Collective Investment Schemes Control Act, 2002 (Act No. 45 of 2002)

Board Notices

Determination on the requirements for hedge funds

Part 3 : Retail Hedge Fund

15. Monthly reporting to the registrar
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A manager must in respect of each portfolio, on a monthly basis, within 14 days of the end of the month, furnish the registrar electronically or otherwise, with—

(a)all long and short positions in the portfolio reflecting the market value and the effective exposure, and the value of each of these positions expressed—
(i)as a percentage of the total value of assets in the portfolio concerned; and
(ii)where possible, as a percentage of the total amount of assets of that class issued by the entity in which the investment is held,

and indicating which of such assets cannot be liquidated prior to the next redemption date;

(b)        exposure or value-at-risk limits permitted in the founding documents of the portfolio;

(c)        exposure or value-at-risk applied during the reporting period;

(d)        the level of counterparty exposure; and

(e)        the capability of the internal systems of control for derivatives.