G L O B A L S E C U R I T I E S L E N D I N G

Transcription

1 GLOBAL SECURITIES LENDING Report Guide

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3 G L O B A L S E C U R I T I E S L E N D I N G R E P O R T G U I D E Northern Trust s Global Securities Lending package offers a comprehensive suite of reports designed specifically to provide clients with detailed information on their securities lending program. The sample reports included with this guide demonstrate the functionality of Northern Trust s reporting capabilities and provide clarification of each data element. Global Securities Lending Reports via the Northern Trust Passport online reporting platform deliver: Program Level Detail: reports that allow clients to monitor collateralization levels, borrower utilization, collateral pool holdings and monthly performance. lient Level Detail: reports detailing securities on loan, borrower exposure and monthly performance. Online Passport reports can be found in folders with the SL or Global Securities Lending designation in the Northern Trust Report Library.

4 C O N T E N T S SECURITIES LENDING PASSPORT BLOCK I-II BORROWER LIST BORROWER UTILIZATION SUMMARY BY BORROWER CLIENT RESTRICTIONS HISTORICAL GRAPH (NET EARNINGS) SECURITIES LOANED DETAIL PERFORMANCE SCORECARD ACCOUNT PERFORMANCE PERFORMANCE SCORECARD CLIENT PERFORMANCE SCORECARD LENDING AND INVESTMENT EARNINGS BREAKDOWN PERFORMANCE SCORECARD SECURIT Y LEVEL DETAIL CASH COLLATERAL CHARACTERISTICS ISSUER AND COUNTERPART Y SUMMARY CASH COLLATERAL HOLDINGS COLLATERAL AND EARNINGS SUMMARY COLLATERAL CHARACTERISTICS CD- ROM REPORTS EARNINGS STATEMENT SUMMARY EARNINGS STATEMENT DETAIL COLLATERALIZATION PROCESS EASY ANSWER PERFORMANCE SCORECARD LIST N O R T H E R N T R U S T

5 S E C U R I T I E S L E N D I N G P A S S P O R T B L O C K The block provides easy access to your securities lending program information 1 2 Section 1 This commentary section highlights our Securities Lending Market Intelligence newsletter along with additional resources for navigating the current financial landscape. Section 2 Client-specific information includes metrics such as market value on loan, net earnings, average securities available for loan and borrower collateralization rate. All green links can be clicked on to drill down into specific data. 3 4 Section 3 Collateral section-specific information includes market values of the section, amortized cost, market-tobook, percent ownership of the section and a link to the investment guidelines. Clients can view multiple pools information if they belong to more than one. All green links can be clicked on to drill down to the specific data. Section 4 Additional information pertaining to the collateral section can be seen by clicking on the pie chart and/or graph, which provide sector allocation and a maturity breakdown for the collateral investments. N O R T H E R N T R U S T I

6 S E C U R I T I E S L E N D I N G P A S S P O R T B L O C K A The above tabs provide additional transparency and reporting breakdowns. Clients have the capability to drill into the details by clicking on the available drop down lists. A The Loans tab consists of the Securities Loaned Detail report, All Borrower Collateralization and a Historical Loan Volume report. The Securities Loaned Detail report provides two views of the client loans, by security and by borrower. The All Borrower Collateralization displays the borrower allocation at a program and client level, breaking out U.S. and international loans. The Historical Loan Volume report displays a customizable line graph allowing clients to view loans for the previous three fiscal years by quarter, fiscal year to date or for the previous 12 months broken out by security, asset class or account. The Earnings tab includes a Detail Earnings report and a Client Earnings report. The Detail report has three views: by top earners, asset class and account. The Client Earnings report is a customizable bar graph allowing clients to view net or gross earnings for the previous three fiscal years by quarter, fiscal year to date or the previous 12 months broken out by security, asset class or account. The Collateral tab provides clients with vital information on their pool. This includes information such as holdings, which can be viewed by cash versus noncash, as well as by sector and security. This tab has the Issuer & Counterparty Summary, providing clients with a list of the issuers for all the holdings in a specific pool. There is a section for the market-to-book value of the pool in numerical and graphical view, as well as a Characteristics report, providing clients with various characteristics of the assets/ securities in the pool broken down by maturity and quality. This tab also provides an Asset Allocation breakdown by Industry/Sector and Asset type and a link to the collateral pool Guidelines. The Payables tab displays payable information, if any, by security and by account. I I N O R T H E R N T R U S T

