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.