Housing Development Agency Act, 2008
R 385
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. |
