
	SEPTEMBER 30, 2020
(In Millions)	AMORTIZED COST		GROSS UNREALIZED GAINS		GROSS UNREALIZED LOSSES		FAIR VALUE
U.S. Government	$	4,083.9	$	81.3	$	—	$	4,165.2
Obligations of States and Political Subdivisions	2,465.2		136.3		1.0		2,600.5
Government Sponsored Agency	24,162.6		427.4		21.2		24,568.8
Non-U.S. Government	936.8		0.9		0.1		937.6
Corporate Debt	2,548.7		80.9		2.2		2,627.4
Covered Bonds	508.5		8.3		—		516.8
Sub-Sovereign, Supranational and Non-U.S. Agency Bonds	2,486.4		66.7		0.3		2,552.8
Other Asset-Backed	3,522.3		46.6		9.5		3,559.4
Commercial Mortgage-Backed	937.5		78.4		0.7		1,015.2
Other	7.3		—		—		7.3
Total	$	41,659.2	$	926.8	$	35.0	$	42,551.0


	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


SEPTEMBER 30, 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	$	1,802.3	$	1,805.4	$	1,834.8	$	1,876.1	$	446.8	$	483.7	$	—	$	—	$	4,083.9	$	4,165.2
Obligations of States and Political Subdivisions	16.4		16.4		210.9		222.8		2,187.7		2,311.0		50.2		50.3		2,465.2		2,600.5
Government Sponsored Agency	6,077.0		6,160.5		9,520.9		9,669.4		6,111.1		6,224.2		2,453.6		2,514.7		24,162.6		24,568.8
Non-U.S. Government	737.9		738.2		40.7		40.6		158.2		158.8		—		—		936.8		937.6
Corporate Debt	547.1		552.9		2,001.6		2,074.5		—		—		—		—		2,548.7		2,627.4
Covered Bonds	24.4		24.5		484.1		492.3		—		—		—		—		508.5		516.8
Sub-Sovereign, Supranational and Non-U.S. Agency Bonds	334.9		335.1		2,046.0		2,111.8		105.5		105.9		—		—		2,486.4		2,552.8
Other Asset-Backed	412.4		419.0		2,658.0		2,690.0		356.0		354.5		95.9		95.9		3,522.3		3,559.4
Commercial Mortgage-Backed	16.6		16.7		336.2		360.3		567.1		620.6		17.6		17.6		937.5		1,015.2
Other	7.3		7.3		—		—		—		—		—		—		7.3		7.3
Total	$	9,976.3	$	10,076.0	$	19,133.2	$	19,537.8	$	9,932.4	$	10,258.7	$	2,617.3	$	2,678.5	$	41,659.2	$	42,551.0

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 September 30, 2020 and December 31, 2019.


AS OF SEPTEMBER 30, 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	$	230.4	$	1.0	$	—	$	—	$	230.4	$	1.0
Government Sponsored Agency	2,578.6		6.8		2,862.3		14.4		5,440.9		21.2
Non-U.S. Government	26.5		0.1		—		—		26.5		0.1
Corporate Debt	69.1		1.0		76.1		1.2		145.2		2.2

Sub-Sovereign, Supranational and Non-U.S. Agency Bonds	146.3		0.2		158.7		0.1		305.0		0.3
Other Asset-Backed	631.2		1.0		846.3		8.5		1,477.5		9.5

Commercial Mortgage-Backed	76.3		0.7		—		—		76.3		0.7
Total	$	3,758.4	$	10.8	$	3,943.4	$	24.2	$	7,701.8	$	35.0


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 September 30, 2020, 475 debt securities available for sale with a combined fair value of $7.7 billion were in an unrealized loss position, with their unrealized losses totaling $35.0 million. Unrealized losses related to debt securities available for sale of $21.2 million and $9.5 million related to government-sponsored agency and other asset-backed securities, respectively, are primarily attributable to changes in market interest rates and credit spreads since their purchase. Unrealized losses related to corporate debt securities with no credit losses reported of $2.2 million are primarily attributable to changes in market interest rates as well as credit spreads since their purchase. As of September 30, 2020, 21% 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 September 30, 2020, are attributable to changes in overall market interest rates or credit spreads.

As of September 30, 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 no provision for corporate debt securities available for sale for the three and nine months ended September 30, 2020 and no allowance for credit losses for corporate debt securities available for sale as of September 30, 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. For additional information, please refer to Note 7 — Allowance for Credit Losses.

For a description of Northern Trust’s accounting policies applied prior to the adoption of ASU 2016-13, refer to Note 1 — Summary of Significant Accounting Policies and Note 4 — Securities included under Item 8. Financial Statements and Supplementary Data in the Annual Report on Form 10-K for the year ended December 31, 2019.


