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.

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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

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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.

Q 27545 (3/17)