Exposure Fields

There are a number of ways to measure exposure in the Northstar application.

Market Value

Market Value in the base currency. [Quantity] x [Multiplier] x [Price] x [FX Conversion].

Economic Exposure

Same as market value, except, instead of [Price], for Bonds and CDS use [Price] + [Accrued Interest].  more details here

Notional

Notional of positions in base currency. [Quantity] x ([Notional] or [Contract Size]) x [FX Conversion].

Delta Exposure

[Quantity] x [Delta] x [Underlying Price] x [FX Conversion]. Equals market value for non-options. more details here

Leverage Adjusted Delta Exposure

Adjusts the exposure for levered ETFs. $100 of a 3x levered ETF would have a leverage-adjusted exposure of $300.

FX Exposure

Used to measures net FX exposure. Most useful when grouped by Risk Currency. more details here

Convertible Bond Delta Exposure

Displays the delta-adjusted exposure of embedded options for convertible bond. more details here

In addition to these fields there are gross, and asset class specific fields for many of these exposures.

• Gross fields include: Gross Delta Exposure, Gross Market Value, Gross Economic Exposure.

• Asset class specific fields include: Market Value (No Fx), Market Value (Fx Only), Delta Exposure (No Fx), Delta Exposure (Fx Only), Gross Delta Exposure (No Fx), Gross Delta Exposure (Fx Only), Gross Market Value (No Fx), and more.

Gross values are calculated by summing the absolute values at the position level.

All fields are available as a percentage of AUM or in the base currency. There are also local currency versions of some fields (e.g. Market Value Local).