Thomson Reuters, the world's leading source of intelligent information for businesses and professionals, today announced its appointment to administer Canada's two key interest rate benchmarks, CDOR and CORRA.
Thomson Reuters was appointed as the administrator for both the Canadian Dollar Offered Rate (CDOR) and Canadian Overnight Repo Rate Average (CORRA) following a tender process that was announced by the Canadian Bankers Association and the Investment Industry Association of Canada on June 2, 2014.
CDOR is the recognized financial benchmark in Canada for bankers’ acceptances (BAs) with a term of maturity of one year or less, and represents the rate at which banks are willing to lend to companies against primary BA issuance to clients with existing credit facilities that reference CDOR.
CDOR is determined daily from a survey of bid-side rates provided by seven principal market-makers, including the major Canadian banks. CDOR is also used to determine interest payments on approximately USD$9 trillion of interest rate swaps, CAD$750 billion in exchange traded derivatives and CAD$130 billion in floating-rate notes (FRNs).
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. CORRA is set as the volume weighted average rate of overnight repo transactions, conducted on-screen through designated inter-dealer brokers, which involve general (non-specific) Government of Canada collateral.
“We have been entrusted with two of the fundamental metrics of Canada’s financial system,” said John Cooley, global head of indices and reference rates, Thomson Reuters. “We are delighted with this appointment, and will continue working with the industry in consultation with the authorities in Canada and internationally to promote effective and accurate reference rates for the financial system.”
“As a Canadian company with global reach, Thomson Reuters is privileged to be playing such a key role in support of Canadian financial markets.”
Thomson Reuters currently calculates and distributes Cy calculates and distributes CDOR; it assumed the role of CDOR administrator on December 31, 2014 and is working to assume the role of CORRA administrator, calculation agent and publication agent by March 31, 2015.