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

8. Counterparty exposure

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(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.