7 B O R R O W E R L I S T A G ***Generated on 27 Oct XX This report displays a list of approved borrowers in the securities lending program. A Borrower Name is the name of the borrower Parent Borrower Name is the associated parent company of the borrower Country is the country in which the borrower is incorporated G Previous Borrower Name is the previous name of the borrower, if any Date of Change is the date that the borrower s name changed Previous Parent Borrower Name is the previous name of parent borrower, if any Date of Change is the date that the parent borrower s name changed N O R T H E R N T R U S T 1

8 B O R R O W E R U T I L I Z A T I O N S U M M A R Y B Y B O R R O W E R A ***Generated on 8 Oct XX This client-specific report provides previous business-day, month-end and loan-level information with respect to individual borrowers. The market value of each borrower s outstanding loan is shown in total and is broken out between U.S. and international activity. Clients can identify the size of their exposure to any borrower and their percentage of total loans to that entity. Collateralization for each borrower is listed for U.S. and international loans because collateral levels differ based on the type of collateral received for each loan. A Borrower participating in the program Market Value of outstanding loans to each borrower Collateral % is collateral coverage for each borrower s outstanding loan Total Market Value is the sum of U.S. and international loans outstanding Percent of Total is the percentage of all loan activity to each borrower Report Totals for all market values of outstanding loans and total collateralization level for U.S. and international loans See page 20 for the collateralization process. 2 N O R T H E R N T R U S T

9 C L I E N T R E S T R I C T I O N S A G H I *Generated on 18 Jun XX This client-specific report lists current restrictions on securities lending activity. The report can be run for Borrower, Limit, Security or all client restrictions. A Restriction Level indicates whether the given restriction applies to individual account numbers or all accounts. Restriction Detail provides information related to the restriction. For limit restrictions, the hard dollar limit or the percent of market value will display. For borrower restrictions, the name of the country or individual borrower will be displayed. G H I Cusip of the restricted security Sedol of the restricted security Cusip or sedol description of the restricted security Security Type is the asset class that is restricted Country is the country of incorporation of the restricted asset Start Date is the date the restriction was implemented End Date is the date a restriction will expire N O R T H E R N T R U S T 3

10 H I S T O R I C A L G R A P H ( N E T E A R N I N G S ) A G H *Generated on 8 Oct XX This client-specific report will display multiple securities lending statistics and earnings information for multiple calendar years. The user can determine the number of years reported. This report also will graph (see following page) the user s choice of average on loan, average available, gross earnings or net earnings. A Security Type of assets being lent Average market value of client s securities On Loan Average market value of client s securities Available for securities lending activity Average Percentage of securities On Loan (B divided by C) Gross Earnings from securities loans Average On Loan Spread from securities loans G H Gross Basis Point Return is calculated by multiplying Percentage On Loan (D) by the On Loan Spread (F) Net client Earnings (net of bank fee) from securities loans 4 N O R T H E R N T R U S T

11 *Generated on 8 Oct XX N O R T H E R N T R U S T 5

12 - S E C U R I T I E S L O A N E D D E T A I L A G ***Generated on 18 Jun XX This client-specific report, which is organized by account, provides a listing of all securities on loan. A G CUSIP/SEDOL of the security on loan Description of the security on loan Borrower or legal entity to which the security has been lent Country of issue for the security Shares/Carrying Value of the security on loan Market Value of the security on Loan Percent of Total details each loan s percentage of the account s total outstanding loans 6 N O R T H E R N T R U S T

