LCH conversion of outstanding cleared ZAR JIBAR SwapClear contracts

Dear SwapClear participant,

On 3 November 2026, the South African Reserve Bank (SARB) announced a delay to the permanent cessation of all tenors of ZAR JIBAR such that the final publication will now take place on 31 May 2027 [Note 1] rather than 31 December 2026 [Note 2].

The SARB announcement revises the previously communicated Index Cessation Effective Date (ICED, as defined in the ISDA 2021 interest rate derivatives definitions) for JIBAR to 1 June 2027, as confirmed by ISDA [Note 3]. As a result, the Fallback Rate (ZARONIA) will not apply as a fallback for JIBAR until the revised ICED.

This change, in turn, affects the effective date from which LCH Limited (LCH) can convert SwapClear contracts with JIBAR fixings into ZARONIA equivalents in line with its contractual commitments under its rulebook. It also materially affects bilateral JIBAR contracts. As with all previous conversions, LCH believes that maintaining alignment between the treatment of cleared and bilateral JIBAR contracts provides the most appropriate basis for an orderly, market-wide conversion.

In light of the above, LCH hereby announces the following:

i) LCH’s ZAR JIBAR conversion event scheduled for 21 November 2026, as set out in LCH Circular 4370 [Note 4], will be postponed until further notice.

ii) The ZAR JIBAR conversion event will be rescheduled to a date in 2027 that is before the revised ZAR JIBAR ICED. The precise conversion date will be confirmed in due course through a separate LCH circular.

iii) The ZAR JIBAR conversion methodology will be retained, but the criteria used by LCH to identify trades within scope for conversion and the related cash-compensation mechanism will be amended to reflect the revised ZAR JIBAR ICED.

iv) Until further notice, LCH will continue to accept ZAR JIBAR swaps for clearing in accordance with current eligibility rules.

v) The clearing eligibility criteria for ZAR JIBAR swaps will be amended in due course in conjunction with the rescheduled conversion event in 2027 and aligned with the revised ICED of 1 June 2027.

Next steps

In response to SARB’s revision of the previously communicated ICED, LCH recognises that the resulting change to the timetable, coming at an advanced stage of market preparations, creates disruption and additional operational complexity for members and their clients. This late revision of the ICED has no precedent in the swap markets cleared by LCH which have been subject to benchmark transition.

LCH is working closely with the relevant authorities, industry bodies and market participants to manage the implications of the revised timetable and support an orderly transition.

Following further market consultation and internal analysis, LCH will issue a member circular to confirm the rescheduled date for the ZAR JIBAR conversion event and will release further operational details as necessary. This should allow SwapClear participants sufficient time to prepare themselves for a conversion process conducted on the rescheduled date.  

Going forward, in connection with the ZAR conversion and future benchmark transitions, LCH intends to continue its alignment with the bilateral market and its contractual commitments, as interpreted in accordance with ISDA’s guidance. As always, the conversion process is designed as a last resort for those participants who are otherwise unable to transition away from fallen back rates.  

Should you have any questions or if you require further information, please do not hesitate to contact ZARconversion@lseg.com.

Kind regards,

LCH Limited
 

[1] https://www.resbank.co.za/en/home/publications/publication-detail-pages/media-releases/2026/jibar-date |  Back to Note 1

[2] https://www.resbank.co.za/content/dam/sarb/publications/media-releases/2025/mpg-/jibar-cessation.pdf. |  Back to Note2

[3] https://www.isda.org/a/rBxiE/JIBAR-Cessation-Guidance_110326.pdf. | Back to Note3

[4] https://www.lseg.com/en/post-trade/clearing/membership/ltd-membership/ltd-member-updates/lch-conversion-of-outstanding-cleared-zar-jibar-swapclear-contracts. | Back to Note4