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 Fund29. Quarterly reporting to the registrar |
| (1) | A manager must within 30 days after the end of each calendar quarter, furnish to the registrar, in respect of each portfolio of the hedge fund that it manages, electronically or otherwise, a report containing— |
| (a) | a full list of all gross and net assets in the relevant portfolio, including all long and short positions, reflecting the market value of each asset and exposure included in that portfolio, with the value of each of those assets expressed as— |
| (i) | a percentage of the total value of assets in the portfolio concerned; |
| (ii) | a percentage of the total amount of assets of that class issued by the entity in which the investment is held, |
| (b) | the exposure or value-at-risk limits permitted under the portfolio mandate and the exposure or value-at-risk applied during the reporting period, and the exposure or value-at-risk as at the quarter-end; |
| (c) | the method of calculating exposure or value-at-risk and showing how limits have been complied with, including; |
| (i) | the sources of leverage, including the type, the amount and the providers of leverage; |
| (ii) | level of collateralisation and the re-hypothecation of assets; |
| (iii) | level of counterparty exposure; |
| (iv) | the capability of the internal control systems for derivatives; |
| (v) | the number of new investors; and |
| (vi) | the current risk profile of the portfolio and the systems employed by the manager to manage risks, including market, liquidity, counterparty, derivatives, operational and other risks; |
| (d) | a list of all the portfolios that the manager administers. |
| (2) | A manager must— |
| (a) | not later than 90 days after the close of its financial year, provide the registrar a copy of the hedge fund's audited financial statements and the annual report referred to in paragraph 28; and |
| (b) | on or before a date specified by the registrar, lodge with the registrar such further information and explanations as the registrar may request. |
| (3) | A manager must inform the registrar without delay of any change in the liquidity risk profile of a portfolio. |