
	MARCH 31, 2021
(In Millions)	AMORTIZED COST		GROSS UNREALIZED GAINS		GROSS UNREALIZED LOSSES		FAIR VALUE
U.S. Government	$	2,521.1	$	50.6	$	10.7	$	2,561.0
Obligations of States and Political Subdivisions	3,249.8		82.5		52.5		3,279.8
Government Sponsored Agency	24,535.5		275.4		160.2		24,650.7
Non-U.S. Government	564.3		0.1		6.3		558.1
Corporate Debt	2,336.3		65.2		2.8		2,398.7
Covered Bonds	535.8		8.3		—		544.1
Sub-Sovereign, Supranational and Non-U.S. Agency Bonds	2,968.8		54.0		19.4		3,003.4
Other Asset-Backed	4,749.5		38.0		4.5		4,783.0
Commercial Mortgage-Backed	1,047.5		53.6		1.3		1,099.8
Total	$	42,508.6	$	627.7	$	257.7	$	42,878.6


	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


MARCH 31, 2021	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	$	99.9	$	101.5	$	1,874.1	$	1,911.3	$	547.1	$	548.2	$	—	$	—	$	2,521.1	$	2,561.0
Obligations of States and Political Subdivisions	7.2		7.3		294.8		308.4		2,764.2		2,787.5		183.6		176.6		3,249.8		3,279.8
Government Sponsored Agency	4,859.6		4,913.7		8,260.4		8,330.3		8,833.7		8,816.8		2,581.8		2,589.9		24,535.5		24,650.7
Non-U.S. Government	269.6		269.6		40.5		40.5		254.2		248.0		—		—		564.3		558.1
Corporate Debt	372.6		376.5		1,950.5		2,009.1		9.3		9.2		3.9		3.9		2,336.3		2,398.7
Covered Bonds	106.8		107.1		429.0		437.0		—		—		—		—		535.8		544.1
Sub-Sovereign, Supranational and Non-U.S. Agency Bonds	534.4		537.5		2,001.7		2,043.0		432.7		422.9		—		—		2,968.8		3,003.4
Other Asset-Backed	733.9		742.4		3,201.6		3,228.2		739.2		737.8		74.8		74.6		4,749.5		4,783.0
Commercial Mortgage-Backed	17.8		17.8		510.0		532.5		511.6		541.4		8.1		8.1		1,047.5		1,099.8
Total	$	7,001.8	$	7,073.4	$	18,562.6	$	18,840.3	$	14,092.0	$	14,111.8	$	2,852.2	$	2,853.1	$	42,508.6	$	42,878.6

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, 2021 and December 31, 2020.


AS OF MARCH 31, 2021	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	$	237.6	$	10.7	$	—	$	—	$	237.6	$	10.7
Obligations of States and Political Subdivisions	1,456.8		52.5		—		—		1,456.8		52.5
Government Sponsored Agency	5,915.6		148.5		2,096.4		11.7		8,012.0		160.2
Non-U.S. Government	274.4		6.3		—		—		274.4		6.3
Corporate Debt	272.6		2.8		—		—		272.6		2.8
Sub-Sovereign, Supranational and Non-U.S. Agency Bonds	981.3		19.4		49.9		—		1,031.2		19.4
Other Asset-Backed	1,035.7		4.5		60.0		—		1,095.7		4.5
Commercial Mortgage-Backed	120.8		1.2		7.5		0.1		128.3		1.3
Total	$	10,294.8	$	245.9	$	2,213.8	$	11.8	$	12,508.6	$	257.7


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 March 31, 2021, 991 debt securities available for sale with a combined fair value of $12.5 billion were in an unrealized loss position, with their unrealized losses totaling $257.7 million. Unrealized losses related to debt securities available for sale of $160.2 million and $52.5 million related to government-sponsored agency and obligations of states and political subdivisions, respectively, are primarily attributable to changes in market interest rates and credit spreads since their purchase. As of March 31, 2021, 17% 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 March 31, 2021 are attributable to changes in overall market interest rates or credit spreads.

As of March 31, 2021, 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 no provision for credit losses for corporate debt securities available for sale for the three months ended March 31, 2021, while there was a $0.2 million provision for the three months ended March 31, 2020. There was no allowance for credit losses for corporate debt securities available for sale as of March 31, 2021 and December 31, 2020, respectively. 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. For additional information, please refer to Note 7 — Allowance for Credit Losses.


