Cash Market Fallback Methodology Reform
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Individual Reform: Cash Market Fallback Methodology Reform 2026 - 2027

Transitioning cash market products (loans, bonds, money market instruments) from JIBAR to ZARONIA by defining a fallback methodology: compounded ZARONIA + credit adjustment spread (CAS)

No data available for the deliverable: Transitioning cash market products (loans, bonds, money market instruments) from JIBAR to ZARONIA by defining a fallback methodology: compounded ZARONIA + credit adjustment spread (CAS)

No data available for the deliverable: Transitioning cash market products (loans, bonds, money market instruments) from JIBAR to ZARONIA by defining a fallback methodology: compounded ZARONIA + credit adjustment spread (CAS)

No data available for the deliverable: Transitioning cash market products (loans, bonds, money market instruments) from JIBAR to ZARONIA by defining a fallback methodology: compounded ZARONIA + credit adjustment spread (CAS)

No data available for the deliverable: Transitioning cash market products (loans, bonds, money market instruments) from JIBAR to ZARONIA by defining a fallback methodology: compounded ZARONIA + credit adjustment spread (CAS)

No data available for the deliverable: Transitioning cash market products (loans, bonds, money market instruments) from JIBAR to ZARONIA by defining a fallback methodology: compounded ZARONIA + credit adjustment spread (CAS)

Summary

The reform adopts a compounded ZARONIA plus credit adjustment spread (CAS) fallback, with ISDA protocols and cash market conventions to guide the transition.

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Is it working?

The reform is progressing, with strong regulatory support and industry engagement, but full transition will require sustained effort. JIBAR cessation is scheduled for December 2026 with ongoing monitoring and support.

Actions

The derivatives market is transitioning well, but cash market adoption is slower. Legacy contract remediation and liquidity-building will continue through 2026.

Are there plans?

ISDA protocol and cash market conventions are in place, with regulatory exemptions and daily CAS publication by Bloomberg/ISDA.

Is it on the agenda?

The SARB, FSCA and Market Practitioners Group have prioritised this reform, with final methodology published in March 2025.

Goals

To ensure an orderly transition for cash market instruments from JIBAR to ZARONIA, minimising value transfer and systemic risk.

Documents

References

Departments / Govt Institutions

National Treasury South African Reserve Bank (SARB)

Summary

SARB worked with market participants to transition cash market benchmarks (loans, bonds, MMIs) from JIBAR to ZARONIA; fallback methodology is now defined, using compounded ZARONIA and credit spread (CAS)​. Methodology for cash market fallback agreed and published. Also launched were new contract conventions, daily CAS publication via Bloomberg and a regulatory/supervisory programme, conducted by SARB and the Market Practitioners Group (MPG) - a public-private sector body established by SARB in 2018. SARB and MPG have transitioned cash/bond/MMI markets to ZARONIA + CAS with fallback methodology, phasing out JIBAR, with final contracts shifting in 2025. Daily compounded ZARONIA, CAS are being published, with contractual fallback events formalised and residual contracts scheduled for conversion by Q2 2026.

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Is it working?

ZARONIA/CAS reform was well received; sector benchmarks have been accepted by markets and operational risks are declining. Fallback reform was also well received, with adoption proceeding according to SARB/MGP plan.

Actions

SARB has adopted ISDA fallback protocols, delivered regulatory guidelines and catalysed the migration of legacy products. Proactive sector communication is ongoing. Market participants have migrated products on schedule, and regulatory communication and fallback protocols are in force.

Are there plans?

SARB and MPG plan continued market transition monitoring, term rate assessment and stakeholder engagement, plus further education/policy updates in 2026. Stakeholder consultation, education, regulatory updates and full industry migration are in progress.

Is it on the agenda?

Cash market benchmark reform is featured in SARB, Financial Markets Committee and PA strategies, with monthly reporting to the Cabinet Financial Cluster. SARB Financial Markets, Prudential Authority, and Cabinet Financial Cluster mark this for ongoing review.

