Yes, please fill in the relevant information for the preceding grades also. If a manager is reporting at Grade 3 then they should fill information at Grade 1 and 2 as well. Grades 2 and 3 are not an exhaustive list of constituents of the previous grade and thus to avoid any confusion managers should fill in all grades.

Managers have the ability to pick and choose the level of granularity that they are comfortable providing for different sections of the report. For example, managers could provide Equity sector information at Grade 1 but provide Equity region exposure at Grade 3.

The main body of the Manual contains methodology to calculate exposure information for various instruments, for example GP 15 to 17. The methodology in the main document should always take precedence over Appendix I. For example, GP 16 suggests that “All sovereign interest exposure (Section 3) should be reported as US 10 year swap equivalent basis” while Appendix I suggests that “Bond Future: N * NCS * market price of the CTD reference bond”. So, for Sovereign bonds, use the methodology prescribed in the main body, i.e. report exposure on US 10 year swap equivalent basis” and for non Sovereign bonds use the methodology in Appendix I.

For some strategies, for example distressed debt, VaR would not be a good measure of risk. Therefore to accommodate for such strategies Open Protocol has provided a way which allows managers to avoid filling in the relevant section but still ensure that the entire report is completed at Grade1. Under sections 8, 9 and 10, which deal with portfolio level risk measures, managers could avoid completing them by stating that 0% of the long & short exposure (8.8, 9.9 etc) is included in the calculation. This way the manager would have filled in the report at Grade 1 without actually filling the portfolio risk measures. This exemption is available for these three sections only; all other sections should be completely filled in.

Generally you only have to include the tags for which there are any values. There are only a few tags that are mandatory (e.g. fund name and so on).

All exposure, AUM and performance information should be at the fund level. Under certain circumstances if the fund has multiple share classes (e.g. Onshore/Offshore share class), with similar exposures, then the manager can choose to provide information at a share class level. If performance (section 1.6) is reported at share class level, then the manager should make a note of the share class information on the ‘Fund and Investor Details’ tab (section 1.5) and ensure that the most representative (e.g. largest AUM) share class is selected.

These securities should be included in the Sovereign and Interest Rates Exposure section.

On the exposure tabs, the classification of derivative instruments (by sector, region, maturity, market cap, credit rating, yield, etc) should be based on the underlying security. The only exceptions are the Instrument and Liquidity sections which should be based on the instrument (2.6, 2.8, 3.7, 4.7, 4.12, 5.6, 5.11, 6.6, 7.6, 7.10). Example 1: Equity options should be classified based on the underlying security in sections 2.4, 2.5 and 2.7, and based on the instrument type in sections 2.6 and 2.8. Example 2: Sovereign bond futures should be classified based on the underlying security in sections 3.4, 3.5 and 3.6. Note that this includes section 3.5 Instruments by Maturity; here the maturity should be the maturity of the underlying bond. Section 3.7 should be based on the instrument type.

The sector breakdown in the August 2016 OP template is based upon GICS, with the additions of Conglomerates, Broad Market Indices and Other. These are for multi-industry companies, multi-sector indices and any other equity exposures that do not fit in one of the 11 default sectors.

No. The Open Protocol template was updated in August 2016 to reflect the changes made to GICS between the OP template launch in 2011 and August 2016, motivated by the significant addition of Real Estate as an 11th sector. However, the OP template will not be updated every time GICS is updated, because this would require everyone currently producing or using the reports to implement system changes.

Open Protocol required various types of values to be entered and the following is a rough guide: a.) All % values: should be reported with a percentage sign or as a decimal (max 3). For example, 9.355% holding should be reported as 9.4% or 0.094 but not 9.4. b) Numerical cells: text should not be entered in a numerical cell, i.e. do not put dashes or ‘n/a’ in any cells. If a cell is not applicable just leave it blank. c) All AUM numbers: should be reported to the nearest integer. Report the actual amount and do not use any text like “m” or “million” in these fields. d) In sections 2 to 7, “Total Exposure to ….”: Total long and short dollar exposure for each relevant asset class should be reported at the top of the template in sections 2.1, 3.1, 4.1, 5.1, 6.1 and 7.1. e) Section 4.8 Price Yield and Spread

