The Credit Adjustment Spread Sub-workstream, a part of the Transition Planning and Coordination Workstream (TPCW) of the MPG, has been working on determining suitable credit adjustment spreads for Jibar tenors. This effort is in preparation for potential fallback scenarios and an active transition away from Jibar.
The TPCW has released a recommendation for consultation, suggesting that the South African interest rate market adopt the standard ISDA fallback methodology. This method involves calculating a fallback spread based on the median value over a five-year lookback period.