Collective Investment Schemes Control Act, 2002 (Act No. 45 of 2002)Board NoticesDetermination on the requirements for hedge fundsPart 4 : General Provisions Applicable to all Hedge Fund22. Valuation and pricing |
| (1) | A manager must establish, maintain, enforce and document a policy which outlines the procedures and methodologies for the valuation of the assets held in or used by each portfolio. |
| (2) | A manager must ensure that the valuation methodology is consistently applied according to the valuation policy. |
| (3) | The valuation policy must— |
| (a) | be reviewed periodically to ensure continued appropriateness; |
| (b) | provide for the obligations, roles and responsibilities of all parties involved in the valuation process, including, where applicable, the fund administrators; |
| (c) | provide for all listed securities to be priced according to market prices as contemplated in section 44 of the Act, and unlisted securities to be priced according to a generally recognised methodology approved by the custodian, or where applicable, by the fund administrator; |
| (d) | in the case of a retail hedge fund,— |
| (i) | provide for pricing that is at least equal to the purchase and repurchase date; |
| (ii) | ensure that daily valuation is conducted, and that a requirement to provide daily valuation is included in the founding document; |
| (e) | in the case of a QI fund, ensure that— |
| (i) | pricing takes place at least equal to the purchase or repurchase dates of the relevant portfolio, whichever is more frequent; and |
| (ii) | valuation is performed monthly; |
| (f) | ensure that an appropriate level of independent review is undertaken for each valuation and in particular any valuation that is influenced by the manager or the hedge fund FSP; |
| (g) | describe the process for handling and documenting instances where the manager has disagreed with the valuations or established a contrary price, including providing for the review by an independent party; |
| (h) | provide for initial due diligence investigations performed by a person, other than a manager, of any person that is appointed to perform valuation services; |
| (i) | ensure that the valuation methodology is transparent and available to investors; and |
| (j) | when using models for valuations, ensure— |
| (i) | that the model is included in the valuation policy; |
| (ii) | that the valuation procedures and policies indicate the main features of the model; and |
| (iii) | that the model is subject to independent validation, by a person who— |
| (aa) | was not involved in the process of developing the model; and |
| (bb) | has adequate competence and experience in the valuation of assets using such models. |