Sounds like the end of March 2006 according to the following from a press release I found on their web site.

JOHANNESBURG. 6 October 2005. South African Airways (SAA) will, once joining Star Alliance, end its code share agreement with Cathay Pacific, its partner to the Far East.
SAA CEO Khaya Ngqula informed Cathay of this intention at a meeting between the airlines in September.
"It is with extreme regret that we will no longer be able to continue this long and valued code share," said Ngqula.
The code share agreement has been in place since 1999 and will end in March 2006.
At this time, SAA will become a fully fledged member of the Star Alliance, while Cathay is a member of the Oneworld Alliance.