When the capturing of your movie is complete, upon playing back your movie you will notice similar overlays applied to the cinematic. The Default Burn in applies the name of your Level Sequence across the Top Center followed by the current date. In the Bottom Left, the current Shot Name is applied (or Level Sequence name if no shots are used). The Bottom Center displays the time and frame count for the Master Sequence while the Bottom Right shows the current Shot Frame.
Each of these options can be changed to display your own text inside the Settings section of the Burn in Options. Additionally, you can apply Watermarks or make Font changes within the Default Burn In options.
If the default information is not enough for you, you can also take a look at Applying Custom Burn Ins to include your desired content.