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

13. Definitions

Purchase

For the purposes of this Chapter—

"call option"

means an option contract in terms of which the holder of the contract has the right, but not an obligation, to purchase the relevant underlying asset or to receive a cash settlement instead;

"contract size" or "multiplier",

in relation to a financial instrument, means the factor by which the price of an underlying asset is multiplied to arrive at the value of one contract as specified in either—

(a)	the rules of the relevant exchange on which the financial instrument is listed; or

(b)	the terms and conditions as defined in the offering document of the relevant financial instrument;

"delta factor",

in relation to a financial instrument, means the requirement for an exposure calculation for financial instruments as determined in accordance with—

(a)	a method prescribed by the relevant exchange for the specific financial instrument; or

(b)	the terms and conditions as defined in the offering document of the relevant financial instrument;

"delta sign",

in relation to a financial instrument, means the mathematical sign of the exposure of the financial instrument, determined by the sign of the delta factor, which can be either positive or negative, determined in accordance with—

(a)	the delta factor calculation prescribed by the relevant exchange for the specific financial instrument; or

(b)	the terms and conditions as defined in the offering document of the relevant financial instrument;

"effective exposure",

in relation to a listed financial instrument, means the exposure as calculated in paragraph 18 of this Notice;

"listed financial instrument"

means an instrument as defined in paragraph 2(1)(b) of Chapter I of this Notice, which is listed and dealt on an exchange with full membership of the World Federation of Exchanges;

"put option"

means an option contract in terms of which the holder of the contract has the right, but not an obligation, to sell the relevant underlying asset or to receive a cash settlement instead;

"transaction sign",

in relation to a financial instrument, means the transaction direction, whether buying or selling, of a financial transaction, as calculated in accordance with paragraph 18(4) of this Notice;

"underlying asset",

in relation to a listed or unlisted financial instrument, means—

(a)	any security;

(b)	an index as determined by an exchange;

(c)	a group of securities which are the subject matter of the financial instrument, whether such group of securities is represented by an index or not;

(d)	a currency rate; or

(e)	an interest rate;

"unlisted financial instrument"

means an instrument as defined in paragraph 2(1)(c) of Chapter I of this Notice.