Securities — The following tables provide the amortized cost and fair values of securities at June 30, 2016 and December 31, 2015.

Table 36: Reconciliation of Amortized Cost to Fair Value of Securities Available for Sale



Securities Available for Sale	June 30, 2016
	Amortized Cost		Gross Unrealized				Fair Value
(In Millions)	Amortized Cost		Gains		Losses		Fair Value
U.S. Government	$	6,818.3	$	71.0	$	—	$	6,889.3
Obligations of States and Political Subdivisions	641.7		1.9		—		643.6
Government Sponsored Agency	17,396.1		65.1		24.2		17,437.0
Non-U.S. Government	280.5		0.2		—		280.7
Corporate Debt	3,997.2		15.3		11.1		4,001.4
Covered Bonds	1,377.8		2.2		3.4		1,376.6
Sub-Sovereign, Supranational and Non-U.S. Agency Bonds	1,119.6		3.4		1.5		1,121.5
Other Asset-Backed	2,388.0		3.5		0.9		2,390.6
Auction Rate	6.3		—		0.2		6.1
Commercial Mortgage-Backed	408.0		2.9		—		410.9
Other	74.4		—		—		74.4
Total	$	34,507.9	$	165.5	$	41.3	$	34,632.1



Securities Available for Sale	December 31, 2015
	Amortized Cost		Gross Unrealized				Fair Value
(In Millions)	Amortized Cost		Gains		Losses		Fair Value
U.S. Government	$	6,180.4	$	3.4	$	5.5	$	6,178.3
Obligations of States and Political Subdivisions	36.4		0.1		0.1		36.4
Government Sponsored Agency	16,370.5		42.8		46.5		16,366.8
Non-U.S. Government	309.5		0.1		0.1		309.5
Corporate Debt	3,744.4		0.9		33.1		3,712.2
Covered Bonds	1,873.3		1.8		4.9		1,870.2
Sub-Sovereign, Supranational and Non-U.S. Agency Bonds	860.9		0.5		2.0		859.4
Other Asset-Backed	2,504.2		0.1		4.2		2,500.1
Auction Rate	16.7		0.5		0.1		17.1
Commercial Mortgage-Backed	378.1		—		3.7		374.4
Other	93.4		0.1		—		93.5
Total	$	32,367.8	$	50.3	$	100.2	$	32,317.9

Table 37: Reconciliation of Amortized Cost to Fair Value of Securities Held to Maturity



Securities Held to Maturity	June 30, 2016
	Amortized Cost		Gross Unrealized				Fair Value
(In Millions)	Amortized Cost		Gains		Losses		Fair Value
U.S Government	$	8.0	$	—	$	—	$	8.0
Obligations of States and Political Subdivisions	77.1		4.7		—		81.8
Government Sponsored Agency	8.5		0.6		—		9.1
Corporate Debt	150.6		0.4		—		151.0
Covered Bonds	1,771.4		11.0		2.3		1,780.1
Non-U.S. Government	974.5		8.2		—		982.7
Certificates of Deposit	1,122.6		0.3		0.1		1,122.8
Sub-Sovereign, Supranational and Non-U.S. Agency Bonds	2,157.9		12.0		0.7		2,169.2
Other	100.3		0.7		29.5		71.5
Total	$	6,370.9	$	37.9	$	32.6	$	6,376.2



Securities Held to Maturity	December 31, 2015
	Amortized Cost		Gross Unrealized				Fair Value
(In Millions)	Amortized Cost		Gains		Losses		Fair Value
U.S Government	$	26.0	$	—	$	—	$	26.0
Obligations of States and Political Subdivisions	89.2		5.2		—		94.4
Government Sponsored Agency	9.9		0.7		—		10.6
Covered Bonds	892.4		0.4		1.9		890.9
Non-U.S. Government	1,118.0		4.8		0.5		1,122.3
Certificates of Deposit	691.6		0.1		0.1		691.6
Sub-Sovereign, Supranational and Non-U.S. Agency Bonds	2,326.2		8.3		0.9		2,333.6
Other	95.0		—		36.9		58.1
Total	$	5,248.3	$	19.5	$	40.3	$	5,227.5

Securities held to maturity consist of debt securities that management intends to, and Northern Trust has the ability to, hold until maturity.

The following table provides the remaining maturity of securities as of June 30, 2016.

Table 38: Remaining Maturity of Securities Available for Sale and Held to Maturity



	June 30, 2016
(In Millions)	Amortized Cost		Fair Value
Available for Sale
Due in One Year or Less	$	9,817.1	$	9,836.2
Due After One Year Through Five Years	19,289.8		19,386.0
Due After Five Years Through Ten Years	4,406.7		4,415.3
Due After Ten Years	994.3		994.6
Total	34,507.9		34,632.1
Held to Maturity
Due in One Year or Less	2,476.2		2,481.2
Due After One Year Through Five Years	3,825.3		3,851.0
Due After Five Years Through Ten Years	13.8		11.4
Due After Ten Years	55.6		32.6
Total	$	6,370.9	$	6,376.2

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

Investment Security Gains / Losses. Net investment security losses of $2.4 million were recognized in the three months ended June 30, 2016, related to the other-than-temporary impairment (OTTI) of certain Community Reinvestment Act (CRA) eligible held to maturity securities. Net investment security losses of $0.4 million were recognized in the three months ended June 30, 2015. Gross proceeds from the sale of securities during the three months ended June 30, 2016 and 2015 were $10.0 million and $4.5 million, respectively.

