Validation of the assessment of SAFCOM

Project name:
Validation of the assessment of SAFCOM

Service:
Risk management

Sector:
Financial Services
Public and Social

Client:
Financial Services Board

Date:
2014

Country:
South Africa


The Financial Services Board (FSB) appointed Genesis Analytics, working in conjunction with Bourse Consult, to validate its assessment of the Safex Clearing Company (Pty) Ltd (SAFCOM, now JSE Clear). This was conducted in terms of the CPSS-IOSCO Principles for Financial Markets Infrastructures (PFMIs).

Building on previous work conducted by the FSB that confirmed SAFCOM as a Qualifying Central Counterparty (QCCP), the scope of Genesis's work was to address the FSB's findings and conclusions with regards to SAFCOM's compliance with the relevant PFMIs and specifically to validate SAFCOM's margin model, back-testing, calculation of the default fund and stress testing model.

The findings from Genesis's analysis were provided to the regulator and formed an important part of the FSB's subsequent annual review of SAFCOM's compliance with the PFMIs.

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