Collective Investment Schemes Control Act, 2002 (Act No. 45 of 2002)Board NoticesDetermination on the requirements for hedge fundsPart 3 : Retail Hedge Fund8. Counterparty exposure |
(1) | A manager— |
(a) | must limit the counterparty exposure of a portfolio to the net asset value of the portfolio per one counterparty subject to Table 1 in Annexure A; |
(b) | may only net the counterparty exposure with the same counterparty and in the same portfolio, provided that the manager is able to legally enforce netting arrangements with that counterparty. |
(2) | When calculating counterparty exposure, a manager must take into account— |
(a) | any initial or variation margin posted to, and held by, a counterparty; |
(b) | the verifiable market value of the derivative, including any excess collateral; |
(c) | any net exposure to a counterparty generated through a securities lending or repurchase agreement; and |
(d) | counterparty exposures created through the reinvestment of collateral. |