Collective Investment Schemes Control Act, 2002 (Act No. 45 of 2002)Board NoticesDetermination 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 includedChapter V : Inclusion of Financial Instruments in a Portfolio18. Calculation of effective exposure for listed financial instruments |
| (1) | The exposure of a futures contract or index tracking certificate of an underlying asset, group of underlying assets or an index must be calculated as the product of— |
| (a) | the number of contracts; |
| (b) | the relevant contract size; and |
| (c) | the current market value of the underlying asset, group of underlying assets or index. |
| (2) | The exposure of an option contract or a warrant to an underlying asset, group of underlying assets, index or index future, must be calculated as the product of— |
| (a) | the number of option or warrant contracts; |
| (b) | the relevant contract size; |
| (c) | the current market value of one relevant underlying asset, one group of the underlying assets, an index or index future; and |
| (d) | the delta factor. |
| (3) | The effective exposure to any listed financial instrument must be calculated as the product of— |
| (a) | the exposure, calculated in accordance with paragraph 18(1) or (2) of this Notice; and |
| (b) | the transaction sign. |
| (4) | The transaction sign is positive for any listed financial instrument purchased and negative for any listed financial instrument sold. |
| (5) | The net effective exposure to listed financial instruments on the same or similar underlying asset is the sum of the effective exposures of all the listed financial instruments to the same or similar underlying asset. |