derivatives reporting report guide - northern trust reporting complements northern trust’s ......

D E R I VA T I V E S R E P O R T I N G

R e p o r t G u i d e

DERIVATIVES REPORTING

Northern Trust’s Derivatives Reporting package is a

comprehensive suite of reports designed specifically

to analyze derivatives data. Information in the package

starts with the summary level and follows with detailed

category information. The flow of information helps

individuals evaluate derivatives information in an

organized, logical format.

Offering the height of flexibility, the Derivatives Reporting

package provides:

■■ Reporting on a monthly, quarterly or annual basis;

■■ Online access via Northern Trust Passport®; and

■■ Customized consolidations for reporting.

Derivatives Reporting complements Northern Trust’s

Portfolio Statement report package for clients. Both

reporting packages rely on the same database.

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.

2 of 18 | Derivatives Reporting | northerntrust.com

C O N T E N T S

historic al coll ateral bal ances . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3

derivatives contract earnings detail . . . . . . . . . . . . . . . . . . . . . . . . . . . 4

derivatives contract holdings detail . . . . . . . . . . . . . . . . . . . . . . . . . . . 5

derivatives risk exposure earnings summary . . . . . . . . . . . . . . . . . . . . . . 6

derivatives risk exposure holdings summary . . . . . . . . . . . . . . . . . . . . . 7

futures and margined options detail s . . . . . . . . . . . . . . . . . . . . . . . . . . 8

asset alloc ation summary . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9

options detail . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10

segmented t ime distribution derivatives detail . . . . . . . . . . . . . . . . . . . .11

segmented t ime distribution derivatives summary . . . . . . . . . . . . . . . . . 12

standard fixed income derivatives detail . . . . . . . . . . . . . . . . . . . . . . . .13

swaps holding detail . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14

swaps summary . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .15

northerntrust.com | Derivatives Reporting | 3 of 18

H I S TO R I C A L C O L L AT E R A L B A L A N C E S

This report lists all historical collateral

balances in an account, sorted by account/

super category/broker, as of reporting date.

Collateral positions are reported in notional

terms, and market values are reported in

both local and base currency..

A Counterparty – denotes the organization

acting as counterparty to the contract.

B ISIN – asset identifier.

C Position – status of the collateral.

D Maturity – expiration date of the

contract.

E Next Coupon Date – if not matured,

date of next coupon payment.

F Notional – number of contracts

(notional value).

G Local Price – current contract price in

local currency.

H Market Value – shows both the base

MV and local MV of the security.

Northern =ust *Generated by Northern Trust from periodic data on 31 Jan XX

a b c d

Derivative Reporting Account number ABC01

XX NOV XX ABC CORPORATION

Historical Collateral Balances

EF G

H

C O N T E N T S

historic al coll ateral bal ances . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3

derivatives contract earnings detail . . . . . . . . . . . . . . . . . . . . . . . . . . . 4

derivatives contract holdings detail . . . . . . . . . . . . . . . . . . . . . . . . . . . 5

derivatives risk exposure earnings summary . . . . . . . . . . . . . . . . . . . . . . 6

derivatives risk exposure holdings summary . . . . . . . . . . . . . . . . . . . . . 7

futures and margined options detail s . . . . . . . . . . . . . . . . . . . . . . . . . . 8

asset alloc ation summary . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9

options detail . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10

segmented t ime distribution derivatives detail . . . . . . . . . . . . . . . . . . . .11

segmented t ime distribution derivatives summary . . . . . . . . . . . . . . . . . 12

standard fixed income derivatives detail . . . . . . . . . . . . . . . . . . . . . . . .13

swaps holding detail . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14

swaps summary . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .15

D E R I VAT I V E S C O N T R AC T E A R N I N G S D E TA I L

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 categorized 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.

a Description/Asset ID: security

description and asset identifier for

the contract.

b 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.

c Realized G/L: the total realized gain/

loss amount recognized on the contract

during the reporting period.

d Income Earned: the total income

amount recognized on the contract


e Expense Recognized: the total expense

amount recognized on the contract


f Total: the total change in unrealized gain/

loss, realized gain/loss, income earned

and expense recognized for each contract

held during the reporting period.


