OP Insights - June 2022 - Exposure Update

The Standards Board for Alternative Investments (SBAI) and Albourne, co-chairs of the Open Protocol Working Group, have published updates to the Insurance Open Protocol (“IOP”). The IOP forms part of the Open Protocol (“OP”) risk aggregation template which was first launched in 2011 to standardise the collection and representation of risk information of investment funds for investors. Open Protocol is currently used by funds representing over US$2tn in assets under management. IOP provides a risk reporting template for funds that have significant exposure to property catastrophe insurance risk. It has been developed to cater for the unique characteristics of property catastrophe exposure – including risk types, sources of leverage, stress test results, and side pocketing. Michael Hamer, Partner and Senior Investment Analyst at Albourne Partners said: “IOP’s risk reporting has been revised to capture more aspects of the risk of property catastrophe insurance funds. It will improve the ability of investors to compare information between funds and to create a portfolio view of multiple funds. It is worth noting that IOP has materially benefitted from the input of managers and others in the SBAI ILS Working Group.”

The Standards Board for Alternative Investments (SBAI) has published updates to the Insurance Open Protocol (“IOP”). The IOP forms part of the Open Protocol (“OP”) risk aggregation templates that were first launched in 2011, which standardise the collection and representation of risk information of investment funds for investors, and which is currently used by funds representing over $1.85tn in assets under management. [1] IOP provides a risk reporting template for funds that have a significant exposure to property catastrophe insurance risk. It has been developed to cater for the unique characteristics of property catastrophe exposure, including risk types, sources of leverage, stress tests results and side pocketing. Michael Hamer, Partner and Senior Investment Analyst at Albourne Partners said: “IOP’s risk reporting has been expanded to include information at the manager, fund, and share class level, and at intervals that are better aligned with the insurance cycle. The increased reporting of stress test results and the flexibility to add new stress events to the template in the future should materially improve the ability to see how funds interact from an overall Insurance Linked Securities portfolio risk perspective.”