LCH Limited - ZAR rate change notice

RATE CHANGE NOTICE IN RELATION TO THE RATES USED FOR THE PURPOSES OF PAI, PRICE ALIGNMENT AMOUNT AND DISCOUNTING IN RELATION TO SOUTH AFRICAN RAND SWAPCLEAR CONTRACTS AND FCM SWAPCLEAR CONTRACTS

Further to member circular number 4366 and 4370, this circular contains important information for SwapClear Clearing Members, FCM SwapClear Clearing Members and their clients in relation to the transition from the Johannesburg interbank average rate (JIBAR) to the South African Rand overnight index average (ZARONIA) in accordance with Procedure 1.35 and FCM Procedure 2.1.26.

1. SCOPE AND INTERPRETATION

(a) This constitutes a “Rate Change Notice” as defined in and pursuant to the Regulations and the Procedures and the FCM Regulations and FCM Procedures.

(b) This Rate Change Notice and the provisions of Procedure 1.35 and FCM Procedure 2.1.26 shall apply to all open SwapClear Contracts and FCM SwapClear Contracts (i) registered with the Clearing House as of the time on the Conversion Cut-Off Date determined by the Clearing House, and (ii) in respect of which the Clearing House uses (x) the Original PAI-PAA Rate (as defined below) for the purposes of calculating PAI and the Price Alignment Amount, and (y) the Original Discounting Rates (as defined below) for the purposes of constructing the Clearing House’s zero coupon yield curves, as described under section 1.7 of Section 2C of the Procedures, which are used to calculate the net present value of such SwapClear Contracts and FCM SwapClear Contracts (each such SwapClear Contract and FCM SwapClear Contract, a Factor Change Contract). For the avoidance of doubt, (A) no other SwapClear Contract or FCM SwapClear Contract shall be subject to, or affected by, the terms of this Rate Change Notice and all SwapClear Contracts and SwapClear FCM Contracts shall remain in full force and effect, and (B) the SwapClear Contract Terms and FCM SwapClear Contract Terms (including but not limited to the terms relating to coupon payments on ZAR-denominated SwapClear Contracts and FCM SwapClear Contracts) shall not be amended, supplemented or modified by the terms of this Rate Change Notice.  

(c) Capitalised terms used but not otherwise defined herein have the meaning given to them in the Regulations.  The term "business day" has the meaning given to it in the Regulations.

(d) The terms of this Rate Change Notice relating to operational or procedural matters may be supplemented, modified, amended, replaced or withdrawn from time to time by the Clearing House in its sole discretion through a member circular or such other method as the Clearing House shall determine is appropriate.

2. DEFINITIONS

For the purposes of Procedure 1.35, FCM Procedure 2.1.26 and this Rate Change Notice:

Conversion Cut-Off Date has the meaning given to it in Procedure 1.35 and FCM Procedure 2.1.26, which, for the avoidance of doubt, shall be 10 April 2026 assuming the Conversion Date is 11 April 2026.

Conversion Date means 11 April 2026 or such other date as may be specified by the Clearing House from time to time through a member circular or such other method as the Clearing House shall determine is appropriate.

New Discounting Rates mean the swap rates determined by the Clearing House for one or more interest rate swap transactions where the Floating Rate Option (as defined in the ISDA 2021 Interest Rate Derivatives Definitions) is ZAR-ZARONIA-OIS Compound (as defined in the ISDA 2021 Interest Rate Derivatives Definitions). 

New PAI-PAA Rate means ZARONIA. 

Original Discounting Rates mean the swap rates determined by the Clearing House for one or more interest rate swap transactions where the Floating Rate Option (as defined in the ISDA 2021 Interest Rate Derivatives Definitions) is ZAR-JIBAR (as defined in the ISDA 2021 Interest Rate Derivatives Definitions).

Original PAI-PAA Rate means SAFEX.

SAFEX means the South African Rand overnight deposit rate published by the Johannesburg Stock Exchange and available under "SFXROD" in Refinitiv and <RAONON INDEX> in Bloomberg. 

ZARONIA means the South African Rand Overnight Index Average published by the South African Reserve Bank.