a b c d




Derivatives Contract – Earnings Detail Page X of XX

e f


D E R I VAT I V E S C O N T R AC T H O L D I N G S D E TA 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 sub-

categorized 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.

a Description/Asset ID: security descrip-

tion and asset identifier for the contract.

b Shares/PAR Value/Notional: number

of contracts or notional quantity.

c Notional Market Value: where reported,

the number of contracts multiplied by

contract size, multiplied by current

contract price.

d Notional Cost: where reported, the

notional market value of the contract

at acquisition.

e 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.

f 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.

g 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.

h Cost: principal amount paid or received

at acquisition of the contract.

i 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.


a

bc d



Derivatives Contract – Holdings Detail Page X of XX

hie

f g

D E R I VAT 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 RY

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.

a Description: reflects the category or

subcategory of the type of contract being

summarized.

b Change in Unrealized G/L: summarizes

the change in unrealized gain/loss reported

on the Derivatives Contracts – Earnings

Detail for each contract within the category,

for the reporting period.

c 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.

d Income Earned: summarizes the total

income reported on the Derivatives

Contracts - Earnings Detail for each

contract within the category, for the

reporting period.

E Expense Recognized: summarizes

the total expense reported on the

Derivatives Contracts – Earnings Detail

for each contract within the category,

for the reporting period.

F Total: the total change in unrealized gain/

loss, realized gain/loss, income earned

and expense recognized for each category

of contract reported.



Derivatives Reporting Account number ABC01


Derivatives Risk Exposure – Earnings Summary Page X of XX

a b c d e f


D E R I VAT 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 RY

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.

a Description/Asset ID: reflects the

category or subcategory of the type

of contract being summarized.

b Notional Market Value: summarizes

the notional market value reported on the

Derivatives Contracts – Holdings Detail

for each contract within the category.

c Notional Cost: summarizes the notional

costs reported on the Derivatives Contracts

– Holdings Detail for each contract

within the category.

d Accrued Income/Expense: summarizes

the accrued income/expense reported

on the Derivatives Contracts – Holdings

Detail for each contract within the category.

e Market Value: summarizes the market

values reported on the Derivatives

Contracts – Holdings Detail for each

contract within the category.

f Last Day’s Mark: summarizes the last

day’s mark reported on the Derivatives

Contracts – Holdings Detail for each

contract within the category.

g Cost: summarizes the cost basis reported

on the Derivatives Contracts – Holdings

Detail for each contract within the category.

h Unrealized Gain/Loss: summarizes

the unrealized gain/loss reported on the

Derivatives Contracts – Holdings Detail

for each contract within the category.


a b cd



Derivatives Risk Exposure – Holdings Summary Page X of XX

he f g

F U T U R E S A N D M A R G I N E D O P T I O N S D E TA I L S

This report lists all futures contracts

(long and short) and all margined options

(long and short) in an account, sorted by

their super categories, as of reporting date.

It also shows the Primary Exchange where

the contract is listed. Values are reported in

both local and base currency. Base currency

subtotals are performed at the super category

level, as well as the portfolio level.

A TNT ID – asset identifier for the contract.

B Security Description – description of the

contract in each category/subcategory.

C Primary Exchange – stock exchange

which the contract is traded.

D Number of Contracts – contract position

as of reporting date.

E Expiration Date – date contract is set

to expire.

F Multiplier – size of the contract.

G Price – exchange price of the contract

as of reporting date.

H Notional Market Value – number of

contracts times the multiplier times the

price at reporting date.

I Notional Cost – number of contracts

times the multiplier times the purchase

price.

J Gain/Loss – notional market value less

notional cost.

K Open Trade Equity (Local) – notional

market value local less notional cost local.

Open Trade Equity (Base) – OTE local/

FX rate at reporting date.


a b c d




Futures and Margined Options Details Page X of XX

ij

ke f

gh


A S S E T A L LO C AT I O N S U M M A RY

This report lists all historical collateral

balance in an account, sorted by account/

super category/broker, as of reporting date.

Collateral positions are reported in notional

terms, and market values are reported in

both local and base currency.

