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.