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??The transition from the Johannesburg Interbank Average Rate (JIBAR) to the South African Rand Overnight Index Average (ZARONIA) represents a pivotal shift in South Africa’s financial markets, aimed at increasing transparency and robustness. With the South African Reserve Bank (SARB) implementing this phased transition, understanding its financial implications is critical. This paper explores the impact of this change through a comprehensive Value at Risk (VaR) analysis and examines counterparty credit risk linked to financial instruments. Using a Cox-Ingersoll-Ross (CIR) model with stochastic jumps, the forward spread between JIBAR and ZARONIA is simulated, showing that volatility persists despite expected rate convergence. The analysis of Potential Future Exposure (PFE) indicates that legacy JIBAR-linked instruments still present considerable risk. While the overall transition appears smooth, ongoing uncertainty, driven by volatility and economic shocks, requires careful management. The success of the shift relies on effective risk management strategies and clear communication from SARB to market participants. ?

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