There were $2.1 million of net investment security losses recognized in the six months ended June 30, 2016, which include $2.4 million of charges related to the other-than-temporary impairment (OTTI) of certain Community Reinvestment Act (CRA) eligible held to maturity securities. Net investment security losses of $0.3 million were recognized in the six months ended June 30, 2015. For the six months ended June 30, 2016, proceeds of $523.6 million were received from the sale of securities, resulting in gross realized gains of $0.3 million . For the six months ended June 30, 2015, proceeds of $106.5 million were received from the sale of securities, resulting in gross realized gains and losses of $0.1 million and $0.4 million, respectively.

Securities with Unrealized Losses. The following tables provide information regarding 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, 2016 and December 31, 2015.

Table 39: Securities with Unrealized Losses



Securities with Unrealized Losses as of June 30, 2016	Less than 12 Months				12 Months or Longer				Total
(In Millions)	Fair Value		Unrealized Losses		Fair Value		Unrealized Losses		Fair Value		Unrealized Losses
Government Sponsored Agency	$	5,410.2	$	16.3	$	1,351.7	$	7.9	$	6,761.9	$	24.2
Corporate Debt	523.5		2.5		1,016.1		8.6		1,539.6		11.1
Covered Bonds	847.2		3.1		141.2		2.6		988.4		5.7
Sub-Sovereign, Supranational and Non-U.S. Agency Bonds	570.3		1.1		148.9		1.1		719.2		2.2
Other Asset-Backed	488.2		0.8		185.0		0.1		673.2		0.9
Certificates of Deposit	191.0		0.1		—		—		191.0		0.1
Auction Rate	—		—		5.5		0.2		5.5		0.2
Other	35.8		9.7		50.3		19.8		86.1		29.5
Total	$	8,066.2	$	33.6	$	2,898.7	$	40.3	$	10,964.9	$	73.9



Securities with Unrealized Losses as of December 31, 2015	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	$	3,888.0	$	5.5	$	—	$	—	$	3,888.0	$	5.5
Obligations of States and Political Subdivisions	15.1		0.1		—		—		15.1		0.1
Government Sponsored Agency	9,208.5		38.7		1,213.6		7.8		10,422.1		46.5
Non-U.S. Government	314.3		0.6		—		—		314.3		0.6
Corporate Debt	2,067.6		10.3		1,057.1		22.8		3,124.7		33.1
Covered Bonds	1,598.4		6.7		10.0		0.1		1,608.4		6.8
Sub-Sovereign, Supranational and Non-U.S. Agency Bonds	1,132.9		2.3		109.3		0.6		1,242.2		2.9
Other Asset-Backed	2,122.7		4.0		170.6		0.2		2,293.3		4.2
Certificates of Deposit	180.3		0.1		—		—		180.3		0.1
Auction Rate	—		—		6.4		0.1		6.4		0.1
Commercial Mortgage-Backed	374.4		3.7		—		—		374.4		3.7
Other	28.7		13.3		50.7		23.6		79.4		36.9
Total	$	20,930.9	$	85.3	$	2,617.7	$	55.2	$	23,548.6	$	140.5

As of June 30, 2016, 507 securities with a combined fair value of $11.0 billion were in an unrealized loss position, with their unrealized losses totaling $73.9 million. Unrealized losses of $24.2 million related to government sponsored agency securities were primarily attributable to higher market interest rates since purchase. Unrealized losses of $11.1 million within corporate debt securities primarily reflected higher market rates, and wider credit spreads since purchase; 31% of the corporate debt portfolio is backed by guarantees provided by U.S. and non-U.S. governmental entities.

The majority of the $29.5 million of unrealized losses in securities classified as “other” at June 30, 2016, related to securities primarily purchased at a premium or par by Northern Trust for compliance with 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. Unrealized losses of $0.2 million related to auction rate securities primarily reflected reduced market liquidity as a majority of auctions continued to fail, preventing holders from liquidating their investments at par. The remaining unrealized losses on Northern Trust’s securities portfolio as of June 30, 2016, were attributable to changes in overall market interest rates, increased credit spreads or reduced market liquidity. As of June 30, 2016, Northern Trust did not intend to sell any investment in an unrealized loss position and it was not more likely than not that Northern Trust would 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 was 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 $2.4 million of OTTI losses recognized in the three and six months ended June 30, 2016 related to CRA-eligible mortgage-backed securities. There were no OTTI losses recognized during the three and six months ended June 30, 2015.

Credit Losses on Debt Securities. The table below provides the cumulative credit-related losses recognized in earnings on debt securities other-than-temporarily impaired.

Table 40: Cumulative Credit-Related Losses on Securities



	Three Months Ended June 30,				Six Months Ended June 30,
(In Millions)	2016		2015		2016		2015
Cumulative Credit-Related Losses on Securities Held — Beginning of Period	$	5.2	$	5.2	$	5.2	$	5.2
Plus: Losses on Newly Identified Impairments	0.3		—		0.3		—
Additional Losses on Previously Identified Impairments	2.1		—		2.1		—
Less: Current and Prior Period Losses on Securities Sold During the Period	—		—		—		—
Cumulative Credit-Related Losses on Securities Held — End of Period	$	7.6	$	5.2	$	7.6	$	5.2