We analyse the spread between JIBAR and ZARONIA and develop a model that allows the spread to evolve smoothly on most days but also to jump on economically important dates. 

^{by Mesias Alfeus} 

The model combines two sources of information: scheduled Monetary Policy Committee (MPC) announcement dates and unusually large day-to-day moves identified directly from the data.

Because MPC announcements occur intraday while the spread is observed at end of day, we link each announcement to the relevant daily observation using a simple timing rule that accounts for market close, weekends and holidays.

We estimate the model with methods that allow volatility to be higher when the spread is higher, and we then simulate the fitted dynamics to quantify downside risk and future exposure.

Empirically, the spread tends to move back toward a lower long-run level, the average additional movement on MPC dates is small once this return-to-normal behaviour is taken into account, and extreme outcomes remain possible when shocks cluster.

Large, persistent shifts are more likely to coincide with policy dates than short-lived spikes.

Overall, the approach is transparent and easy to replicate, and it provides practical inputs for fallback design, discounting choices and risk management during South Africa’s transition away from JIBAR.