• 4.8.1.1 & 4.8.1.2, metrics for performing debt: should be reported as a percentage or decimal. For example 11.8% or 0.118.
• 4.8.1.3 metrics for performing debt (CDS current spread): should be reported in terms of basis points 210 and NOT 2.10%
• 4.8.2.1, Average $ price (cents per $): Should be reported as cents, for example a $100 bond trading at $40 should be entered as 40.

f) Section 4.10.1, Portfolio Average Maturity: Should be reported as number of years, for example 5.1. Do not add “years” or other text at the end. g) Section 5.7, Derivative specific information

• 5.7.1 to 5.7.4: should be reported as a percentage or decimal. For example 10% or 0.10.
• 5.7.5: Average Portfolio Bond Market Price: should be reported as a dollar amount. Par value should be assumed to $100. For example a $1000 bond trading at $1128 should be reported as 112.8. Note: information at Grade 2 under 5.7.5 should be reported as percentage of AUM.
• 5.7.6: Average Portfolio Delta: should be reported as a percentage or decimal. For example 80% or 0.80.
• 5.7.7: Premium over Parity: should be reported as a percentage or decimal. For example 10% or 0.10.

h) In sections 8 to 11, for “% Long/Short exposure included in calculation”: Values should be reported as a percentage of total AUM and not as a percentage of total long / short exposure.

Side pockets should be included under the following sections only:

• 1.2 Total Firm Assets under Management
• 1.3 Total Fund Assets under Management
• 1.7 Investor Break Down
• 1.8 Investor Liquidity

Please do not include Side Pocket information for the following sections

• 1.6 Performance
• 2 to 7 Asset Class Exposures
• 8 to 10 Portfolio Level Risk Measures
• 11 Counterparty

The main objective of the Open Protocol is to ensure investors get consistent information across all their investments, and therefore managers are not permitted to change the methodology or the reporting template. Managers can however use the “Comments” section, which can be found at the bottom of each page, to convey their opinions to the reader. Enter the cell number that the comment is referring to under the “Number” column and then enter the “Comment” section. If the comment is general and not to a specific cell in the template then leave “Numbers” section blank.

Yes, since the manager is reporting on a quarterly basis all subscriptionsfrom the previous report should be included.

This section is applicable only if a manager chooses to report performance (section 1.6) at the share class level rather than the fund level. The reporting share class should be most representative share class if the fund has multiple share classes. If this section is filled in then performance will be assumed to be at the RSC level.

Performance should be reported both Net and Gross. MTD (Month to Date), QTD (Quarter to Date) and YTD (Year to Date) performance should be reported on a non annualised basis under section 1.6. ITD (Inception to Date) performance should be reported on an annualised basis.

QTD performance is the cumulative performance to date since the latest quarter end NOT rolling 3month return. Similarly, YTD performance is the cumulative performance since the latest 31st December. ITD performance must be annualised unless the fund is less than 12 months old.

Yes. GP/Manager investment should also be included under Individuals.

Managers should be looking to align their investor reporting with their regulator reporting, within the Open Protocol guidelines.

For Banks, Private Banks, insurance companies and other financial institutions this would be classified based on the underlying source if possible (e.g. to HNW individuals if applicable). For Fund of Funds this should be classified as Intermediaries.

Please report this section in the same manner as you would Form PF, Question 50 (http://www.sec.gov/divisions/investment/pfrd/pfrdfaq.shtml). Please report this section assuming that 100% of the investor base has requested liquidity. For each reporting date, this section should be filled in taking into account all relevant lock-ups, upcoming notice and redemptions dates, gates, etc. “Without Penalty” column should be completed cumulatively such that “More than 36 Months” + “Side Pockets” equals 100%. “With Penalty” column should only show what additional amount can be redeemed with Penalty in each cumulative period. Therefore, the sum of the two numbers across each row should not exceed 100%. The split between “with penalty” and “without penalty” should be proportional to the split between the investor base off lockup (“without penalty”) and investor base under soft lockup (“with penalty”). For example, assume the following:

• – 35% of investors are locked up, 50% are off lockup, and 15% are under soft lockup.
• – 20% gate applies.

The 20% gate should be split as follows:

• – Without penalty: 20% * (50% / (50%+15%)) = 15.4%
• – With penalty: 20 *( 15% / (50% + 15%)) = 4.6%

They should be included in less than or equal to 3 months because the assets are at risk.

