Canadian bankers’ acceptance rates

Canada Interest Rate Benchmarks

Thomson Reuters is the official administrator and calculator of two key bankers' acceptance rates: Canadian Dollar Offered Rate (CDOR) & Canadian Overnight Repo Rate Average (CORRA).

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Overview

Thomson Reuters is the provider of choice for the official benchmark interest rates charged by Canadian banks for short-term collateralized loans.

We were appointed by a joint committee of the Canadian Bankers Association and the Investment Industry Association of Canada to calculate, distribute and administer two Canadian bankers’ acceptance rates that are essential to the Canadian banking and financial system.

Their selection is a testament to our global reputation as a trusted, independent, unbiased provider of accurate and current pricing and reference data for a wide range of assets and geographies. 

Content and features

Canadian Dollar Offered Rate (CDOR)

CDOR is the recognized financial benchmark in Canada for bankers’ acceptances (BAs) with a term of maturity of one year or less. It is the rate at which banks are willing to lend to companies.

CDOR - accurate, current

We determine CDOR daily from a survey of bid-side rates provided by seven principal market-makers, including the major Canadian banks.

Canadian Overnight Repo Rate Average (CORRA)

CORRA is a measure of the average cost of overnight collateralized funding, and is widely used as the reference for overnight indexed swaps and related futures.

Ensuring CORRA accuracy

CORRA is set as the volume weighted average rate of overnight repo transactions, conducted on-screen through designated inter-dealer brokers, which involve general Government of Canada collateral.

Real-Time Rates

Real-time data is defined as data at the time of publication up to, but not including, 4pm ET on the day. To access the real-time Canadian Interest Rate Benchmarks, Canadian Dollar Offered Rate (CDOR) and Canadian Overnight Repo Rate Average (CORRA), users will need to enter into a licencing agreement.

Embargoed Rates

Embargoed data is free of charge and made available from 4pm ET

Notice

On 13 December 2017 the CDOR benchmark was calculated using the normal methodology. This was published on time and remains the CDOR rate for 13 December 2017.

One set of submissions contained erroneous figures.  None of these were included in the calculation for 13 Dec for any of the tenors as in all cases these submissions were rejected as part of our “top-and-tailing” process.

Thomson Reuters has multiple levels of controls and safeguards in place for calculating CDOR. The relevant ones are: a quality control mechanism that provides an alert to a submitter should a submission exceed a set threshold from the calculated CDOR rate; a return of each submitters prices to the submitter before the rate is calculated; a visual test of submissions pre-publication; and a “top-and-tailing” that removes the lowest and highest submissions before the benchmark is calculated.  Some of these controls failed on 13 December but the “top-and-tailing” process worked as designed, and the CDOR rate that was published is accurate.

According to our Refix Policy, we would republish if a refixed rate differed more than 0.02% from the original rate. Recalculating the CDOR benchmark using what the erroneous submitter informed us would have been their correct submissions, would have resulted in a difference in the CDOR benchmark rate of significantly less than 0.02 %.  Therefore the benchmark will not be re-calculated.

Following review with the Independent Oversight Committee, we will document and publish our decision-making process on this website as required by the Refix Policy.

 

Canadian Interest Rate Benchmarks

For essential Canadian bankers’ acceptance rates

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