A Counterparty – denotes the organization


B ISIN – asset identifier.

C Position – status of the collateral.

D Maturity – expiration date of

the contract.

E Next Coupon Date – if not matured,

date of next coupon payment.

F Notional – number of contracts

(notional value).

G Local Price – current contract price

in local currency.

H Market Value – shows both the base

market value and local market value

of the security.




Asset Allocation Summary Page X of XX

a b c de

f g

h

O P T I O N S D E TA I L

This schedule details a portfolio’s options

contract holdings. The report will be sorted

and totaled by the asset type in Base and

Local terms.

a TNT ID represents the cusip or sedol

where available; otherwise, it will

represent the TNT security number.

b Denotes Security Description.

c Denotes Number of Contracts that

are held.

d Denotes Date the option contract

expires.

e Contract Size is calculated by market

value divided by the product of Contract Price and Number of Contracts.

f Denotes Current Contract Price in local

and base.

g Notional Market Value in local and base

is calculated by Number of Contracts

multiplied by Contract Size multiplied

by Current Price of the Options Contact.

h Notional Cost in local and base is

calculated by Number of Contracts

multiplied by Contract Size multiplied

by Purchase Price of the Options Contract.

i Denotes Asset Category.

j A disclaimer to state that these reports

are not meant to be relied upon for

SFAS 133 purposes.





Option Detail Page X of XX

*** This series of reports is provided to assist you in gathering information for investment performance and risk reporting purposes. They are not intended to identify derivative instruments for SFAS 133, Statement of Financial Accounting Standards, Accounting for Derivative Instruments and Hedging Activities, and should therefore not be relied upon for purposes of complying with the accounting requirements of the new pronouncement.

a bc d

i

j

e

f g h


S E G M E N T E D T I M E D I S T R I B U T I O N D E R I VAT I V E S D E TA I L

This report shows when each contract matures

within a specific date range in the future, as of

report date. Ranges vary from less than three

months up to 10+ years. The contracts are

categorized initially by futures or liabilities,

and then by derivative instrument, such as,

futures, options, and swaps. They are further

segregated by derivative type, such as,

commodity contracts, interest rate contracts,

equity contracts.

A Description – security description with

identifier.

B Shares/PAR – number of contracts.

C Market Value – reflected as shares times

the market price. (For contracts where

mark to market changes occur, this value

is reflected as zero.)

D Notional Market Value – number of

contracts times the multiplier times the


E Expiration Ranges – reflects respective

range in which the contract will expire.


a b cd



Segmented Time Distribution Derivatives Detail Page X of XX

e

S E G M E N T E D T I M E D I S T R I B U T I O N D E R I VAT I V E S S U M M A RY

This report shows the summed market value

of all contracts that matures within a specific

date range, for each country, as of report date.

Ranges vary from less than three months, up

to 10+ years. The contracts are categorized

initially by futures or liabilities, and then

by derivative instrument, such as, futures,

options, and swaps. They are further

segregated by derivative type, such as,

commodity contracts, interest rate contracts,

equity contracts.

A Description – security description,

segregated by contract type and country.

B Total Notional Market Value – number

of contracts times the multiplier times the


C Total Market Value – reflected as shares

times the market price. (For contracts

where mark to market changes occur,

this value is reflected as zero.)

D Expiration Ranges – reflects respective

range in which the contract will expire.


ab

c

d




Segmented Time Distribution Derivatives Summary Page X of XX


S TA N DA R D F I X E D I N C O M E D E R I VAT I V E S D E TA I L

This schedule reflects holding information

in base and local values for fixed income

derivatives as of a reporting date. The fixed

income derivatives in this report are not meant

to be relied upon for SFAS 133 purposes.

a Denotes Description of the security.

b Denotes Shares or Par Value of the

security and Local Market Price.

c Denotes Net Accrued Income or

Expenses in local and base values.

d Denotes Market Value in local and

base values.

e Denotes Cost in local and base values.

f Denotes Unrealized Gain or Loss Due to Market and Unrealized Gain or Loss Due to Translation.

g Denotes Total Unrealized Gain or Loss.

h Denotes Asset Category.

i Denotes Asset Sub Category.

j Denotes Country of incorporation

followed by the pricing currency symbol.

k A disclaimer to state that these reports

are not meant to be relied upon for

SFAS 133 purposes.




