corporate Debt	669.2		8.8		134.0		1.9		803.2		10.7
Covered Bonds	306.5		1.3		—		—		306.5		1.3
Sub-Sovereign, Supranational and Non-U.S. Agency Bonds	99.9		0.1		158.8		0.5		258.7		0.6
Other Asset-Backed	1,616.7		45.0		1,049.7		60.1		2,666.4		105.1
Commercial Mortgage-Backed	296.3		12.7		34.1		0.1		330.4		12.8
Total	$	6,022.3	$	95.5	$	8,409.6	$	144.5	$	14,431.9	$	240.0



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 March 31, 2020, 790 debt securities available for sale with a combined fair value of $14.4 billion were in an unrealized loss position, with their unrealized losses totaling $240.0 million. Unrealized losses of $106.3 million and $105.1 million related to government sponsored agency and other asset-backed securities, respectively, are primarily attributable to the impact of uncertain market conditions in the first quarter of 2020, changes in market interest rates and credit spreads since their purchase. Unrealized losses related to corporate debt securities with no credit losses reported of $10.7 million are primarily attributable to changes in credit spreads since purchase. As of March 31, 2020, 25% of the corporate debt portfolio was backed by guarantees provided by

As of March 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.

Debt securities available for sale impairment reviews are conducted quarterly to identify and evaluate securities that have indications of possible credit losses. A determination as to whether a security’s decline in market value is related to credit impairment 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 credit related include, but are not limited to, 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 Northern Trust 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 a credit loss has occurred.

There was $0.2 million of credit losses recognized for corporate debt securities available for sale as of March 31, 2020. The process for identifying credit losses for corporate debt available for sale securities is based on the best estimate of cash flows to be collected from the security, discounted using the security’s effective interest rate. If the present value of the expected cash flows is found to be less than the current amortized cost of the security, an allowance for credit losses is generally recorded equal to the difference between the two amounts, limited to the amount the amortized cost basis exceeds the fair value of the security.



	MARCH 31, 2020
(In Millions)	AMORTIZED COST		GROSS UNREALIZED GAINS		GROSS UNREALIZED LOSSES		FAIR VALUE
U.S Government	$	104.9	$	0.1	$	—	$	105.0
Obligations of States and Political Subdivisions	6.9		0.2		—		7.1
Government Sponsored Agency	3.9		0.3		—		4.2
Non-U.S. Government	3,696.0		7.5		0.3		3,703.2
Corporate Debt	520.9		1.1		8.4		513.6
Covered Bonds	3,116.9		15.5		14.2		3,118.2
Certificates of Deposit	1,041.9		—		—		1,041.9
Sub-Sovereign, Supranational and Non-U.S. Agency Bonds	3,060.0		35.6		3.3		3,092.3
Other Asset-Backed	783.3		—		8.1		775.2
Other	301.0		—		128.7		172.3
Total	$	12,635.7	$	60.3	$	163.0	$	12,533.0



	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



MARCH 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	$	104.9	$	105.0	$	—	$	—	$	—	$	—	$	—	$	—	$	104.9	$	105.0
Obligations of States and Political Subdivisions	6.0		6.1		0.9		1.0		—		—		—		—		6.9		7.1
Government Sponsored Agency	0.6		0.7		1.7		1.8		1.0		1.1		0.6		0.6		3.9		4.2
Non-U.S. Government	3,481.7		3,483.9		214.3		219.3		—		—		—		—		3,696.0		3,703.2
Corporate Debt	96.0		94.2		424.9		419.4		—		—		—		—		520.9		513.6
Covered Bonds	753.0		755.2		2,363.9		2,363.0		—		—		—		—		3,116.9		3,118.2
Certificates of Deposit	1,041.9		1,041.9		—		—		—		—		—		—		1,041.9		1,041.9
Sub-Sovereign, Supranational and Non-U.S. Agency Bonds	418.5		419.4		2,600.9		2,632.6		40.6		40.3		—		—		3,060.0		3,092.3
Other Asset-Backed	252.3		251.5		449.2		442.7		81.8		81.0		—		—		783.3		775.2
Other	8.5		8.0		141.2		111.6		46.0		28.5		105.3		24.2		301.0		172.3
Total	$	6,163.4	$	6,165.9	$	6,197.0	$	6,191.4	$	169.4	$	150.9	$	105.9	$	24.8	$	12,635.7	$	12,533.0

Debt securities held to maturity consist of securities that management intends to, and Northern Trust has the ability to, hold until maturity. During the three months ended March 31, 2020 and 2019, no securities were transferred from available for sale to held to maturity, respectively.



	AS OF MARCH 31, 2020
(In Millions)	AAA		AA		A		BBB		NOT RATED		TOTAL
U.S. Government	$	104.9	$	—	$	—	$	—	$	—	$	104.9
Obligations of States and Political Subdivisions	—		0.5		5.1		1.3		—		6.9
Government Sponsored Agency	3.9		—		—		—		—		3.9
Non-U.S. Government	348.1		1,219.2		2,128.7		—		—		3,696.0
Corporate Debt	3.4		256.5		261.0		—		—		520.9
Covered Bonds	3,116.9		—		—		—		—		3,116.9
Certificates of Deposit	—		—		—		—		1,041.9		1,041.9
Sub-Sovereign, Supranational and Non-U.S. Agency Bonds	2,146.4		882.6		—		—		31.0		3,060.0
Other Asset-Backed	783.3		—		—		—		—		783.3
Other	—		—		—		—		301.0		301.0
Total	$	6,506.9	$	2,358.8	$	2,394.8	$	1.3	$	1,373.9	$	12,635.7

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 51% of the held to maturity portfolio at March 31, 2020, composed of U.S. Treasury and government sponsored agency securities and other triple-A rated securities. The remaining held to maturity debt securities portfolio was comprised of 19% rated double-A, 19% rated below double-A, and 11% not rated by Moody’s Investors Service or Standard and Poor’s. Securities not explicitly rated were grouped where possible under the credit rating of the issuer of the security.