Current and historical Government of Canada bond yields, CAD swap rates, and CDOR for various tenors. Need additional rates or capital markets data to help in your underwriting or hedging? Contact us.
Government of Canada Bonds
Government of Canada bonds are benchmark rates reflecting the mid-market closing yields of Canadian government marketable bonds with remaining maturities approximately equivalent to the indicated tenors.
CDOR benchmark swap rates reflect the fixed rate one party in an OTC swap contract pays semi-annually on an Actual/365 basis, versus receiving 3-month CDOR, reset quarterly and paid semi-annually on an Actual/365 basis.
The Canadian Dollar Offered Rate is an average, reported by a panel of Canadian banks, at which they are willing to lend to corporate clients with existing lines of credit. CDOR is the reference rate for approximately CAD 17 trillion worth of derivatives and debt.
Canadian Overnight Repo Rate Average (CORRA)
The Canadian Alternative Reference Rate working group (CARR) has developed and recommends the use of CORRA daily value compounding in arrears, based on Actual/365 basis. CARR has recommended that by June 30, 2023, all new derivative contracts should transition to CORRA with no new CDOR exposure after that date.
What is an interest rate swap?
An interest rate swap is a hedge product that helps turn floating-rate exposure into a fixed rate.
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Chatham Hedging Advisors, LLC (CHA) is a subsidiary of Chatham Financial Corp. and provides hedge advisory, accounting and execution services related to swap transactions in the United States. CHA is registered with the Commodity Futures Trading Commission (CFTC) as a commodity trading advisor and is a member of the National Futures Association (NFA); however, neither the CFTC nor the NFA have passed upon the merits of participating in any advisory services offered by CHA. For further information, please visit chathamfinancial.com/legal-notices.
Transactions in over-the-counter derivatives (or “swaps”) have significant risks, including, but not limited to, substantial risk of loss. You should consult your own business, legal, tax and accounting advisers with respect to proposed swap transaction and you should refrain from entering into any swap transaction unless you have fully understood the terms and risks of the transaction, including the extent of your potential risk of loss. This material has been prepared by a sales or trading employee or agent of Chatham Hedging Advisors and could be deemed a solicitation for entering into a derivatives transaction. This material is not a research report prepared by Chatham Hedging Advisors. If you are not an experienced user of the derivatives markets, capable of making independent trading decisions, then you should not rely solely on this communication in making trading decisions. All rights reserved.