JIBAR to ZARONIA: What to Check Before 31 December
On 31 December 2026, JIBAR stops being published.
Every loan, swap, lease and valuation model in your institution that still references it will then reference a rate that no longer exists.
That sounds like a treasury problem. It isn't. The SARB confirmed the cessation date on 3 December 2025, and since 1 May 2026 new JIBAR-linked contracts have generally been prohibited. The two-year window for a calm, parallel-run transition has effectively closed. What remains is execution: finding every exposure, working out what each one costs to move, fixing it, and proving to your auditors that you did.
This is a short guide to what the move from JIBAR to ZARONIA actually involves, written for the people who will have to sign it off. Download the full six-page report (PDF).
This is not a find-and-replace
The most important difference is timing. JIBAR is fixed at the start of an interest period, so you know the rate before the period begins. ZARONIA is compounded in arrears, so you only know it at the end. Discount curves, cash-flow forecasts and interest accruals have to be rebuilt, not relabelled.
JIBAR | ZARONIA | |
Basis | Quoted rates from a panel of five banks | Actual overnight deposit transactions above R20 million |
Type | Forward-looking term rate, 1 to 12 months | Backward-looking overnight rate, compounded to build term rates |
When the rate is known | Start of the interest period | End of the interest period |
Credit premium | Embedded | Excluded, so generally lower |
Market depth | A thin, shrinking market for the underlying deposits | About R450 billion of transactions a day |
Because JIBAR embeds a bank credit premium and ZARONIA does not, a credit adjustment spread is added to ZARONIA so that neither party gains or loses in the switch. It was fixed on 3 December 2025 using the ISDA fallback methodology: the median historical difference between JIBAR and compounded ZARONIA over five years.
Where JIBAR hides
JIBAR exposure sits in four places, and the fourth is the one most registers miss. It reaches well beyond treasury, across banks and their non-financial counterparties alike.
Derivative contracts. Interest rate swaps and other derivatives, often inside hedge accounting relationships.
Cash contracts. Loans, leases, revolving credit and other floating-rate facilities, plus floating-rate notes and money market instruments.
Legacy contracts. Older agreements with no fallback language for the rate ceasing.
Valuation models. Fair value, impairment and other measurements that use JIBAR as an input. Every one has to be identified and re-based, not just the contracts on file.
There are three ways an existing contract can move across: an active transition (amending it before cessation), a passive one (its own fallback provisions trigger automatically), or a legislative one (a statutory backstop for legacy contracts that cannot be amended, still in development).
The accounting is where it bites
Without relief, re-papering a JIBAR contract to ZARONIA is a contract modification, which can put a gain or loss through profit or loss and add earnings volatility nobody planned for. The IFRS interest rate benchmark reform amendments offer relief in two phases, but only if the change qualifies.
Phase One: hedge accounting relief. Lets hedging relationships continue through the period of uncertainty before the replacement rate is fixed.
Phase Two: contract modification relief. If a contract is amended solely because of the reform and is economically equivalent before and after, the change is treated as a rate reset, with no gain or loss.
Both are already effective. Eligibility criteria and disclosure requirements apply, so each contract has to be classified against them one by one.
A 25 basis point shift can change an impairment result
In this illustrative impairment test, moving from a JIBAR-based to a ZARONIA-based discount rate lifts headroom from R22m to R68m. The direction will differ model by model. The point is that a small shift in the rate moves headroom materially, because of the duration of the terminal value.
Metric | JIBAR-based (today) | ZARONIA-based (after the move) |
Reference rate | 3M JIBAR, quoted upfront: 8.00% | ZARONIA compounded in arrears: 7.55% |
Spread adjustment | Embedded in JIBAR | +0.20% |
Entity credit and liquidity premium | +3.50% | +3.50% (entity-specific, unchanged) |
Discount rate | 11.50% | 11.25% |
PV of 5-year cash flows plus terminal value | R1,502m | R1,548m |
Carrying amount of the CGU | R1,480m | R1,480m |
Headroom | R22m (about 1.5%) | R68m (about 4.6%) |
Figures are illustrative only and are not published rates.
Re-basing a model is a five-step job:
Inventory. Flag every model that takes JIBAR as a discount-rate or WACC input.
Rebuild the curve. Construct a ZARONIA curve compounded in arrears, not a same-tenor swap.
Add the spread. Apply the ISDA-style historical median spread adjustment for the structural gap.
Re-run and compare. Run the old and new rates in parallel and flag swings beyond materiality.
Document. Update model governance packs and disclosures.
Underneath it all, a data problem
Every step the reform requires is a data workflow at scale, and it takes people who understand both the engineering and the finance. It runs in four stages:
Find it. Thousands of loan, lease, swap and ISDA documents sit across systems, with no single register of JIBAR exposure. The first job is to extract every reference, tenor and reset term, and classify each as derivative, cash or legacy.
Assess it. Each contract has to be tested: does it qualify for Phase One or Phase Two relief, and is it economically equivalent before and after the amendment? At scale, that means modelling equivalence and quantifying the impact on profit and loss and hedge effectiveness.
Fix it. The new rate, the spread and the repricing logic have to flow consistently into core banking, treasury and valuation systems, with parallel-run reconciliations between JIBAR and ZARONIA to show nothing broke.
Prove it. Auditors and regulators will want traceable evidence of what changed, under which relief, and with what economic effect.
This is the work Ilion Analytics does: data analysts, data scientists and data engineers working with finance and treasury teams to find the exposure, assess it, fix it and prove it. The full report sets out how we scope it.
What to do before 31 December 2026
Start with the contracts and models that still have no agreed path.
In order:
Build a register of every JIBAR-linked contract and model, classified as derivative, cash or legacy.
Identify legacy contracts with no fallback language and agree a route for each one first.
Classify every amendment against the Phase One and Phase Two relief criteria.
Inventory the valuation models that take JIBAR as an input, and plan a parallel run.
Set up the evidence trail your auditors will ask for, before they ask.
The full report covers all of this in six pages, including the engagement model we use to run it.
Download the report (PDF), or if you would rather talk it through with Phildo Steyn, please email him directly.
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