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The FAS 161 Average Volume report displays the detail, aggregated, and average volumes for derivatives, including the cost, value, and number of open positions and contracts.

To create the FAS 161 Average Volume report:

  1. In Accounting Center, in the left navigation pane, click Reports > Compliance Reports > Financial Statement > FAS 161 Average Volume Report.. 

    You see the FAS 161 Average Volume Report panel.
  2. Complete the options on the FAS 161 Average Volume Report panel.
  3. Under Result Options, click Grid or Advanced Report for the report view you want.
  4. Click Submit.
    The report results appear on your desktop for the view selected.

FAS 161 Average Volume Report Panel Options

A definition of the options on the FAS 161 Average Volume Report panel follows.

OptionDescription
Search Criteria
Entity ID

Specifies a portfolio, sector portfolio, composite portfolio, or Master Fund by the entity ID of the entity.

Entity NameSpecifies a portfolio, sector portfolio, composite portfolio, or Master Fund by name of the entity.
Accounting BasisSpecifies the accounting basis for the entity. For example, USTAX, GAAP, or IFRS.
Report Type

Specifies the type of date for controlling your report results. Options include:

  • Accounting Date (Default)
  • Month End Date
Report Period

Specifies the time period, date range, or particular date for your report. The time period may be entity specific or security specific, such as fiscal year. Options include:

  • Daily Activity

  • Date Range

  • Fiscal Year To Date (Default)

  • Month to Date

Report Start DateSpecifies the report date. Default is today's date. To use this option, you must select Price Level Transfer or Fair Value Level 3 Recon as your report name.
Report End DateSpecifies the ending date for your report results. The default is today's date.
Spots Volume Activity Reporting

Specifies the type of volume reporting assumed for your report results. Options include:

  • Separate Spot and Forward Specific Volume Activity
  • Merge Spot and Forward Specific Volume Activity (Default)
Selection Criteria
Report Filters

Allows you to show/hide additional report and security filters. The default is No.

Advanced Report OptionsAllows you to show/hide advanced report, group, sort, and format options. The default is No.

Security Group

Allows you to filter report results by security group. Options include:

  • Purchased Options
  • Written Options
  • Futures (Long)
  • Futures (Short)
  • Forwards (Purchased)
  • Forwards (Sold)
  • Interest Rate Swaps (Pays Fixed Rate)
  • Interest Rate Swaps (Receives Fixed Rate)
  • Other Interest Rate Swap

Detail Tab Selection

Allows you to select the FAS 161 details for your report results. Options include:

  • Fair Value of Derivative Instruments (Default is Yes).
  • The Effect of Derivative Instruments (Default is Yes).
Report Sorts

You can sort the report results. Options include:

  • Account/Sector (Sort 1 Required)
  • Security Group (Sort 2 Required)
  • Calendar date (Sort 3 Default)
  • No labels