Our website has detected that you are using an outdated browser that will prevent you from accessing certain features. An upgrade is recommended to improve you browsing experience.
3
The Credit Adjustment Spread Sub-workstream was established as a sub-working group of the Transition Planning and Coordination Workstream (TPCW) of the MPG. The objective of the sub-working group is to determine the appropriate credit adjustment spreads for the various Jibar tenors in the event of fallback and for the active transition away from Jibar.
The TPCW has published (for consultation) a recommendation that the South African interest rate market adopts the standard ISDA fallback methodology for calculating a fallback spread (i.e. the median value over a five-year lookback period).
Market participants are requested to provide comments to the MPG Secretariat (mpgsecretariat@resbank.co.za) before 10 January 2025.
