05 Oct 2021

Open-Protocol-Manual-I-October-2021

Manual for OP reporting including digital assets and ESG updates

Open Protocol consists of the data templates (in Excel and XML) and a manual that contains more detailed definitions and explanations.

The template consists of 14 sections:

  • Section 1: Fund and Investor Details
  • Section 2 to 7: Asset Class Exposures – Equity, Sovereign and Interest Rates, Credit, Convertible Bonds, Currencies, Real Assets, and Commodities
  • Sections 8 to 10: Risk Measures – VaR, Sensitivity Analysis, and Stress Tests
  • Section 11: Counterparty Risk
  • Section 12: Other
  • Section 13: Digital Asset Exposure (New in 2021)
  • Section 14: ESG Module (New in 2021)

Levels of Granularity (Grades):

Asset managers can provide exposure information at different levels of granularity depending on their preference and comfort level. For example:

  • Grade 1: Exposure information broken down by pre-defined continents
  • Grade 2: Exposure information by regional developed or advancing economies
  • Grade 3: Exposure information by country

Allocators can allocate exposure information from multiple asset managers at least at Grade 1 level.

It is acknowledged that under certain circumstances managers may not feel comfortable providing all information at Grade 2 or Grade 3 level (for example for illiquid or proprietary positions). Managers can therefore choose to provide different levels of granularity in different sections of the template.