Generally, funds can report Unencumbered Cash as defined for Form PF: “The fund’s plus the value of overnight repos used for liquidity management where the assets purchased are U.S. treasury securities or agency securities minus the sum of the following (without duplication): (i) cash and cash equivalents transferred to a collateral taker pursuant to a title transfer arrangement; and (ii) cash and cash equivalents subject to a security interest, lien or other encumbrance (this could include cash and cash equivalents in an account subject to a control agreement).” In general we expect Unencumbered Cash to include only cash, risk free government bonds and money market funds that are in the same currency as the fund. Any cash or cash equivalents that are not in the base currency of the fund must be reported in section 3, sovereign and interest rate exposure, and section 6, currency.

Report cash under Unencumbered cash (1.9.1) under 6.5 and 6.6 please only report actual currency positions that are not in the base currency (USD)

Yes.

If these are risk free securities issued by the government of the currency of the fund, this can be reported under Unencumbered Cash. Otherwise due to market risk, these investments must be reported on the appropriate asset class tabs (i.e. credit and sovereign interest rate tabs) and should not be reported under Unencumbered Cash).

Any investment in funds where the manager has “no control” over the investment decisions of, should be treated as external. If you are reporting for a fund which invests in other funds within the same company where the manager has control over its investments, then these funds should not be treated as external investments and their exposure and position information of should be included in the appropriate exposure tabs. Investments in money market funds should be reported under 1.10.1 and 1.9 (if unencumbered) and investments in any other funds should be reported under 1.10.2.

Investments in money market funds in the base currency of the fund (if unencumbered) would be reported under both 1.9 and 1.10.1.

The number of positions in sections 2.4 to 2.8 means number of instruments. Regarding each table in the report, the positions should generally inherit the netting rules found in the manual for exposure. So if an exposure is allowed to be netted (e.g. sharing the same counterparty) then the positions will be netted, as well. Regarding the aggregate number in cells J8 and K8, then the best practice would be to use number of issuers as this gives the reader a better sense of diversification.

Baskets should be broken down into individual stocks in order to accurately reflect the sector and region exposures in the portfolio. This may appear to inflate your total number of positions in sections 2.4 and 2.5 however in the Instrument and Market Cap tables you can report each basket as one position under “Indices and Baskets” It would also be acceptable to report baskets in the “Equity (Single Stock)” line in section 2.6 to distinguish them from listed indices, but in 2.7 they should be bundled under “Indices and Baskets”.

Index exposure should be broken down into sectors, regions and market cap, where possible. An approximate breakdown is acceptable. In sections 2.6 and 2.7 index exposure would be reported under “Indices and Baskets”.

Since the Open Protocol template does not treat volatility as a separate asset class, VIX positions should be captured in the Equity Exposure tab. For consistency, they should be expressed as a combination of options on the SP500 which would be captured under the Equity Indices – Options exposure row. For example, a long VIX future position can be expressed as long calls and long puts and then the delta adjusted exposure of the latter would be reported in OP. Alternatively, if the above treatment is not possible, the position could be captured as long or short index future exposure, depending on whether it is a bearish or bullish view on the SP500. For example, long VIX is a hedge against falling equities hence it would be captured as short exposure in OP.

It should be under the Materials sector and if the break down is known, use that to fill in lower grades. However, if the breakdown is not known then 2.4.1 should be filled in. This would be an example of where the lower grades will not sum to the higher grade but that is expected. Note that the same logic should apply to mapping the indices on the region table.

PIPE stands for Private Investment in Public Equity. Please report Market value if possible.

Private exposure should be classified under the relevant bucket based on the company valuation. This should refer to section 2.7.

CFDs should be classified as non exchange traded in section 2.8. To explicitly show how much exposure is in CFDs, the grade 2 information in section 2.6 can be completed. You can also add a comment at the bottom of the report to provide further clarification.

These should be classified as privates and continue to be reported as such for as long as these remain restricted for selling even after the company goes public.

We suggest managers to use the DV01 of a theoretical contract on Bloomberg (USSW10 Currency).

Sovereign CDS should be reported in the Sovereign and Interest Rare Exposure section. The exposure information should be the same as other CDS, ie. underlying bond equivalent , but the bonds’ exposure should be converted to 10 year US Swap equivalent.