	SEPTEMBER 30, 2020
(In Millions)	AMORTIZED COST		GROSS UNREALIZED GAINS		GROSS UNREALIZED LOSSES		FAIR VALUE
U.S Government	$	99.0	$	—	$	—	$	99.0
Obligations of States and Political Subdivisions	2.6		0.1		—		2.7
Government Sponsored Agency	3.4		0.3		—		3.7
Non-U.S. Government	7,551.8		8.1		0.2		7,559.7
Corporate Debt	530.3		5.5		—		535.8
Covered Bonds	3,361.7		25.4		1.0		3,386.1
Certificates of Deposit	726.3		—		—		726.3
Sub-Sovereign, Supranational and Non-U.S. Agency Bonds	3,390.5		42.8		0.3		3,433.0
Other Asset-Backed	645.8		0.7		0.2		646.3
Other	442.6		—		88.7		353.9
Total	$	16,754.0	$	82.9	$	90.4	$	16,746.5


	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

As of September 30, 2020, the $16.8 billion debt securities held to maturity portfolio had an unrealized loss of $88.7 million related to other residential mortgage-backed securities, which are primarily attributable to changes in overall market interest rates and credit spreads since their purchase.


SEPTEMBER 30, 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	$	99.0	$	99.0	$	—	$	—	$	—	$	—	$	—	$	—	$	99.0	$	99.0
Obligations of States and Political Subdivisions	1.6		1.6		1.0		1.1		—		—		—		—		2.6		2.7
Government Sponsored Agency	0.5		0.6		1.5		1.6		0.9		1.0		0.5		0.5		3.4		3.7
Non-U.S. Government	7,291.5		7,293.2		260.3		266.5		—		—		—		—		7,551.8		7,559.7
Corporate Debt	125.0		125.2		405.3		410.6		—		—		—		—		530.3		535.8
Covered Bonds	1,228.1		1,233.1		2,133.6		2,153.0		—		—		—		—		3,361.7		3,386.1
Certificates of Deposit	726.3		726.3		—		—		—		—		—		—		726.3		726.3
Sub-Sovereign, Supranational and Non-U.S. Agency Bonds	832.7		837.1		2,325.2		2,362.7		232.6		233.2		—		—		3,390.5		3,433.0
Other Asset-Backed	190.1		190.1		435.4		435.8		20.3		20.4		—		—		645.8		646.3
Other	21.3		20.8		251.4		228.1		58.9		49.4		111.0		55.6		442.6		353.9
Total	$	10,516.1	$	10,527.0	$	5,813.7	$	5,859.4	$	312.7	$	304.0	$	111.5	$	56.1	$	16,754.0	$	16,746.5

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 September 30, 2020, no securities were transferred from available for sale to held to maturity. During the nine months ended September 30, 2020, $301.5 million securities reflected in U.S. government were transferred from available for sale to held to maturity, all of which were transferred in the second quarter of 2020. During the three and nine months ended September 30, 2019, $160.8 million securities reflected in covered bonds were transferred from available for sale to held to maturity.


	AS OF SEPTEMBER 30, 2020
(In Millions)	AAA		AA		A		BBB		NOT RATED		TOTAL
U.S. Government	$	99.0	$	—	$	—	$	—	$	—	$	99.0
Obligations of States and Political Subdivisions	—		0.6		0.7		1.3		—		2.6
Government Sponsored Agency	3.4		—		—		—		—		3.4
Non-U.S. Government	335.6		1,269.7		5,899.8		46.7		—		7,551.8
Corporate Debt	3.6		254.7		272.0		—		—		530.3
Covered Bonds	3,361.7		—		—		—		—		3,361.7
Certificates of Deposit	—		—		—		—		726.3		726.3
Sub-Sovereign, Supranational and Non-U.S. Agency Bonds	2,423.6		966.9		—		—		—		3,390.5
Other Asset-Backed	645.8		—		—		—		—		645.8
Other	—		—		—		—		442.6		442.6
Total	$	6,872.7	$	2,491.9	$	6,172.5	$	48.0	$	1,168.9	$	16,754.0

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 41% of the held to maturity portfolio at September 30, 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 15% rated double-A, 37% rated below double-A, and 7% not rated by Moody’s Investors Service, Standard and Poor’s or Fitch Ratings. 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 September 30, 2020. Proceeds of $689.2 million from the sale of debt securities during the nine months ended September 30, 2020 and $177.3 million and $406.6 million from the sale of debt securities during the three- and nine- months ended September 30, 2019, respectively, resulted in the following gains and losses shown below.


	THREE MONTHS ENDED SEPTEMBER 30,						NINE MONTHS ENDED SEPTEMBER 30,
(In Millions)	2020		2019		2020		2019
Gross Realized Debt Securities Gains	$	—	$	0.1	$	3.4	$	1.6
Gross Realized Debt Securities Losses	—		(0.4)		(3.3)		(2.2)
Changes in Other-Than-Temporary Impairment Losses⁽¹⁾	—		(0.1)		—		(0.3)
Net Investment Security (Losses) Gains	$	—	$	(0.4)	$	0.1	$	(0.9)