Constitution of the Republic of South Africa, 1996
R 385
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 ll : Money Market Portfolio8. General |
| (1) | At the time of its inclusion in a money market portfolio a money market instrument may not have a residual maturity exceeding 13 months. |
| (2) | The weighted average legal maturity of money market instruments included in a money market portfolio, based on the value of the total money market portfolio, may not exceed 120 days. |
| (3) | The weighted average duration of money market instruments included in a money market portfolio, based on the value of the total money market portfolio, may not exceed 90 days. |
| (4) | The following money market instruments may not be included in a money market portfolio— |
| (a) | money market instruments having no fixed maturity; |
| (b) | money market instruments whose initial interest rates are not known at the date of inclusion; |
| (c) | money market instruments, including, but not limited to, credit linked notes whose return or redemption may be dependent on another instrument or another entity; |
| (d) | money market instruments, including, but not limited to, credit linked notes, whose return or redemption may be dependent on any event. |
| (5) | The manager must at all times be able to calculate the return of the money market portfolio. |
(6)
| (a) | The manager must assess the quality of a money market instrument; in making its assessment, the manager must take into account all applicable factors including the liquidity profile and the nature of the instrument. |
| (b) | In carrying out its due diligence investigation, the manager must not place inappropriate reliance on the credit rating of the instrument. |
| (7) | A manager may only include a money market instrument in a money market portfolio if the institution that issues or guarantees the money market instrument— |
| (a) | has capital and reserves amounting to at least R 100 000 000 and presents and publishes its annual accounts to the public; or |
| (b) | is an subsidiary within a group of companies which includes one or more listed companies, whose holding company has capital and reserves amounting to at least R 100 000 000, and presents and publishes its annual accounts to the public and where such subsidiary's accounts are included in the consolidated accounts of the group, as defined in the Companies Act, 2008, or |
| (c) | is a special-purpose institution as determined in the Notice on Securitisation Schemes provided that— |
| (i) | the special-purpose institution issues commercial paper in respect of a traditional securitisation scheme as defined in the Notice on Securitisation Schemes; |
| (ii) | the special-purpose institution, the money market instrument issued by such institution, the market maker, the sponsor or the provider of the liquidity facility, is listed on an exchange; |
| (iii) | the special-purpose institution provides sufficient disclosure to the manager to enable the manager to evaluate the default risk of the assets, held in the traditional securitisation scheme, as defined in the Notice of Securitisation Schemes; and |
| (v) | no synthetic securitisation schemes as defined in the Notice on Securitisation Schemes are included in the money market portfolio. |
(8)
| (a) | A manager may include in a money market portfolio an interest rate swap, subject to sub-paragraphs 8(1), (2) and (3) and the conditions and limits determined in Chapter V of this Notice, provided that— |
| (i) | the interest rate swap applies to a specific money market instrument included in the portfolio; |
| (ii) | the maturity date of the instrument whose rate is being swapped is not extended by the swap agreement; |
| (iii) | the interest rate swap is supported by an International Swaps and Derivatives Association (ISDA) agreement and a credit support annex (CSA); and |
| (iv) | the inclusion of such an interest rate swap is only used for efficient portfolio management with the aim of reducing risk, reducing costs or generating capital or income for a portfolio with an acceptable level of risk and to achieve the investment objective of the portfolio. |
| (b) | The manager must ensure that an unlisted transaction for the swap of interest rates is not used to leverage or gear the portfolio, and is covered at all times. |
| (9) | Where a manager applies a constant price to a participatory interest of a money market portfolio, the manager must— |
| (a) | perform a mark-to-market valuation of the money market portfolio and each participatory interest on the last business day of each month to determine the variance of the mark-to-market value with the constant price; and |
| (b) | report any such calculation and any adjustment to the registrar within 15 days of performing the calculation or adjustment. |
| (10) | Where a manager applies a variable price to a participatory interest of a money market portfolio, the manager must ensure that the Net Asset Value of the portfolio is derived from market rates of the money market instruments constituting the portfolio. |
| (11) | A manager must implement and apply a risk management programme to each money market portfolio, including stress testing of the portfolio on a quarterly basis, taking into account— |
| (a) | interest rate risk; |
| (b) | liquidity risk; |
| (c) | spread risk; |
| (d) | credit risk; or |
| (e) | any combination of (a), (b), (c) and (d). |
| (12) | A money market portfolio's assets in liquid form must amount to at least four percent of the assets in the portfolio. Where the exposure of assets in liquid form falls below four percent, immediate and appropriate steps must be taken to correct the breach. |
| (13) | For the purposes of this Chapter, assets in liquid form exclude money market instruments or accounts with foreign banks or any participatory interests in a money market portfolio. |
(14)
| (a) | A manager that administers a portfolio in compliance with the relevant standards of AAOIFI, in terms of which the portfolio may invest in Islamic Bonds (Sukuks) or Islamic Compliant Instruments, must, despite the limits prescribed at item 2 of Table 2, comply with the limits as set out in Table B for a period of 24 months from date of commencement of this Notice ("the initial period"), after which date the limits as set out in Table 2 of paragraph 6(1) shall apply: |
Table B
|
Item |
Categories of Securities |
|
|
Per issuer/guarantor as applicable |
||
|
2 |
Money market instruments issued or guaranteed by a local or foreign bank which forms part of a group of companies (in terms of international accounting standards) of which the holding company is listed on an exchange: |
|
|
2.1 |
with a market capitalisation for the listed group holding company of more than R 20 billion; |
50% |
|
2.2 |
with a market capitalisation for the listed group holding company of between R2 billion and R 20 billion. |
34% |
| (b) | Each manager must review and assesse the development and growth of the Islamic financial services in South Africa on a continuous basis and at least four months prior to the end of the initial period furnish the Registrar with a report indicating the status of the market for Islamic financial services in South Africa. |