Yes, it is fine to use market value for defaulted sovereign debt, with a note in the comments section.

The basic idea here is to calculate the interest rate exposure in terms of 10 year swaps by using DV01 as the relationship.

• Step 1: Calculate present value of all the bonds in the portfolio
• Step 2: for non USD bonds, convert to USD.
• Step 3: Calculate DV01 for all the bonds in the portfolio and the reference 10 year Swap
• Step 4: For each bond in the portfolio calculate the ratio of its DV01 to DV01 of 10 year swap (so bonds with DV01 lower than 10 year swap will have ratio less than 1 and those with higher DV01 will have a multiplier greater than 1)
• Step 5: Multiply ratio in step 4 with present value in step 2 to arrive at the final exposures.

If the positions are similar and with the same counterparty then you could net them.

The Euro has been introduced under the Sovereign and Interest Rate Exposure section to enable reporting of exposure for Euro denominated investments (which wouldn’t be available for other asset classes).

These should appear under Fixed Income Futures – Options (Delta Adjusted), as caps and floors are written on synthetics and not the physicals.

Cash Note – Fixed Rate.

The appendix should only be used if the main body of the report does not cover the area. So in this case any other similar case please refer to the main body, ie GP 16.

The rating of the issuer should be used (and if not available the rating of the issuer’s region). We would expect all Eurodollar instruments to be captured as Investment Grade.

USD IRS would appear under Investment Grade.

The rating for the underlying country should be used. If there is no underlying country (e.g. Euribor) then the rating of the issuer should be used.

Exposures on the Sovereign and Interest Rates tab may be netted per the clearing house rules. The objective of not allowing netting risk is to see what would happen if one of the counterparties defaults. In this case since the trades are collapsed there is no risk left on the table and therefore this should be reported on a netted basis.

Look at the credit rating of the respective countries.

Market value of the bond should include accrued interest as that influences your market exposure.

Every CDS on a single entity has an underlying representative/deliverable bond, which should be used for valuing the CDS. If the identifying the underlying bond is difficult (i.e. for an index) then as per GP 17 you can use notional value. Open Protocol always looks at the underlying asset. If an increase in value of the underlying asset leads to a positive return then the manager is long, if it leads to a negative return then the manager is short. Therefore a long CDS position is effectively a short bond exposure.

Bond equivalent simply means the market value of the bonds, so for example, for a corporate bond you would (Market value*Number of bonds)/(Total AUM).

No, the 10 year equivalent conversion is only valid for securities which do not carry any direct corporate credit risk. The 10 year equivalent should be used for all securities reported on the Sovereign and Interest Rate tab, and not for securities reported on the Credit (ex Convertible Bonds) tab.

• 4.4 Sector:
  Based on the underlying loans:
  If the underlying loans are concentrated to a specific sector (more than 75%): Report the whole exposure under the relevant sector. Otherwise, report the whole exposure under Other.
• 4.5 Region:
  Based on the underlying loans:
  If the underlying loans concentrated to a specific region (more than 75%): Report the whole exposure under the relevant geographical region. Otherwise, report the whole exposure under Other.
• 4.6 Credit Type:
  Funds are encouraged to complete this at grade 2 thus providing greater transparency on the underlying assets of the pooled products they are invested in.
• 4.7 Credit Instrument:
  At grade 1, structured products will fall under CDO. Funds are encouraged to complete this at grade 3, thus providing greater transparency on the type and seniority of the pooled products they are invested in.
• 4.8: Price Yield and Spread:
  Reporting should be based on the tranches. A tranche should be considered performing if there are cashflows.
• 4.9 Credit Rating:
  Based on the rating of the tranche.
• 4.10 Maturity Buckets:
  Based on the duration of the tranche.
• 4.11 Concentration of Ownership:
  Based on the tranche.
• 4.12 Instrument Liquidity:
  Based on the tranche.

In this case fill in the “Other” section as the sector information is not available. Fill in conglomerates where you cannot classify into any single sector.

CDS on non single sector indices will come under Broad Market Indices, single sector indices would come under the relevant sector.

The group depends on the nature of the underliers. These can be seen at grade II. Typically CDS indices fall under the Corporate Debt (Indices / Pooled products) category.

