derivatives title - northern trust represents the portion ... na description:reflects the category...
TRANSCRIPT
T I T L E
R e p o r t G u i d e
D E R I V A T I V E S
R e p o r t G u i d e
A d d i t i o n a l R e p o r t i n g t o A s s i s t w i t h A S C 8 1 5 a n d G A S B 5 3
DERIVAT IVES REPORT GUIDE FOR ASC 815 AND GASB53
Northern Trust’s Derivatives Reporting package
is a comprehensive suite of reports designed
specifically to provide information related to
holdings, transactions and risk exposure to assist
you in analyzing the derivatives within your
portfolios. This guide provides a sampling
of those reports.
Northern Trust is committed to creating products
that meet your challenging business requirements.
If you would like more information regarding the
Derivatives Reporting package, please contact
your Northern Trust representative.
| N O R T H E R N T R U S T
C O N T E N T S
d e r i v a t i v e s c o n t r a c t e a r n i n g s d e t a i l .................................................... 3
d e r i v a t i v e s c o n t r a c t h o l d i n g s d e t a i l .................................................. 4
d e r i v a t i v e s r i s k e x p o s u r e e a r n i n g s s u m m a r y ................................. 6
d e r i v a t i v e s r i s k e x p o s u r e h o l d i n g s s u m m a r y .................................. 7
d e r i v a t i v e s h o l d i n g s c o n t r a c t .................................................................. 9
N O R T H E R N T R U S T |
D E R I V A T I V E S C O N T R A C T E A R N I N G S D E T A I L
Northern =ust *Generated by Northern Trust from daily data on XX Feb XX
This report shows earnings (including
income, expense, realized gain/loss, and
change in unrealized gain/loss) recognized
during the reporting period for derivatives
contracts held at any time during the
reporting period. The earnings are catego-
rized first by contract type such as futures,
options or swaps, and subcategorized by
their underlying risk exposure such as equity
risk, interest rate risk, credit risk, foreign
exchange risk, commodity risk and other
risks. Additional risks associated with
derivatives contracts may exist that this
report does not identify.
na Description /Asset ID: security description and asset identifier for the contract.
nB Change in Unrealized G/L: the difference between the unrealized gain/loss of the contract at the end of the reporting period and the unrealized gain/loss of the contract at the beginning of the reporting period.
nc Realized G/L: the total realized gain/loss amount recognized on the contract during the reporting period.
nd Income Earned: the total income amount recognized on the contract during the reporting period.
ne Expense Recognized: the total expense amount recognized on the contract during the reporting period.
nF Total: the total change in unrealized gain/loss, realized gain/loss, income earned and expense recognized for each contract held during the reporting period.
ndncnB nFnena
D E R I V A T I V E S C O N T R A C T H O L D I N G S D E T A I L
This report shows derivatives contracts held
in an account as of the report date. The
contracts are categorized first by asset or
liability, and then further categorized by
their instrument type such as futures,
options or swaps. Within each type of
contract, positions are further subcategorized
by their underlying risk exposure such as
equity risk, interest rate risk, credit risk,
foreign exchange risk, commodity risk and
other risks. Additional risks associated with
derivatives contracts may exist that this
report does not identify.
Northern =ust *Generated by Northern Trust from daily data on 11 Feb XX
4 | N O R T H E R N T R U S T
ninhngnFne
nandnc
nB
N O R T H E R N T R U S T |
na Description / Asset ID: security description and asset identifier for the contract.
nB Shares / PAR Value / Notional: number of contracts or notional quantity.
nc Notional Market Value: where reported, the number of contracts multiplied by contract size, multiplied by current contract price.
nd Notional Cost: where reported, the notional market value of the contract at acquisition.
ne Accrued Income/Expense: outstanding income or expense amount associated with the contract that has accrued but is not yet received or paid, where such amounts are reported separately from market value.
nF Market Value: quantity of position held multiplied by current market price. For contracts where changes in value are settled daily through mark-to-markets, market value is generally reported as zero.
ng Last Day’s Mark: for contracts where changes in value are settled daily through mark-to-markets, the last day’s mark is the associated mark-to-market as of the report date.
nh Cost: principal amount paid or received at acquisition of the contract.
ni Unrealized Gain/Loss: change in value from date of acquisition to the report date, calculated as the difference between market value and cost basis as of the report date. Unrealized Gain/Loss Market represents the portion due to changes in local market values, calculated as the difference between local market value and local cost, divided by the exchange rate as of the report date. Unrealized Gain/Loss Translation represents the portion due to changes in exchange rates, calculated as local cost divided by the exchange rate as of the report date, less cost in base currency.