13 P E R F O R M A N C E S C O R E C A R D A C C O U N T P E R F O R M A N C E A G H I ***Generated on 7 Oct XX This client-specific performance report provides securities lending performance statistics and earnings information by account. A Client Account Number Client Account Name Average market value of client s securities On Loan Average market value of client s securities Available for loan Average Percentage of client s securities On Loan G H I Gross Earnings from securities loans Average On Loan Spread from securities loans Gross Basis Point Return is calculated by multiplying Percentage On Loan (D) by the On Loan Spread (F) Net client Earnings (net of bank fee) from securities loans N O R T H E R N T R U S T 7

14 P E R F O R M A N C E S C O R E C A R D CLIENT (D A T E R A N G E C O M P A R I S O N ) A G H *Generated on 18 Jun XX This client-specific report compares securities lending performance statistics and earnings information at one user-defined time period to another, such as a year-to-year comparison. A Security Type of assets being lent Average market value of client s securities On Loan Average market value of client s securities Available for loan G H Gross Earnings from securities loans Average On Loan Spread from securities loans Gross Basis Point Return is calculated by multiplying Percentage On Loan (D) by the On Loan Spread (F) Net client Earnings (net of bank fee) from securities loans Average Percentage of client s securities On Loan (B divided by C) 8 N O R T H E R N T R U S T

15 P E R F O R M A N C E S C O R E C A R D L E N D I N G A N D I N V E S T M E N T E A R N I N G S B R E A K D O W N A G H I J K L M N ***Generated on 28 Oct XX This client-specific report provides securities lending performance statistics and earnings information by security type. Both earnings and spread are broken out by lending, the intrinsic demand of each security by borrowers, and investment, the revenue generated by reinvesting cash taken as collateral. When cash is taken as collateral, a relevant market benchmark is used for applicable loans, such as the federal funds open rate for U.S. dollar, EONIA for Euros, and the Canadian Overnight Benchmark Rate for the Canadian dollar. Clients have the option of running the report to include country detail, which will break out the global categories into country of incorporation. A Security Type of assets being lent Average market value of client s securities on Loan Average market value of client s securities Available for securities lending activity Average Percentage of securities on Loan Gross Earnings from securities loans broken out by: Lending (intrinsic demand) Investment (generated by taking cash as collateral) G Total Average on loan Spread from securities loans broken out by: H Lending (intrinsic demand) I Investment (generated by taking cash as collateral) J Overall K Gross Basis Point Return is calculated by multiplying Percentage On Loan (D) by the On Loan Spread Net Earnings from securities loans broken out by: L Lending (intrinsic demand) M Investment (generated by taking cash as collateral) N Total N O R T H E R N T R U S T 9

16 P E R F O R M A N C E S C O R E C A R D S E C U R I T Y L E V E L D E T A I L A G ***Generated on 8 Oct XX 1 0 N O R T H E R N T R U S T

17 This report allows clients to rank their top 10, 15, 20, 25 or 50 securities based on any of the following categories: highest or lowest rebate rate, bank fees, gross income or net income. Clients can run this report for a specific account or for their entire program for any given time period, such as a year-to-year comparison. A G Name of security on loan CUSIP/SEDOL is the unique identifier assigned to each security Net client Earnings (net of bank fee) from securities loans The Percentage of Total Net Earnings that a security is out of the total net earnings Market Value of security out On Loan Average Percent Utilization is the average percent of that security on loan at that time Average Spread of client s securities on loan N O R T H E R N T R U S T 1 1

18 C A S H C O L L A T E R A L C H A R A C T E R I S T I C S I S S U E R A N D C O U N T E R P A R T Y S U M M A R Y A ***Generated on 7 Oct XX This report shows combined credit exposure to issuers and counterparties in the portfolio. A Rollup Issuer Ticker Rollup Issuer Description } are Northern Trust s internal classifications that roll up groups of securities with related credit exposure Par Amount is the amount the issuing company is expected to pay at maturity Percent of Portfolio based on par value Longest Maturity Date is the security that has a maturity date with the most number of days between report date and maturity date Weighted Average Maturity is the maturity in days of each security multiplied by that security s pro rata share of the portfolio 1 2 N O R T H E R N T R U S T