The classification depends on the underlying risk. For example, if the debt is backed by corporate revenues, it would fall under Corporate Credit (regardless of whether the company is state-owned), if the debt is backed by local government taxation, it would fall under Municipal Bonds, and if the debt is backed by mortgages it should be Mortgages. If the debt is issued by a government or supranational body, it would fall under the Sovereign tab.

At grade 1, this is just a breakdown of exposure to instruments that are performing and non performing. As in the other sections, the exposures should sum to the total long and short exposures for that asset class. At grade 2/3 the template asks for different metrics relating to price, yield & spread.

The denominator used to calculate these metrics should be the gross exposure to credit. Similarly to section 5.7 for Convertibles.

Non-Performing Debt would include defaulted as well as delayed payments, i.e. where cashflows are uncertain. It would not include derivatives like CDS.

This should be captured as Performing, unless there has been a default event. In table 4.9 the rating of the CDX Index should either be investment Grade or Non Investment Grade depending on the index specifications, rather than ‘not rated’.

The Open Protocol is asking for the weighted average discount at which non performing bonds, i.e. bonds where scheduled interest payments have not been made or where the scheduled interest payments are uncertain, are trading. If you hold a $100 bond trading at $40 then you report 40.

‘Not rated’ should include instruments that do not have a rating. ‘Other’ should be used for indices where rating composition data is not possible to retrieve, for example Credit Index.

The Open Protocol is looking for legal maturity, to ensure objective reporting. Expected maturity would make the reply subjective as different managers could have different expectations for the same security.

Weights are calculated as (market value)/(total AUM). Portfolio Average Maturity should be reported in years, e.g.18 months would be “1.5”.

For convertible bonds please report market value as opposed to delta notional.

These should not be netted. If you would like to clarify, you could put a note in the Comments section on each tab, but investors are generally aware that these exposures would offset each other.

In the Average Portfolio Delta computation, delta is defined as a ratio (known as the hedge ratio) between the change in convertible bond price and the change in the underlying equity price, (Change in CB price due to small change in equity price)/(small change in equity price) To arrive at the average, the hedge ratio needs to be computed for each bond and then weighted using the bond market value. Average Portfolio Delta would typically lie in the region of 35% to 80%. This gives as an estimate of how much the portfolio would change in value due to a small shift in equity prices, ∆, by computing: (Average Portfolio Delta) x ∆ In the sensitivities tab, Convertible delta is defined as a percentage impact on portfolio value: (Change in value of all convertible bonds held by the fund due to a 1% equity increase)/AUM Note that this number would of course be affected by the exposure in convertibles. Now, to try and connect the two different deltas, suppose we only have one bond with delta (hedge ratio) 0.8. So for a small shift in the equity, ∆, price the bond will move by: 0.8 x ∆

This is an error; Coupon convertible is basically convertible bonds with coupons and therefore is a repetition as we already have Convertible bonds under 5.6.1.

The denominator used to calculate these metrics should be the gross exposure to credit. Similarly to section 4.8 for Credit.

For ASCOTS, since there are no bonds, you do not include them in this particular calculation.

Hopefully the examples below will help clarify the process: In the examples below, it is assumed the base currency is not Euro. Example 1

• Position: Long Philips in Euro and currency exposure is not hedged.
• Treatment in Open Protocol:
• In the Equity section:
• Long 2.4.2 (Industrial)
• Long 2.5.5 (Europe)
• Long 2.6.1 (Equity (single stock))
• Long 2.7.1 (Mega Cap)
• Long 2.8.1 (Exchange Traded)
• In Currency section
• Short 6.4.1 (Base Currency)
• Long 6.4.2 (Europe)

Example 2

• Position: Long Philips in Euro and currency exposure hedged.
• Treatment in Open Protocol
• In the Equity section:
• Long 2.4.2 (Industrial)
• Long 2.5.5 (Europe)
• Long 2.6.1 (Equity (single stock))
• Long 2.7.1 (Mega Cap)
• Long 2.8.1 (Exchange Traded)
• In Currency section
• Short 6.4.1 (Base Currency)
• Long 6.4.2 (Europe)
• Long 6.4.1 (Base Currency)
• Short 6.4.2 (Europe)
• Short 6.5.1 (Non Base Currency G10 Currency)
• Short 6.6.1 (Non Exchange Traded)

The rationale for asking for information in this manner is that if the manager has active currency risk, it would be picked up by the long Euro in Example 1, however if the manager then hedges the currency risk, as seen Example 2, then it will show a net zero exposure to Euro and the base currency. An alternative approach which would lead to a similar output would be to calculate the base currency delta for all the positions (not just the currency positions) in the portfolio with respect to all the currencies. The output could be used to complete section 6.4.