6 | N O R T H E R N T R U S T
The report summarizes earnings (including
income, expense, realized gain/loss, and
change in unrealized gain/loss) recognized
during the reporting period for derivatives
contracts held at any time during the reporting
period. Earnings amounts are categorized
first by contract type such as futures, options
or swaps, and subcategorized by underlying
risk exposure such as equity risk, interest rate
risk, credit risk, foreign exchange risk,
commodity risk and other risks. Each row
represents the sum of corresponding rows on
the Derivatives Contracts - Earnings Detail
report. Additional risks associated with
derivatives contracts may exist that this
report does not identify.
na Description: reflects the category or
subcategory of the type of contract being
summarized.
nB Change in Unrealized G/L: summa-
rizes the change in unrealized gain/loss
reported on the Derivatives Contracts -
Earnings Detail for each contract within
the category, for the reporting period.
nc Realized G/L: summarizes the total
realized gain/loss reported on the
Derivatives Contracts - Earnings Detail
for each contract within the category,
for the reporting period.
nd Income Earned: summarizes the total
income reported on the Derivatives
Contracts - Earnings Detail for each
contract within the category, for the
reporting period.
ne Expense Recognized: summarizes the
total expense reported on the Derivatives
Contracts - Earnings Detail for each
contract within the category, for the
reporting period.
nF Total: the total change in unrealized
gain/loss, realized gain/loss, income
earned and expense recognized for each
category of contract reported.
Northern =ust *Generated by Northern Trust from periodic data on 31 Jan XX
D E R I V A T I V E S R I S K E X P O S U R E E A R N I N G S S U M M A R Y
ndncnB nFnena
N O R T H E R N T R U S T | 7
D E R I V A T I V E S R I S K E X P O S U R E H O L D I N G S S U M M A R Y
Northern =ust *Generated by Northern Trust from periodic data on 11 Feb XX
This report summarizes derivatives contracts
held in an account as of the report date.
Subtotals are categorized first by asset or
liability, and then further categorized by type
of underlying risk exposure such as equity
risk, interest rate risk, credit risk, foreign
exchange risk, commodity risk and other
risks. Within each risk exposure category,
amounts are subcategorized by their contract
type such as futures, options or swaps. Each
row represents the sum of corresponding rows
on the Derivatives Contracts - Holdings
Detail report. Additional risks associated
with derivatives contracts may exist that this
report does not identify.
na Description/Asset ID: reflects the category or subcategory of the type of contract being summarized.
nB Notional Market Value: summarizes the notional market value reported on the Derivatives Contracts - Holdings Detail for each contract within the category.
nc Notional Cost: summarizes the notional costs reported on the Derivatives Contracts - Holdings Detail for each contract within the category.
nd Accrued Income/Expense: summarizes the accrued income/expense reported on the Derivatives Contracts - Holdings Detail for each contract within the category.
ne Market Value: summarizes the market values reported on the Derivatives Contracts - Holdings Detail for each contract within the category.
nF Last Day’s Mark: summarizes the last day’s mark reported on the Derivatives Contracts - Holdings Detail for each contract within the category.
ng Cost: summarizes the cost basis reported on the Derivatives Contracts - Holdings Detail for each contract within the category.
nh Unrealized Gain/Loss: summarizes the unrealized gain/loss reported on the Derivatives Contracts - Holdings Detail for each contract within the category.
ndncnBna ne nF ngnh
| N O R T H E R N T R U S T
D E R I V A T I V E S I N F O R M A T I O N
Data Field Reports Available
Change in Unrealized Gain/Loss Asset Detail / Funding and Disbursement Detail
Realized Gain/Loss Investment Transactions Detail / Realized Gain/Loss Detail
Income Earned Income & Expense Detail
Expense Recognized Income & Expense Detail
Data Field Reports Available
Notional Market Value Asset Detail
Notional Cost Asset Detail
Accrued Income/Expense Asset Detail
Market Value Asset Detail
Last Day’s Mark Investment Transactions Detail
Cost Asset Detail
Unrealized Gain/Loss Asset Detail
Northern =ust
Derivatives Contract - Earnings DetailDerivatives Risk Exposure – Earnings Summary
Derivatives Contract - Holdings DetailDerivatives Risk Exposure – Holdings Summary
For more information, please refer to the following reports available in Passport.
Northern Trust Corporation, Head Office: 50 South La Salle Street, Chicago, Illinois 60603 U.S.A. Incorporated with limited liability in the U.S.
Legal, Investment and Tax Notice: This information is not intended to be and should not be treated as legal, investment or tax advice. Clients should under no circumstances
rely on this information as a substitute for obtaining specific legal or tax advice from their own professional legal or tax advisors. Northern Trust Corporation, Head
Office: 50 South La Salle Street, Chicago, Illinois 60603 U.S.A, incorporated with limited liability in the U.S. Past performance is no guarantee of future results. Risk controls
and models do not promise any level of performance or guarantee against loss of principal. This material is directed to eligible counterparties and professional clients only
and should not be relied upon by retail investors. The information in this report has been obtained from sources believed to be reliable, but its accuracy, completeness and
interpretation are not guaranteed. Any person relying upon this information shall be solely responsible for the consequences of such reliance. This report is provided for
informational purposes only and does not constitute investment advice or a recommendation of any security or product described herein. Indices and trademarks are the
property of their respective owners. All rights reserved. For Asia-Pacific markets, it is directed to institutional investors, expert investors and professional investors only and
should not be relied upon by retail investors.
© Northern Trust Corporation 2017.