Standard Fixed Income Derivatives Details Page X of XX

ab

cd

i

j

k

ef

g

h

*** This series of reports is provided to assist you in gathering information for investment performance and risk reporting purposes. They are not intended to identify derivative instruments for SFAS 133, Statement of Financial Accounting Standards, Accounting for Derivative Instruments and Hedging Activities, and should therefore not be relied upon for purposes of complying with the accounting requirements of the new pronouncement.

S WA P S H O L D I N G D E TA I L

This report lists all swaps in an account sorted

by their type (i.e., credit default swaps, interest

rate swaps, commodity swaps) broken out by

leg. There are multiple pieces of information

on this report, including:

a Security Identifier – asset identifier of

the contract segregated by legs.

B Expiration Date – date contract is set

to expire.

C Security Description – description of the

contract in each category/subcategory.

D Counterparty – denotes the organization


ENotional/Units – reflects the notional

base and local market value.

FAccrued Income – reflects any accrued

income associated with contract.

GMarket Value – shows both the base

market value and local market value of

the security.

hCost – summarizes cost basis of contract.

iGain/Loss – calculated as market value

less cost.





Swaps Holding Detail Page X of XX

a b c

d

ie f g h


S WA P S S U M M A RY

This report lists all swaps in an account sorted

by their type (i.e., credit default swaps, interest

rates swaps, commodity swaps) and net as a

single position. There are multiple pieces of

information on this report, including:

A Security Identifier – asset identifier of

the contract segregated by legs.

B Expiration Date – date contract is set

to expire.

C Security Description – description

of the contract in each category/

subcategory.

D Counterparty – denotes the organization


E Notional/Units – reflects the notional

base and local market value.

F Accrued Income – reflects any accrued

income associated with contract.

G Market Value – shows both the base

market value and local market value

of the security.

H Cost – summarizes cost basis of contract.

I Gain/Loss – calculated as market value

less cost.




Swaps Summary Page X of XX

a b c

d

ie f g h

N OT E S


© 2018 Northern Trust Corporation. Head Office: 50 South La Salle Street, Chicago, Illinois 60603 U.S.A. Incorporated with limited liability in the U.S. Products

and services provided by subsidiaries of Northern Trust Corporation may vary in different markets and are offered in accordance with local regulation.

This material is directed to professional clients only and is not intended for retail clients. For Asia-Pacific markets, it is directed to expert, institutional,

professional and wholesale investors only and should not be relied upon by retail clients or investors.

For legal and regulatory information about our offices and legal entities, visit northerntrust.com/disclosures. The following information is provided to comply

with local disclosure requirements: The Northern Trust Company, London Branch; Northern Trust Global Services PLC; Northern Trust Global Investments

Limited; Northern Trust Securities LLP. Northern Trust Global Services PLC, Abu Dhabi Branch, registration Number 000000519 licenced by ADGM under FSRA

# 160018. The Northern Trust Company of Saudi Arabia - a Saudi closed joint stock company - Capital SAR 52 million. Licensed by the Capital Market Authority

- License No. 12163-26 - C.R: 1010366439. Northern Trust Global Services PLC Luxembourg Branch, 6 rue Lou Hemmer, L-1748 Senningerberg, Grand-Duché

de Luxembourg, Succursale d’une société de droit étranger RCS B129936. Northern Trust Luxembourg Management Company S.A., 6 rue Lou Hemmer, L-1748

Senningerberg, Grand-Duché de Luxembourg, Société anonyme RCS B99167. Northern Trust (Guernsey) Limited (2651)/Northern Trust Fiduciary Services

(Guernsey) Limited (29806)/Northern Trust International Fund Administration Services (Guernsey) Limited (15532) Registered Office: Trafalgar Court Les

Banques, St Peter Port, Guernsey GY1 3DA.

northerntrust.com

Q2030 (3/18)

derivatives reporting report guide - northern trust reporting complements northern trust’s ......

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