Currency hedges should be reported as separate trades in the Currency section. Examples in the question above give further clarification. Currency hedges purely for the purpose of maintaining share classes in different currencies should not be reported under Open Protocol.

These should be included in 6.4 (and unencumbered cash on tab 1) but not 6.5 or 6.6.

If a dividend or interest is paid and/or received by the manager then it should be included under cash.

Row 11 captures the opposite leg of all non-base currency exposures whether these are direct (i.e. through FX instruments) or indirect (i.e. through non base currency denominated securities/derivatives). It should not however include base currency cash/securities/derivatives. To illustrate this with an example, suppose you hold the following and your base currency is USD:

• • a) Long EUR stock @10% of AUM
  • b) Short CAD stock @5% of AUM
  • c) Long USD stock @15% of AUM
  • d) USD Cash @20% of AUM.

c and d would not count towards the Base Currency row.

• a) Would be captured as 10% long in the EUR row (row 14) and 10% short the Base Currency row
• b) Would be captured as 5% short in the CAD row (r 37) and 5% long in the Base Currency row.

Then the totals in rows 7 and 3 should not include the Base Currency row as this does not pose currency risk (it is the base currency).

Only report one leg of the trade under section 6.5. The base currency leg should not be reported under section 6.5 as it is covered under 6.4.1.

The G10 currencies are listed in the manual. They are USD, Euro, GBP, CHF, JPY, CAD and SEK. So there are only 7 currencies.

A Gold ETF should be reported under Section 7. Real Assets.

Yes

Generally strategies where credit or options play a dominant role would fall under this category, and therefore VaR could be left blank. In general for all strategies where VaR is relevant, it should be provided.

Overall portfolio VaR and VaR for each asset class, region and sector, should be reported as a positive number and it should be reported as a percentage of AUM and not a dollar value. For example, report as 3.4% and not $3,000,000. Diversification benefit should be entered as a negative number and should be the balancing figure that would equate the cumulative component VaR to the actual overall portfolio VaR.

There are two alternative methods:

• i. Include the impact of foreign currency movements under the appropriate asset class VaR, and exclude from the Currency VaR line. For example: Use USD returns to compute VaR for foreign equity, i.e. equity VaR incorporates the foreign currency price movements
• ii. Exclude the impact of foreign currency movements from the asset class VaR, and include separately under Currency VaR For example: Use foreign currency returns to compute VaR for foreign equity positions, and compute separately the VaR from the foreign currency exposure.

Diversification Benefit should be calculated as Portfolio VaR minus the sum of separate asset class VaRs.

Yes, apart from DV01, CS01 and theta, changes should be relative.

They should be treated as 0 in the beta calculation, given they are not expected to be affected by small changes in broad equity markets. Such exposures should be removed from the total under 9.9. However, they should be included in the delta calculation, which is explicitly defined as the impact of shifting all underlying stocks by 1%.

No, since the table has these two asset classes are blacked out for Delta.

Clarification: cell B4 should read “9.8 Asset Classes” and not “10.8 Asset Classes”. All values should be entered as a percentage of AUM. For purpose of calculating Delta underlying asset value should be increased on a relative basis by 1%. So if the underlying is 50 then the increase value would be 50.5 and not 51.

Clarification: cell B4 should read “9.8 Asset Classes” and not “10.8 Asset Classes”. All values should be entered as a percentage of AUM. Gamma should be calculated with respect to the Delta and the calculation methodology should be consistent. Therefore for 3. Sovereign & Int Rate Exp, convexity should be on Interest rate while for 4 it should be on credit spread.

Relative is with respect to base so 20% will go to 20.2%.

Use the CS01 of the underlying bond to calculate the CS01 for all sovereign bonds.

Take into account both direct and indirect currency exposure (FX and non FX Instrument). In other words, include the whole exposure reported in section 6.4 of tab 6. Currency Exposure.

Yes, these should be interpreted as relative.