Goals

Align cash/derivative markets to global risk-free rate reform, reduce systemic risk from JIBAR. Transition market benchmarks and mitigate systemic risk exposure.

Documents

References

Departments / Govt Institutions

National Treasury South African Reserve Bank (SARB)

Summary

SARB and the Market Practitioners Group (MPG) have led the transition of cash, bond and money‑market instruments from JIBAR to methodologies referencing compounded ZARONIA plus a credit‑adjustment spread (CAS). Daily compounded ZARONIA and CAS are now published, contractual fallback events have been formalised and most legacy contracts have migrated, with residual contracts scheduled for conversion by Q2 2026. Budget Review 2026 references ZARONIA as the primary nearly risk‑free rate in South Africa’s interest‑rate benchmark landscape, confirming that the reform is entering its final clean‑up phase.

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Is it working?

The reform has been well received, with widespread adoption of ZARONIA/CAS fallbacks and declining reliance on JIBAR, materially reducing benchmark discontinuation risk. Remaining work relates mainly to cleaning up residual contracts and ensuring smaller institutions’ systems and models are fully adapted, but overall the transition is regarded as a success.

Actions

SARB and MPG have agreed and published the fallback methodology, adopted ISDA‑aligned protocols, ensured daily publication of ZARONIA and CAS, issued regulatory and supervisory guidance, and overseen extensive industry migration and education.

Are there plans?

SARB and MPG plan continued monitoring of migration progress, further stakeholder engagement where residual legacy exposures remain, and post‑implementation reviews of benchmark robustness and market functioning, including consideration of any future term‑rate needs.

Is it on the agenda?

Benchmark reform remains on the agendas of SARB’s Financial Markets Department, the Prudential Authority and the Cabinet financial‑cluster and is referenced in Budget Review 2026 as part of maintaining financial‑market integrity and stability.

Goals

Transition cash, bond and money‑market instruments from JIBAR to robust ZARONIA‑based benchmarks and fallbacks, reducing benchmark and systemic‑risk exposure and aligning with global risk‑free‑rate reforms.

Documents

References

Departments / Govt Institutions

National Treasury South African Reserve Bank (SARB)

Summary

SARB and the Market Practitioners Group (MPG) have led the transition of cash, bond and money‑market instruments from JIBAR to methodologies referencing compounded ZARONIA plus a credit‑adjustment spread (CAS). Daily compounded ZARONIA and CAS are now published, contractual fallback events have been formalised and most legacy contracts have migrated, with residual contracts scheduled for conversion by Q2 2026. Budget Review 2026 references ZARONIA as the primary nearly risk‑free rate in South Africa’s interest‑rate benchmark landscape, confirming that the reform is entering its final clean‑up phase.

Canvas not supported.

Is it working?

The reform has been well received, with widespread adoption of ZARONIA/CAS fallbacks and declining reliance on JIBAR, materially reducing benchmark discontinuation risk. Remaining work relates mainly to cleaning up residual contracts and ensuring smaller institutions’ systems and models are fully adapted, but overall the transition is regarded as a success.

Actions

SARB and MPG have agreed and published the fallback methodology, adopted ISDA‑aligned protocols, ensured daily publication of ZARONIA and CAS, issued regulatory and supervisory guidance, and overseen extensive industry migration and education.

Are there plans?

SARB and MPG plan continued monitoring of migration progress, further stakeholder engagement where residual legacy exposures remain, and post‑implementation reviews of benchmark robustness and market functioning, including consideration of any future term‑rate needs.

Is it on the agenda?

Benchmark reform remains on the agendas of SARB’s Financial Markets Department, the Prudential Authority and the Cabinet financial‑cluster and is referenced in Budget Review 2026 as part of maintaining financial‑market integrity and stability.

Goals

Transition cash, bond and money‑market instruments from JIBAR to robust ZARONIA‑based benchmarks and fallbacks, reducing benchmark and systemic‑risk exposure and aligning with global risk‑free‑rate reforms.

Documents

References

Departments / Govt Institutions

National Treasury South African Reserve Bank (SARB)

Analyst: Tinashe Kambadza
Status: in-progress
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