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
during the reporting period.
e Expense Recognized: the total expense
amount recognized on the contract
during the reporting period.
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.
Northern =ust *Generated by Northern Trust from periodic data on 31 Jan XX
a b c d
4 of 18 | Derivatives Reporting | northerntrust.com
Derivative Reporting Account number ABC01
XX NOV XX ABC CORPORATION
Derivatives Contract – Earnings Detail Page X of XX
e f
northerntrust.com | Derivatives Reporting | 5 of 18
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.
Northern =ust *Generated by Northern Trust from periodic data on 31 Jan XX
a
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Derivative Reporting Account number ABC01
XX NOV XX ABC CORPORATION
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.
Northern =ust *Generated by Northern Trust from periodic data on 31 Jan XX
6 of 18 | Derivatives Reporting | northerntrust.com
Derivatives Reporting Account number ABC01
XX NOV XX ABC CORPORATION
Derivatives Risk Exposure – Earnings Summary Page X of XX
a b c d e f
northerntrust.com | Derivatives Reporting | 7 of 18
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.
Northern =ust *Generated by Northern Trust from periodic data on 31 Jan XX
a b cd
Derivative Reporting Account number ABC01
XX NOV XX ABC CORPORATION
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.
Northern =ust *Generated by Northern Trust from periodic data on 31 Jan XX
a b c d
8 of 18 | Derivatives Reporting | northerntrust.com
Derivative Reporting Account number ABC01
XX NOV XX ABC CORPORATION
Futures and Margined Options Details Page X of XX
ij
ke f
gh
northerntrust.com | Derivatives Reporting | 9 of 18
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
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
market value and local market value
of the security.
Northern =ust *Generated by Northern Trust from periodic data on 31 Jan XX
Derivative Reporting Account number ABC01
XX NOV XX ABC CORPORATION
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.
Northern =ust *Generated by Northern Trust from periodic data on 31 Jan XX
10 of 18 | Derivatives Reporting | northerntrust.com
Derivative Reporting Account number ABC01
XX NOV XX ABC CORPORATION
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
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f g h
northerntrust.com | Derivatives Reporting | 11 of 18
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
price at reporting date.
E Expiration Ranges – reflects respective
range in which the contract will expire.
Northern =ust *Generated by Northern Trust from periodic data on 31 Jan XX
a b cd
Derivative Reporting Account number ABC01
XX NOV XX ABC CORPORATION
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
price at reporting date.
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.
Northern =ust *Generated by Northern Trust from periodic data on 31 Jan XX
ab
c
d
12 of 18 | Derivatives Reporting | northerntrust.com
Derivative Reporting Account number ABC01
XX NOV XX ABC CORPORATION
Segmented Time Distribution Derivatives Summary Page X of XX
northerntrust.com | Derivatives Reporting | 13 of 18
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.
Northern =ust *Generated by Northern Trust from periodic data on 31 Jan XX
Derivative Reporting Account number ABC01
XX NOV XX ABC CORPORATION
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
acting as counterparty to the contract.
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.
Northern =ust *Generated by Northern Trust from periodic data on 31 Jan XX
14 of 18 | Derivatives Reporting | northerntrust.com
Derivative Reporting Account number ABC01
XX NOV XX ABC CORPORATION
Swaps Holding Detail Page X of XX
a b c
d
ie f g h
northerntrust.com | Derivatives Reporting | 15 of 18
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
acting as counterparty to the contract.
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.
Northern =ust *Generated by Northern Trust from periodic data on 31 Jan XX
Derivative Reporting Account number ABC01
XX NOV XX ABC CORPORATION
Swaps Summary Page X of XX
a b c
d
ie f g h
© 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.
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