26 Nov CSA – Canadian securities regulators outline recent developments on interest rate benchmarks – Canadian Dollar Offered Rate (CDOR) publications and transition away from LIBOR
November 26, 2020
Changes to CDOR
Refinitiv Benchmark Services (UK) Limited (RBSL), administrator of CDOR, announced the 6 and 12 month tenors of CDOR will cease to be published effective May 17, 2021. The 1, 2, and 3 month tenors will continue to be published after the effective date.
Advised using a replacement rate (instead of 6 or 12 month tenors) when preparing contractual provisions for new instruments that will/might extend past effective date. Instruments that reference 6 or 12 month tenor should plan for proper transition prior effective date, such as adopt replacement rate and changes to information technology.
UK and US are currently working to replace the London inter-bank offered rate (LIBOR) with alternative RFRs before the end of 2021. Advised using replacement rate for new instruments that will/might extend past 2021. As well as include fallback language in new instruments case of future replacements. Encouraged proper action by persons/companies that issued/hold securities, or parties to derivatives or loan agreements, which reference LIBOR, CDOR, or other IBORs.
ISDA IBOR Fallbacks
ISDA IBOR fallbacks supplement, will amend standard definitions for interest rate derivatives to incorporate fallbacks for derivatives linked to some IBORs. The fallback protocol enables incorporating the revisions into the legacy non-cleared derivatives trades with other counterparties; both changes in effect January 25, 2021.
For more information, visit www.FSB.org