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

Board Notices

Determination of Securities, Class of Securities, Assets or Classes of Assets that may be included in a portfolio of a Collective Investment Scheme in Securities and the manner in which and the limits and conditions subject to which Securities or Assets may be so included

Chapter V : Inclusion of Financial Instruments in a Portfolio

17. Maintaining of certain assets in a portfolio for unlisted financial instruments
Purchase cart Previous page Return to chapter overview Next page

 

(1) A manager, which in accordance with the provisions of this Notice, includes in a portfolio an unlisted financial instrument, must ensure at all times that—
(a) the net negative mark-to-market exposure of the unlisted financial instrument is at all times covered by assets in liquid form;
(b) in the case of net positive mark-to-market exposure of the unlisted financial instruments, the exposure be aggregated to all existing physical underlying assets and effective exposures to the same issuer/guarantor and the aggregate must at all times remain within the limits as set out in Table 1 of Chapter I of this Notice.

 

(2) Netting is only permissible with respect to the same or similar unlisted financial instruments with the same issuer/guarantor, provided that the manager is able to legally enforce netting arrangements with that issuer/guarantor.

 

(3) The provisions of paragraph 16(2) will similarly apply with the necessary changes to unlisted financial instruments.

 

(4) The manager must ensure that unlisted financial instruments are not used to leverage or gear the portfolio and that the unlisted financial instruments are covered at all times.