	MARCH 31, 2021
(In Millions)	AMORTIZED COST		GROSS UNREALIZED GAINS		GROSS UNREALIZED LOSSES		FAIR VALUE
U.S Government	$	100.0	$	—	$	—	$	100.0
Obligations of States and Political Subdivisions	1.0		—		—		1.0
Government Sponsored Agency	53.6		0.3		0.9		53.0
Non-U.S. Government	6,539.3		6.1		0.2		6,545.2
Corporate Debt	916.7		5.0		1.6		920.1
Covered Bonds	3,046.8		19.9		1.7		3,065.0
Certificates of Deposit	644.1		—		—		644.1
Sub-Sovereign, Supranational and Non-U.S. Agency Bonds	4,672.6		33.1		23.3		4,682.4
Other Asset-Backed	706.2		1.2		0.3		707.1
Other	456.1		1.0		75.0		382.1
Total	$	17,136.4	$	66.6	$	103.0	$	17,100.0


	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

As of March 31, 2021, the $17.1 billion debt securities held to maturity portfolio had an unrealized loss of $75 million related to other residential mortgage-backed securities and an unrealized loss of $23.3 million related to sub-sovereign, supranational and non-U.S. agency bonds, which are primarily attributable to changes in overall market interest rates and credit spreads since their purchase.


MARCH 31, 2021	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	$	100.0	$	100.0	$	—	$	—	$	—	$	—	$	—	$	—	$	100.0	$	100.0
Obligations of States and Political Subdivisions	1.0		1.0		—		—		—		—		—		—		1.0		1.0
Government Sponsored Agency	2.0		2.0		8.0		8.0		9.2		9.2		34.4		33.8		53.6		53.0
Non-U.S. Government	6,049.0		6,049.1		490.3		496.1		—		—		—		—		6,539.3		6,545.2
Corporate Debt	77.9		77.9		774.1		778.0		64.7		64.2		—		—		916.7		920.1
Covered Bonds	1,294.1		1,300.2		1,431.9		1,445.1		320.8		319.7		—		—		3,046.8		3,065.0
Certificates of Deposit	644.1		644.1		—		—		—		—		—		—		644.1		644.1
Sub-Sovereign, Supranational and Non-U.S. Agency Bonds	1,206.4		1,212.0		2,334.3		2,358.2		1,131.9		1,112.2		—		—		4,672.6		4,682.4
Other Asset-Backed	203.9		204.3		392.6		393.3		109.7		109.5		—		—		706.2		707.1
Other	36.5		36.0		252.8		236.6		53.4		47.5		113.4		62.0		456.1		382.1
Total	$	9,614.9	$	9,626.6	$	5,684.0	$	5,715.3	$	1,689.7	$	1,662.3	$	147.8	$	95.8	$	17,136.4	$	17,100.0

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, 2021 and 2020, no securities were transferred from available for sale to held to maturity.


	AS OF MARCH 31, 2021
(In Millions)	AAA			AA			A			BBB			NOT RATED			TOTAL
U.S. Government	$	100.0		$	—		$	—		$	—		$	—		$	100.0
Obligations of States and Political Subdivisions	—			1.0			—			—			—			1.0
Government Sponsored Agency	53.6			—			—			—			—			53.6
Non-U.S. Government	301.0			205.1			5,760.4			272.8			—			6,539.3
Corporate Debt	75.1			396.0			445.6			—			—			916.7
Covered Bonds	3,046.8			—			—			—			—			3,046.8
Certificates of Deposit	—			—			—			—			644.1			644.1
Sub-Sovereign, Supranational and Non-U.S. Agency Bonds	3,301.2			1,339.8			31.6			—			—			4,672.6
Other Asset-Backed	706.2			—			—			—			—			706.2
Other	—			—			—			—			456.1			456.1
Total	$	7,583.9		$	1,941.9		$	6,237.6		$	272.8		$	1,100.2		$	17,136.4
Percent of Total	44		%	11		%	36		%	2		%	7		%	100		%


	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 91% and 93% of the held to maturity portfolio at March 31, 2021 and December 31, 2020, respectively, comprised of securities rated A or higher. The remaining held to maturity debt securities portfolio was comprised of 2% rated BBB at March 31, 2021 and 7% not rated by Moody’s Investors Service, Standard and Poor’s or Fitch Ratings at March 31, 2021 and December 31, 2020, respectively. Securities not explicitly rated were grouped where possible under the credit rating of the issuer of the security.

Investment Security Gains and Losses. There were no sales of debt securities during the three months ended March 31, 2021. Proceeds of $280.0 million from the sale of debt securities during the three months ended March 31, 2020 resulted in gross realized debt securities gains of $0.7 million and gross realized debt securities losses of $0.7 million. There were no net investment security (losses) gains for the three months ended March 31, 2021 and 2020.