CDOR/CORRA-based OTC derivatives trend analysis

The Canadian Alternative Reference Rate (CARR) group announced in December 2021 that it is recommending that Refinitiv Benchmark Solutions cease the calculation and publication of the Canadian Dollar Offered Rate (CDOR) after June 2024.

CARR recommends a two-stage transition whereby no new derivative contracts or securities referencing CDOR are entered into after June 2023 and that all loan agreements and legacy derivatives migrate to the Canadian Overnight Repo Rate Average (CORRA) from CDOR by June 2024.

Given the systemic importance of CDOR and the need for an orderly transition to CORRA by the stated timelines, it is important to monitor the trend in outstanding positions to better understand if these timelines will be met and to assess the appropriate timing for policy changes that reference these benchmarks.

The Ontario Securities Commission (OSC) receives data on CDOR and CORRA-based OTC derivatives transactions with Ontario entities and will make the following graphs available monthly.

The graphs below depict the outstanding notional for CDOR and CORRA-based OTC derivatives transactions with Ontario-based entities, including the current month-over-month and year-over-year percentage change, breakdown by tenor, proportion cleared, and product type. There is also a comparison between CDOR and CORRA of their monthly volume by outstanding notional, number of trades and a breakdown by maturity.

CDOR/CORRA Position Monitor

Report date: May 31, 2024

Notional values in Canadian dollars (CAD).

CDOR

Outstanding notional of OTC derivatives and month-over-month and year-over-year changes (%)

Total $10.00T, month over month -0.89%, year over year -41.20%. Bar graph shows numbers high during 2022 and early 2023 and then dropping off..

Outstanding notional by maturity

Bar chart showing 1 year or less, $4.21T. 1 to 5 years, $3.46T. 5 to 10 years, $1.82T.

Outstanding notional by proportion cleared (%)

Pie chart showing 85% cleared, 15% not cleared.

Outstanding notional and number of outstanding trades by product type

Detailed table showing 13 product IDs and their CDOR outstanding notional, percent of total, and outstanding trades. Highest is "Rate: Swap: Fixed-float" with 82% of total;.

CORRA

Outstanding notional of OTC derivatives and month-over-month and year-over-year changes (%)

Total $11.08T, month over month +12.36%, year over year +146.46%. Bar chart shows low numbers during 2022 and early 2023, then steady rise.

Outstanding notional by maturity

Bar chart showing 1 year or less, $5.64T, 1 to 5 years, $3.42T, 5 to 10 years, $1.60T.

Outstanding notional by proportion cleared (%)

Pie chart showing 89% cleared, 11% not cleared.

Outstanding notional and number of outstanding trades by product type

CDOR and CORRA: Volume

Comparison between CDOR and CORRA of monthly volume traded by outstanding notional and number of trades

Detailed bar chart showing CDOR and CORRA volume comparison by month for the past two years, both by dollar value and total trades. In 2022, CDOR was considerably higher, but through 2023 it declines and CORRA becomes higher.

Comparison between CDOR and CORRA of monthly volume traded by outstanding notional broken down by maturity

Detailed bar chart comparing monthly totals for CDOR and CORRA, with the bars broken down by maturity. For both, the largest sections are less than 1 year, and to a lesser extent 1 to 5 years. For CORRA, almost the entire total is less than one year through 2022, then the 1 to 5 year total gradually increases.