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The Market Practitioners Group holds conferences and industry forums to engage with stakeholders and share knowledge with market participants regarding the progress of reference rate reform and the transition away from Jibar to ZARONIA. Here you can find further information and recordings from recent events.
08:00 | Registration
09:00 | Opening remarks
09:10
MPG Chairperson’s keynote address
09:40
Reference rate reforms and the emerging opportunities set
The program for reforming critical reference rates has gained momentum following the completion of several foundational activities of the Jibar transition plan. Immediately after a year-long market observation period, the SARB designated ZARONIA as its successor rate for Jibar. Consequently, the MPG published several white papers on market conventions for Zaronia-linked products and an updated ‘Jibar transition plan’ to aid market participants navigate the transition.
In this session, the MPG will unpack critical milestones of the Jibar transition roadmap and highlight the opportunities and challenges that market participants need to consider. In particular, the MPG will discuss:
- Jibar cessation announcement
- the use of regulatory instruments and persuasion to catalyse the Jibar transition
- the feasibility of a forward-looking term rate
- the continued use of other widely used rates, e.g. SAFEX Overnight Rate
- positioning organisations and portfolios for the Jibar transition
- the development of performance benchmarks
- operational readiness and opportunities to modernise market infrastructure
Moderator
Zakhele Gininda (SARB)
Discussants
Andries du Toit (FirstRand), Elmarie Hamman (FSCA), Richard Klotnick (Absa), Zafar Parker (SARB), Gill Raine (ASISA)
10:30
Coffee Break
10:45
Developing ZARONIA-based derivatives and cash markets
The success of the Jibar transition hinges on the rapid development of ZARONIA-based markets. This will require all market participants to commence using ZARONIA in financial contracts as soon as possible, instead of delaying their action until the last hour of the Jibar transition.
The panel will explore:
- strategies to give effect to a voluntary, market-led transition
- issues in product development and deployment
- use of recommended market conventions and changes in market structure
- development of an interest rate swap valuation curve
- implications for interest rate modelling
- ZARONIA discounting and PIA
- issues in developing a corporate credit market
Moderator
Ajay Bhowan (Absa)
Discussants
Obeid Mahomed (Absa), Ivan Ruscic (RMB), Paulo Teixeira (Nedbank), Jurgens Steyn (Momentum)
12:00
Lunch
13:00
Managing interest rate and liquidity risk during the Jibar transition
The Jibar transition presents a significant change in the South African business environment. Corporates need to consider its implications for the strategic management of their balance sheets. Most likely, the behaviour of Jibar-linked instruments will change over the course of the transition, with the liquidity of such instruments declining over the period, while the liquidity of ZARONIA-linked instruments increases. Furthermore, the co-existence of Jibar and ZARONIA will require treasurers to contend with basis risk.
This session will discuss:
- issues in assets-liability management, particularly those that relate to managing liquidity and interest rate risk in a time of high uncertainty, volatile markets, and increased complexity in the financial system
- how individual risks could be interrelated and could compound one another
- key considerations when modelling or assessing financial risks due to the Jibar transition and designing hedging structures
- foundational factors that enable an effective response to Jibar transition risks, including, value creation objectives, governance arrangements, and the organisation’s risk culture
Presenters
Andries du Toit, Corporate Treasurer, and/or Richard Klotnick
13:45
Minimising the risk of economic value transfer in legacy contracts
The transition of existing contracts from Jibar to ZARONIA should largely be economically neutral. As such, an adjustment spread would need to be added to ZARONIA to minimize the risk of value transfer, whereby a party to a contract is enriched or disadvantaged purely as a result of switching to the fallback rate.
The panel will discuss:
- methodological issues arising in the determination of fair adjustment spreads
- use of the ISDA supplement and protocol
- how to identify and manage tough legacy contracts
- regulatory measures that may be necessary to facilitate tough legacy contracts
- accounting and tax implications of the Jibar transition
Moderator
Zakhele Gininda (SARB)
Discussants
Ahmed Essay (Standard Bank), Steven Breslin (Deloitte), Mluleki Shongwe (SARB), Elmarie Hamman (FSCA)
14:30
Coffee break
14:45
Operational readiness and infrastructure modernisation
It is critical that market infrastructure providers are operationally ready to support the adoption of ZARONIA. The MPG has engaged several key players to enable trading, settlement, and risk management of ZARONIA-linked securities. Market participants need to familiarise themselves with the system and process improvements being deployed and ensure that their own business operations are aligned.
This session will cover:
- developments to modernise of market infrastructure
- work underway to enable the use of ZARONIA in cash markets
- the readiness of clearing houses to support ZARONIA-based OTC derivatives
- Jibar conversion
- ZARONIA discounting
Moderator
Ryan Rossam (Standard Bank)
Discussants
Kim Robertson (RMB), Gregory Naicker (Strate), Ruan Roux (SARB); Gill Raine (ASISA)
15:30
Preparing for the Jibar transition
15:55
Closing remarks
16:00
Networking Session
BREAKAWAY SESSIONS
14:30
Technical discussion for derivatives market practitioners
The MPG’s Derivatives Workstream has drafted a white paper on market conventions for ZARONIA-based non-linear derivatives. The paper contains recommendations for standard conventions that will form the basis for the on-the-run interbank market, which constitutes caps, floors, and swaptions that reference ZARONIA, and will in future be quoted on screens and/or via interbank broking agents.
In the breakaway session, market participants will step through the conventions in detail and consider the process undertaken to formulate them. Furthermore, they will discuss practical market nuances and pricing methodologies.
Moderator
Richard Klotnick (Absa)
Discussants
Ajay Bhowan (Absa), Thomas McWalter (UCT, Analytical), Bruce Graham (True North Partners)