19 C A S H C O L L A T E R A L H O L D I N G S A D B G H I J K ***Generated on 21 Oct XX This report provides security level detail for all investments purchased with cash collateral within the client s collateral option. A Description/Asset is the name of the asset Issuer is the entity that offered the security for sale Moody s and S&P Rating is the rating provided by the listed agency Shares/Par is the amount of shares held of the security G H I Amortized Cost is the amount paid for the assets adjusted for any amortization or accretion Maturity Date is the shorter of put, weighted average life or legal final maturity date Legal Final Maturity Date of the asset is when investors must receive the payment of the principal Market Price/Book Price of the asset as of the report date Market Value of assets in the selected Collateral option J K Yield of the asset as of the report date Days to Reset/Maturity is the maturity in days for that security N O R T H E R N T R U S T 1 3

20 S E C U R I T I E S L E N D I N G C O L L A T E R A L & E A R N I N G S S U M M A R Y A ***Generated on 7 Oct XX This client-specific report displays both collateral and earnings information. Collateral market values and loan volumes are separated by cash and non-cash collateral. The values are date specific and determined by the end date used to run the report. Client earnings information is broken down to show gross earnings, rebate paid, commissions, bank fee and net income to client. The earnings are listed on an earned and actual posted basis depending on the chosen time period for the report. This report can be run at a summary level, which will consolidate account information, or at a detail level, which will provide a separate report for each account. A Security Type of asset being lent Market Value of Loaned Securities Collateralized by Cash Collateral for the end date used to run the report Cash Collateral Received from Borrowers for the cash loans for the end date used to run the report Market Value of Loaned Securities Collateralized by Non-Cash Collateral for the end date used to run the report Market Value of Non-Cash Collateral for the non-cash trades for the end date used to run the report 1 4 N O R T H E R N T R U S T

21 C O L L A T E R A L C H A R A C T E R I S T I C S A This collateral option specific report provides characteristic details for the pool in which a client participates such as book value, average quality rating, maturity breakdown and cash collateral asset class breakdown. A Quality Distribution is a breakdown of the average equivalent rating assigned to each cash collateral holding based upon the S&P equivalent Maturity Breakdown Interest Reset is the percentage of assets in the portfolio that have a reset date, as measured to the shorter of the reset of maturity date Maturity Breakdown Maturity Date is the percentage of assets in the portfolio that are expected to mature in that timeframe Industry Sector Distribution is the industry or sector in which a security is classified continued on the next page N O R T H E R N T R U S T 1 5

22 C O L L A T E R A L C H A R A C T E R I S T I C S ( C O N T I N U E D ) ***Generated on 28 Oct XX 1 6 N O R T H E R N T R U S T

23 E A R N I N G S S T A T E M E N T S U M M A R Y A A B C D G H ***Generated on 24 Jul XX Mailed monthly and also available on Management Reporting, this report provides a snapshot of securities lending earnings by account. In addition, earnings from U.S. securities are categorized as either Corporate or Government. Earnings from non-u.s. loaned securities are categorized as either Equity or Fixed. The Management Reporting version of this report allows the user to view in both local and base currency. A Client s Account Number Client s Account Name Gross Earnings equals the account s total securities lending earnings before rebate and fees are applied Total Rebates paid to the borrower for loans collateralized by cash Commissions taken from gross earnings paid to a fully disclosed intermediary for bringing together the borrower and Northern Trust in creating a loan G H Client Earnings equals gross earnings minus the rebate and commission fees Bank Fee is Northern Trust s fee for providing the securities lending service Net Income equals total earnings minus the bank fee N O R T H E R N T R U S T 1 7

24 E A R N I N G S S T A T E M E N T D E T A I L Report Statement Title 1 DEC XX 31 DEC XX ( REPORT STATEMENT DATE) REPORT ACCOUNT NAME A G H I J K L xx xx xx M N O P Mailed monthly, this report identifies every security on loan during the month. This report provides the detail that is represented in the Earnings Statement Summary report. The billing date is the date that client statements are run. The billing period represents the time that securities were loaned in order to generate the reported earnings. 1 8 N O R T H E R N T R U S T

