Given that over a year has passed since CORRA cessation, I wanted to illustrate the transition using CCPView and SDRView volumes. So, I will bias the 2025 edition of this blog towards CDOR-CORRA volumes review, while briefly covering CAD derivatives volumes along the way.
Last year’s edition of this blog is here and our prior blogs on CDOR-CORRA transition include CORRA First in CAD Markets and CAD Rates Markets and CORRA Reform.
Background
To summarize the CDOR-CORRA transition briefly:
- As with USD LIBOR-SOFR and other transitioned currencies, the CAD CDOR-CORRA transition shifted the market away from products based on an interbank offered rate (IBOR) and towards products based on a target risk-free rate (RFR). This aimed to remove any possibility of manipulation of the rate by panel banks contributing rates to the IBOR (as, sadly, happened and was prosecuted).
- The CAD IBOR is CDOR (Canadian Dollar Offered Rate), based on the rates on bankers’ acceptances (BA) – no longer central to the Canadian money market.
- For CAD RFR is CORRA (Canadian Overnight Repo Rate Average), which – in a similar manner to USD SOFR – is a daily average of a large subset of the prior day’s Canadian government bond repo transactions.
- The Canadian Alternative Reference Rate working group (CARR) – like the US ARRC – was an industry-wide committee formed to oversee the transition and comprised appointees representing several market segments.
- CARR initiated CORRA-first initiatives in the milestones listed below to prompt dealers to lead the trading transition.
To spare you the online search, I summarize the key milestones in this story.
| Date | Milestone | Description |
| 31 December 2022 | USD LIBOR cessation | Ending USD-LIBOR vs. CAD-CDOR cross-currency swap (CCS) trading |
| 09 January 2023 | CORRA-first for linear derivatives | Inter-dealer trading defaults to CORRA for CAD IR swaps |
| 27 March 2023 | CORRA-first for non-linear derivatives and CCS | Inter-dealer trading defaults to CORRA for CAD swaptions and for USD-CAD CCS |
| 26 April 2024 | TMX futures conversion | BAX (CDOR) money market futures convert to CRA (CORRA) futures |
| 17 May 2024 | CME swaps conversion | CDOR fixed float IRS convert to CORRA OIS |
| 08 June 2024 | LCH SwapClear swaps conversion | CDOR fixed float IRS / zero coupon swaps / FRA / basis swaps / variable notional swap (VNS) convert to CORRA OIS / VNS |
| 28 June 2024 | Last CDOR publication date | RBSL ceases CDOR publication after this date |
We will review CCPView and SDRview charts to see how the cleared and uncleared data stack up against these dates, and briefly catch up on CAD interest rate derivatives (IRD) volumes at the same time.
Cleared interest rate swaps
The charts here show products referencing both CDOR (fixed float IRS (IRS), basis swaps (basis), zero coupon swaps (ZC), and variable notional swaps (VNS)) and CORRA (OIS, basis, VNS). We start with a long-range plot of quarter-by-quarter volumes.
Chart 1: Quarter-by-quarter CAD cleared interest rate derivatives new trade volumes by product type (notional CAD millions). Source: CCPView.
Chart 1 shows that Q1 2025 CAD swaps (all products) traded just shy of CAD 120 trillion – a new record quarter.
- Products dependent on CDOR (IRS, basis, ZC, and FRA) last traded in Q2 2024 – consistent with the 28 June cessation date and the fact that LCH stopped clearing those products from that date.
- CAD OIS alone exceeded previous peaks for all CAD cleared IRD in Q4 2024 and Q1 and Q2 2025.
Now we look more closely at day-by-day open interest (OI) near to the CDOR cessation for each CCP in turn, starting with CME.
Chart 2a: Day-by-day CAD CME cleared interest rate derivatives OI by product type (notional CAD millions). Source: CCPView.
Chart 2a shows the CME conversion from CDOR IRS (IRS) to CORRA OIS (OIS) on 17 May 2024.
- OIS OI increased by CAD 111.2 billion from CAD 6.7 billion to CAD 117.9 billion.
- IRS OI reduced by CAD 4.4 billion from CAD 133.3 billion to CAD 128.9 billion.
- We see that all CDOR IRS remaining after conversion matured by the end of September.
The explanation for the large increase in OI lies in CME’s conversion method, which addresses IRS trades in three categories:
- Trades with CDOR fixings only after cessation: these convert directly into a CORRA OIS.
- Trades with CDOR fixings only before cessation: these are untouched and run to maturity as IRS.
- Trades with CDOR fixings both before and after cessation: these are converted into two trades: a CDOR IRS comprising the floating cash flows fixing before cessation, and a converted CORRA OIS replacing the floating CDOR cash flows fixing after cessation. This means all cash flows with CDOR fixings before cessation avoid unnecessary conversion.
Noting that new trades were 2.0 billion OIS and zero IRS on 17 May (and ignoring any IRS maturing on that date), the above figures would imply:
- Category 1 notional was 4.4 billion.
- Category 1 and 3 combined total 111.2 billion minus 2.0 billion new OIS on the day – meaning category 3 was 104.8 billion.
- Category 2 and 3 combined total 128.9 billion – meaning category 2 was 24.1 billion.
Chart 2b: Day-by-day CAD LCH SwapClear cleared swaps OI by product type (notional CAD millions). Source: CCPView.
Chart 2b shows the SwapClear conversion on Saturday 8 June 2024. We see Friday 7 June OI before the conversion and Monday 10 June OI after both the conversion and Monday 10 June clearing. To avoid a blizzard of figures in bullet points, I summarize in the table below.
