LCH conversion of outstanding cleared ZAR JIBAR SwapClear contracts

Dear SwapClear participant,

On 4 November 2026 LCH Limited (LCH) issued Circular 4401 announcing that the ZAR JIBAR conversion event scheduled on 21 November 2026 was postponed until further notice [Note 1].

This circular articulates our revised approach and timeline regarding outstanding cleared ZAR JIBAR SwapClear Contracts [Note 2] in relation to the revised Index Cessation Effective Date (ICED, as defined in the ISDA 2021 interest rate derivatives definitions) for JIBAR [Note 3] and their conversion to ZARONIA-based SwapClear Contracts.

ZAR JIBAR conversion scope and target design principles

• The ZAR JIBAR conversion methodology will be adjusted to reflect the revised final publication of JIBAR on 31 May 2027 announced by the South African Reserve Bank [Note 4], and the related ICED of 1 June 2027.
• As a result, all ZAR JIBAR SwapClear Contracts outstanding at the point of conversion and relying on a fixing occurring after 31 May 2027 will be in scope of the conversion event.
• The target design principles will all be retained: each 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 Floating Rate Option and will be booked under the ISDA 2021 interest rate derivatives 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 5].

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 6].

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 of 1 June 2027 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.

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, in line with the conversion methodology articulated above.

Timing

LCH expects to perform the ZAR JIBAR conversion on Saturday 17 April 2027 for all in-scope JIBAR SwapClear Contracts that are outstanding as of the close of the SwapClear service on Friday 16 April 2027 [Note 7]

Eligibility changes

SwapClear Transactions [Note 8] that reference ZAR-JIBAR with fixings occurring after 31 May 2027 will no longer be eligible for clearing with the SwapClear service from and including the first Monday following the date of the conversion event.

Next steps

LCH will release further operational details and arrange briefing calls to allow SwapClear participants to familiarise themselves with the revised process articulated above in preparation for the key events relevant to the ZAR JIBAR conversion.

We finally remind all SwapClear participants that, as always, the conversion process is designed as a last resort for those participants who are otherwise unable to transition away from rates that are subject to fall back to risk-free rates.  

The approach and process described herein remains subject to risk governance, and legal and regulatory review. Words that begin with a capital letter, but are not defined, in this circular shall have the meaning specified in the LCH rulebook [Note 9] or the 2021 ISDA interest rate derivatives definitions. 

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] LCH conversion of outstanding cleared ZAR JIBAR SwapClear contracts | Back to Note 1

[2] “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 2

[3] JIBAR-Cessation-Guidance-11032 (PDF). | Back to Note 3

[4] SARB revises Jibar cessation date to 31 May 2027 | Back to Note 4

[5] The relevant fallback spread adjustment remains the value previously set by BISL as per IBOR-Fallbacks-ZAR-JIBAR-Cessation-Technical-Note | Back to Note 5

[6] We remind participants that from an economic perspective, LCH converts IBOR SwapClear Contracts to corresponding risk free rate-based SwapClear Contracts 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 6

[7] The contingency date for the ZAR JIBAR conversion event is expected to be Saturday 22 May 2027. | Back to Note 7

[8] 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 8

[9] The LCH rulebook is located at: LCH Ltd Rulebook: Clearing Rules and Regulations | LSEG. | Back to Note 9