25 A Security ID is the unique identifier assigned to each security; Open Date is the date the loan was assigned RATEADJ Adjustment to the rebate rate or premium rate I Num Days is the number of days the loan earned the indicated average money market rate Name and interest rate of the Security placed on loan Description of the security placed on is collateralized by letters of credit or loan including interest rate and maturity BOOKED B C government securities D date for fixed income securities New securities loan Quantity is the original carrying RETURN K Bank Fee is Northern Trust s fee for providing the securities lending service value in shares or par value of the Remaining balance after a partial loan; Balance is the remaining return L Average Money Market Rate the carrying value of a partial return invested cash collateral is earning Loan Event is the descriptions of the activity affecting the loan Activity is coded as follows: EARNRATE Investment rate change PRICEADJ Adjustment in the price at which the loan was made, usually due to a mark-to-market QUANTADJ Adjustment to the quantity on loan, usually due to a stock split or stock dividend G CARRY Carry forward from the previous month Price of the loan on specified date including collateral and accrued interest if applicable for cash loans. Price for non-cash loans equal market price on specified date and accrued interest if applicable From-Thru are the dates for which the Last Move activity is applicable. Two asterisks in this column indicate that the loan was Closed on the given date H Balance on Loan is D multiplied by F; all loan earnings calculations are made using this value. The value is also known as the contract amount, or the amount of collateral allocated for the loan. J M N O P REB is the rebate rate paid to the broker if the loan is collateralized by cash; PRM is the premium rate if the loan Total Earnings equal securities lending earnings before fees are paid Less Rebates is the fee paid to the borrower Less Fees is Northern Trust s fee for providing the securities lending service Net Income equals the total earnings minus the rebate rate and the bank fee N O R T H E R N T R U S T 1 9

26 C O L L A T E R A L I Z A T I O N P R O C E S S Each day we compare the value of securities on loan and collateral to both market and currency values. As the value falls below de minimis levels, loans are marked-tomarket and additional collateral is requested from the borrower to meet the required maintenance margins. To trigger a mark-to-market, the level of collateralization, based on the collateral type, must fall to the following percentages (collateral maintenance margins): U.S. government/agencies 101.5% U.S. equity/corporate fixed income 102.0% International fixed income Matched Currency 101.5% Cross Currency 104.5% International equity 104.5% On a given day, a significant increase in the borrowed securities market value may cause a temporary drop in the collateralization reported. This is a result of using the previous business day s closing prices to mark-to-market in the morning and reflecting the total collateral and the market value of the securities out on loan at the end of the day in the report. The drop in collateral reported is corrected when the loans are marked the next morning. Information is provided at the program level. This is particularly useful for U.S. borrowers who have the right of cross default, which allows collateral received to be spread equitably among the borrower s outstanding loans. E A S Y A N S W E R Please note that select securities lending data is now available within Easy Answer. This reporting application is located in the My Information block of the Passport web page. This application provides users with frequently asked questions related to earnings, collateralization and market value of securities available/on loan. After the user chooses a question, Easy Answer will automatically access the report, which will answer the question with user-defined criteria such as account/consolidation and date(s). P E R F O R M A N C E S C O R E C A R D L I S T Below is a list of all of the Performance Scorecards that may be run. Performance Scorecard Account Earnings Performance Scorecard Account Performance Performance Scorecard Client Performance Scorecard Client vs. Pool Performance Scorecard Client vs. Program Performance Scorecard Date Range Comparison Performance Scorecard by Region Client Performance Scorecard by Quotation Client Performance Scorecard Security Level Detail Performance Scorecard Lending & Investment Breakdown 2 0 N O R T H E R N T R U S T

27 If you have any questions regarding this guide, or would like more information about securities lending, please contact your Northern Trust Representative. 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 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 2010.

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