Credit should only include non sovereign debt.

Short Term refers to any security with maturity which is less than or equal to 1 year. Long term refers to any security with maturity which is more than 1 year.

Over here only consider the increase/decrease in convertible bond prices and not the equity price. The impact of the equity movement on the converts should be reported under 10.1.1 and 10.1.2 and that of implied volatility under 10.1.13 and 10.1.14.

The portfolio inception does not really matter as you would be stressing the current positions. Hence the impact could be reported for all scenarios. For all historical stress tests report the performance of the current exposures over the period of the test. For positions on securities that existed during the period of the test, then use their actual historical prices to calculate the impact. For positions on securities that did not exist at the time, use a predictive methodology.

These numbers should be reported as a negative as there might be a scenario where the worst case is still positive.

We have tried to keep Grade 1 of the Counterparty section as high level and general as possible. We have avoided asking for names of Counterparties and even at Grade 3 there is an option to report anonymous data. Our hope is that this could be completed without the fund having to divulge sensitive information. Part of the reason for including managers in the Working Group for Open Protocol was to ensure that the template would not require the revelation of overly sensitive information.

No, they should only be reflected in the AUM, which would result in a small difference between total Counterparty equity and AUM.

Available Liquidity is meant to capture access to additional financing that is not yet utilised by the manager. Required Margin would be margin for all instruments which require margin, so includes futures, but other derivatives would be included as well.

Cash should include excess margin plus any other cash balance held at the counterparty. Cash used for position collateral should not be included here as this would create a double counting of the position reported under the LMV, SMV or OTE/MTM column.

That would be the margin required to keep the position open at the time of reporting, so in most cases it would be the maintenance margin. If your margin account has more than required then the excess margin would go under the cash column instead of required margin.

If the collateral is held at the counterparty, then no. The value of the collateral should show up in the Equity number you provide. If the collateral is held at a third party institution (such as a tri-party account) then it should be reported in the appropriate part of the treasury assets section.

In the first part of the counterparty section 11.1 aggregate all the assets under one “Part A”. Only report one counterparty, not multiple. However when reporting geography of the counterparty (section 11. 5 to 11.7), then the exposures that are held in different regions would be broken out.

Yes, the total Equity column should total very close to the overall AUM.

They should be classified as a Treasury Asset.

Overnight repos should go under Treasury Assets. Repos with longer maturities should be classed as Trading Assets. Which part of Trading Assets depends on who the financing broker is – if this counterparty doesn’t fit under any of the other headings, eg ISDA, it should go under Other.

These fall under Futures Clearing.

The classification depends on whether the assets are invested via a counterparty. If the fund is directly invested in a money market fund then this would be reported under Other – Self Custody. If, for example, excess cash at a prime broker is swept into a money market fund, this may be reported under Trading Assets – Prime Broker.

It should be the total market value of treasury assets.

An affiliated entity is a company which is a counterparty, but is affiliated in some way to the Investment Advisory firm.

These would be investments in non-affiliated funds for custody purposes.

11.3 should be Self Custody and location of the fund.

Include them under 11.1.3 Futures Clearing.

Please let us know of the names and we will add them to the list. In the meantime you can use a holding name like Counterparty A and add a comment giving more details.

Sort balances from the largest positive to the largest negative. For example say you have 4 counterparties with the following equity in each (in millions): 100, 70, -10, 5. In top 3 you would report 100+70+5. The -10 would be included in top 5. The rationale behind this is that a negative balance is owed to the counterparty rather than owed to the fund; thus there is no risk of losing assets in case the counterparty shuts down. This treatment might lead to top 3 > top 5 .. top 10 > total AUM which is acceptable.

Risk under “treasury assets” is focused on who holds the assets and therefore we look for “Number of Custodians / Counterparties” while the risks under “trading assets” who is the counter party and therefore we look for “Number of Financing Agreements”.

They are based on Counterparty Location (based on the subsidiary).

This question focuses purely on financing so only report securities that are financed by the unregulated entities (non financial institutions) in this section.

Again this section is focused on financing and should contain information regarding any unsecured borrowings that the fund might have. Fully funded position would generally be reported in the “Treasury Assets or Other” part of the report depending on how the security is custodied and administered. If a fund establishes a position without borrowing, then the position should not be included in the financing section.