South African Reserve Bank signals start of ZARONIA First initiative to shift inter-dealer linear derivatives quoting from Jibar to ZARONIA

The South African Reserve Bank has published a Market Practitioners Group (MPG) statement urging inter-dealer brokers to prioritise trading and quoting linear derivatives referencing the South African Rand Overnight Index Average (ZARONIA) rather than the Johannesburg Interbank Average Rate (Jibar), marking the start of the ZARONIA First initiative to reduce reliance on Jibar. Under the initiative, inter-dealer brokers are encouraged to use ZARONIA as the main reference for quoting linear derivatives, while Jibar-referencing inter-dealer screens will remain available. The approach is not intended to affect the trading of Jibar-linked derivatives in dealer-to-client markets. The launch follows developments including the MPG’s recommended methodology for credit adjustment spreads for Jibar fallback rates, the inclusion of Jibar fallback provisions in the International Swaps and Derivatives Association’s Interest Rate Definitions and ISDA Protocol, and operational readiness discussions with inter-dealer brokers and central counterparties. The Financial Sector Conduct Authority and the South African Reserve Bank are encouraging inter-dealer market participants to implement the necessary convention changes, with the MPG, FSCA and SARB to provide transition guidance and support. Implementation will be phased, starting with linear derivatives such as interest rate swaps and later extending to non-linear derivatives and other financial instruments. The release notes that this should not be read as a Jibar cessation announcement or as indicating that Jibar is no longer representative.