| LCH circular number: | 4370 |
| Date: | February 26, 2026 |
| To: | All SwapClear Participants |
Dear SwapClear Participant,
LCH Limited (“LCH”) continues to strongly support the ongoing industry-wide efforts to transition from existing benchmarks to risk-free rates (“RFRs”) and its SwapClear service has played an active role in the transition of a number of benchmarks in recent years [Note 1].
On 3 December 2025, the South African Reserve Bank announced that the publication of all tenors of ZAR JIBAR will permanently cease immediately following a final publication on 31 December 2026 [Note 2]. Shortly after, ISDA confirmed that such announcement constituted an Index Cessation Event under the 2021 ISDA interest rate derivatives definitions (“2021 ISDA Definitions”) [Note 3] and BISL published the fixed spread adjustments that are relevant to the ZARONIA-based fallback arrangements [Note 4].
The above statements are relevant to SwapClear and our customers, since we offer clearing services for ZAR JIBAR swaps. This circular articulates our intended approach and timeline regarding outstanding cleared ZAR JIBAR SwapClear Contracts [Note 5] at or around the Index Cessation Effective Date [Note 6] and their conversion to ZARONIA-based SwapClear Contracts.
ZAR JIBAR conversion scope and target design principles
We plan to adhere to the same logic and core conversion functionality successfully deployed in prior conversions:
· Any ZAR JIBAR SwapClear Contract outstanding at the point of conversion and relying on a fixing occurring after 31 December 2026 will be in scope of the conversion event.
· The in-scope JIBAR SwapClear Contract (“Input Contract”) will be converted to a ZARONIA equivalent SwapClear Contract (“Output Contract”) having the following characteristics:
1. The fixed leg of the Output Contract will preserve all the details of the fixed leg of the Input Contract.
2. The floating leg of the Output Contract will reference ZAR-ZARONIA-OIS Compound (not ZAR-JIBAR) as the index and will be booked under the ISDA 2021 Definitions.
3. The ZARONIA floating leg of the Output Contract will preserve as many details of the floating leg of the Input Contract as possible, such as notional, effective date, termination date, roll convention, business day convention, day count fractions and payment calendar(s).
4. The relevant BISL spread adjustment will be incorporated into the ZARONIA floating leg of the Output Contract in addition to any existing contractual spread [Note 7].
5. A 2-day payment lag will be applied to the ZARONIA floating leg of the Output Contract, as per the underlying ZARONIA OIS conventions [Note 8].
6. Overlay bookings will be used as an operational device to achieve cashflow preservation on each Input Contract that involves payments in respect of ZAR JIBAR settings that are already fixed at the point of conversion or that will fix before the Index Cessation Effective Date in respect of ZAR JIBAR.
7. Any ZAR JIBAR SwapClear Contract for which the JIBAR floating leg involves compounding throughout its life towards a single terminal JIBAR-based payment (“ZCS”) will be converted to ZARONIA-equivalents by replicating the approach used for converting zero-coupon SwapClear Contracts in previous transitions [Note 9].
Cash compensation
LCH will calculate cash compensation payable by, or to, a SwapClear clearing member or FCM clearing member in relation to the difference in present value between an Input Contract and its corresponding Output Contract, which includes the present value of any overlay bookings.
Timing
LCH expects to perform the ZAR JIBAR conversion on Saturday 21 November 2026 for all JIBAR SwapClear Contracts that are outstanding as of the close of the SwapClear service on Friday 20 November 2026 [Note 10].
Prior to the conversion event, the conversion process will be tested through a dress rehearsal event to take place in LCH’s member test environment, which is expected to be on Saturday 10 October 2026.
Eligibility changes
SwapClear Transactions [Note 11] that reference ZAR-JIBAR with fixings occurring after 31 December 2026 will no longer be eligible for clearing with the SwapClear service from and including the first Monday following the date of the conversion event.
Second quarter 2026 - ZAR PAI/PAA and discounting switch
As previously communicated via LCH circular 4366 [Note 13], before, and separate from, the ZAR JIBAR conversion process, LCH will perform a non-compensated transition to ZAR ZARONIA from a cashflow discounting perspective and for the purpose of adopting ZARONIA in the calculation of price alignment interest (“PAI”) and price alignment amounts (“PAA”) in relation to ZAR-denominated SwapClear Contracts [Note 14]]. We remind SwapClear participants that this event is scheduled for Saturday 11 April 2026.
Next steps
LCH will release further operational details and arrange briefing calls to allow SwapClear participants to familiarise themselves with the process articulated above in preparation for the key events relevant to the ZAR JIBAR cessation. Similar to past RFR conversions, LCH will apply charges in relation to the conversion process described above and will issue a separate communication in this regard.
The approach and process described herein remains subject to risk governance, and legal and regulatory review.
Should you have any questions or if you require further information, please do not hesitate to contact ZARconversion@lseg.com.
Kind regards,
Sales & Relationship Management, Rates Service
[1] The most recent example is the conversion of ILS TELBOR SwapClear Contracts into SHIR-equivalents, which was completed by LCH in May 2025. Back to note 1
[2] Announcement on the future cessation of Jibar. Back to note 2
[3] JIBAR-Cessation-Guidance_121925 Back to note 3
[4] IBOR-Fallbacks-ZAR-JIBAR_Cessation_Technical-Note_251222. Back to note 4
[5] “SwapClear Contract” includes an “FCM SwapClear Contract” for the purposes of this circular. SwapClear Contract and FCM SwapClear Contract have the meanings assigned to them in the General Regulations or FCM Regulations (as applicable) and made available at LCH Limited. Back to note 5
[6] As defined in the 2021 ISDA Definitions, in respect of ZAR JIBAR. Back to note 6
[7] SwapClear offers clearing services for ZAR JIBAR swaps having a floating leg index tenor of 3 months (3M). The 3M spread adjustment issued by BISL relevant for SwapClear conversion purposes is therefore 0.1619%. Back to note 7
[8] From an economic perspective, LCH converts IBOR SwapClear Contracts to corresponding RFR-based SwapClear Contract using the same interest calculation period as the original IBOR SwapClear Contract and applies a payment lag as per the OIS conventions. Also, the fixing centre will be ZAJO and fixings will follow the ZARONIA (vanilla) OIS conventions (i.e., no offsets, lags or backward shifts). Back to note 8
[9] Please refer to the approach used to convert CAD CDOR zero-coupon SwapClear Contracts as part of the wider CAD CDOR conversion event for more details, which in turn replicated the approach used to convert USD LIBOR zero-coupon SwapClear Contract in 2023: LCH Consultation on Conversion of Outstanding Cleared CAD CDOR Contracts. Back to note 9
[10] The contingency date for the ZAR JIBAR conversion event is expected to be Saturday 5 December 2026. Back to note 10
[11] “SwapClear Transaction” includes an “FCM SwapClear Transaction” for the purposes of this circular. SwapClear Transaction and FCM SwapClear Transaction have the meaning assigned to them in the General Regulations and FCM Regulations, respectively, which are available at LCH Limited. Back to note 11
[12] ZAR PAI, PAA and Discounting transition Back to note 12
[13] PAI and PAA are described and defined in the SwapClear procedures, which are available at LCH Limited. Back to note 13