Strategic ZARONIA Implementation & Independent Validation for a Leading Financial Institution
Executive Summary
The South African Reserve Bank has mandated a transition from the JIBAR rate to the new ZARONIA. After 1 May 2026, no new JIBAR-linked contracts are permitted, with the publication of the JIBAR coming to an end on 31 December 2026. A prominent financial services client, navigating this complex transition, engaged Deloitte to provide strategic oversight and independent validation of their newly developed calculator for the ZARONIA-linked bond and money market instruments.
Recognising the critical need for accuracy, and robust implementation during the early-stage adoption of ZARONIA, the client sought Deloitte's expertise to ensure their solution was technically sound and aligned to leading global market practice. Deloitte's comprehensive approach provided the client with increased confidence in their ZARONIA calculation process, affirming their readiness for the ZARONIA transition.
Our engagement provided the client with expert guidance and a clear roadmap for ensuring their ZARONIA solution was market ready.
Client Situation
As the South African market progresses in its transition towards alternative reference rates like ZARONIA, our client, a key participant in the financial services sector, had proactively developed an internal model for ZARONIA-linked instruments which they wanted to push into production. This model was built for the calculation of coupons and accrued interest for nascent ZARONIA-linked instruments. The reliability of such tools is paramount, not only for internal operational efficiency but also for maintaining credibility with market participants and stakeholders during this significant industry wide shift.
Problem Statement
Beyond a technical review, the client needed assurance that their ZARONIA calculator was robustly implemented and aligned with the rapidly evolving market landscape. Specifically, they sought independent validation to confirm that the methodology and outputs were adequate, and that assumptions were fit for purpose.
Deloitte conducted an independent validation which formed a critical part of the client's ZARONIA implementation journey. We focused on assessing the integrity of the calculation approach, the consistency of the implementation against project objectives, and its alignment to recommended ZARONIA conventions for coupon and accrued interest calculations. This involved a detailed review of the underlying logic, assumptions, and calculation results against relevant market guidance, including the practical guidance published by the South African Reserve Bank. Our engagement provided the client with expert guidance and a clear roadmap for ensuring their ZARONIA solution was market ready.
Outcome and Impact
This engagement provided the client with the assurance that their ZARONIA calculator was functioning as intended and that its implementation was appropriately aligned to applicable requirements. As a result, the client was positioned to confidently share outputs with clients, support stakeholder trust, and significantly boost their readiness for the successful adoption of ZARONIA.
This project underscored Deloitte's role in guiding clients through complex regulatory and market transitions with robust and compliant solutions.
Monique de Waal
