Yesterday the Standard Board for Alternative Investments (SBai) published the latest amendments to reporting stress test results for the Open Protocol (OP) Risk Reporting Template. The reason for this change is the amended SEC Rule 206(4)-1, also called the “Marketing Rule”, which prohibits the presentation of gross performance in any marketing documents unless the net performance is published at the same time.
In the past, in Section 10 of the OP report, there was no clear definition of whether the stress test results shall be published in gross or net terms.
Therefore, going forward the portfolio return shall be calculated net of model fees. If a company still reports gross results, a note should be included in the relevant comments section. Furthermore, the calculation period of the model fees should depend on the relevant stress test.
The amendments will be adapted in our OP Reporting Solution. If you have any questions or need any help with your OP Reporting, please feel free to reach out to our team at any time.