Table 1: LCH SwapClear CAD OI transition by product type from end-of-day 7 June to end-of-day 10 June 2024 (notional CAD trillions). Source: CCPView.
The OI figures in table 1 come from the same CCPView query as chart 2b, but we added new trades on 10 June from a separate query and inferred conversion figures by subtracting 7 June OI and 10 June new trades from 10 June OI. (We ignored for now any trades maturing on 10 June.)
Table 1 shows the conversion increased total CAD swaps OI by CAD 0.22 trillion. Why would there be any change? First, we would not expect a change in OI from trades not touched by the conversion, nor from converting fixed float IRS, zero coupon swap, and VNS. Those products would convert one-for-one. However, any basis swaps converted would produce two OIS – doubling their notional. Hence, we would expect an increase of 0.25 trillion in total OI. I would suggest that trades maturing on June 10 account for the 10 June OI difference of (0.25 minus 0.22 equals) 0.03 trillion or about 30 billion.
Both charts 2a and 2b show that a population of IRS remained after conversion and cessation until near the end of September. We can assume this was category 2 trades (with fixings only before cessation) running to maturity. Thus, the CAD swaps transition target state, limited to OI in only CORRA OIS and CORRA VNS, was reached by the end of September 2024.
Exchange traded derivatives (ETD)
Now we come to CAD interest rate futures (IRF), which trade at the Montreal Exchange and clear at TMX.
Chart 3: Quarter-by-quarter CAD cleared IRF new trade volumes by product type and subtype (notional CAD millions). Source: CCPView.
Chart 3 shows that Q1 2025 CAD IRF traded exceeded CAD 190 trillion – a new record quarter.
- After being introduced in early 2022, TMX CRA (CORRA) futures took over from TMX BAX (CDOR) futures from Q3 2024, consistent with the June cessation date.
Next, we look more closely at week-by-week OI volumes near to the CDOR cessation.
Chart 4: Day-by-day CAD cleared IRF OI by product type and subtype (notional CAD millions). Source: CCPView.
As background, we know from the Montreal exchange website that TMX BAX (CDOR) and CRA (CORRA) contracts expire in the last month of each quarter. This means that the 18 March 2024 and 17 June 2024 expiring BAX contracts would expire before CDOR cessation, while September and December 2024 contracts, and any contracts expiring in 2025, would need to be converted.
Chart 4 shows the OI changes related to the TMX conversion and the March and June expiries.
- The 18 March expiry shows a material drop only in CRA futures OI – suggesting that March BAX positions had already been closed.
- The after-close 26 April TMX BAX-CRA conversion produced a reduction of 131 billion in BAX OI. This showed on Monday, 29 April, while CRA OI increased on Tuesday, 30 April by 78 billion.
- Perhaps TMX waited until Tuesday to include CRA positions from conversion in the overnight position netting cycle. This would reduce the uptick impact reported and allow participants to check the gross converted positions based on Monday night reports.
- The 17 June expiry neatly closed out all remaining BAX futures.
For futures, the transition target state of eliminating BAX futures was fully achieved before cessation.
Uncleared products
Let us start with CAD-USD cross-currency swaps (CCS), where we exclude cross-currency fixed-fixed swaps from the charts as they are unaffected by the CDOR-CORRA transition.
Chart 5: Month-by-month CAD vs. USD CCS new trade volumes by index pair (notional USD millions). Source: SDRView.
Chart 5 shows that CAD vs. USD CCS notional traded was over $185 billion for January 2025 – a record month.
- The USD LIBOR cessation prompted trading to switch from CDOR vs. LIBOR to CDOR vs. SOFR at the end of 2021.
- CORRA-SOFR trading became material in the second half of 2022.
- The CORRA-first initiative starting 27 March 2023 seems to have significantly downrated CDOR vs. SOFR trading.
- CDOR vs. SOFR all but disappeared by the end of 2023 – well ahead of CDOR cessation in mid-2024.
Now we come to CAD swaptions.
Chart 6: Month-by-month CAD swaptions trade volumes by index (notional USD millions). Source: SDRView.
Chart 6 shows that CAD swaptions traded CAD 7.x billion notional in May 2025 – a record month finally outstripping the prior record from all the way back in April 2017.
- CORRA swaptions start to be material in late 2022.
- The CORRA-first initiative starting 27 March 2023 seems to have stopped CDOR swaptions trading almost completely from April onwards. SDRView only has further volume in May 2023.
For both CCS and swaptions, legacy trading stopped before cessation – even buy side legacy trading. However, given no centralized trade conversion process, open trades would have remained on participants books, requiring cumbersome fallback processing to manage expiry and settlement. Unfortunately, we cannot size this population as SDRs do not calculate and publish OI.
Vanilla swap SEF trading
Given the deeper dive into CDOR conversion in this post, I will stop there and cover CAD swap SEF trading in a separate blog sometime soon.
That’s it
Seven charts gave us an overview of the CAD CDOR-CORRA transition for all relevant interest rate derivatives instruments. The ability of CCPView to zoom into day-by-day activity helped us to isolate the CCP conversion effects.
In summary, the data are consistent with all the milestones being met on schedule. The bigger and more complex IBOR-RFR transitions in other currencies before CAD no doubt helped the CARR, CCPs, and market participants to improve approaches and focus on what worked in the prior transitions’ playbooks.
In the transition, CAD IRD have moved to a simpler, single-index environment with fewer products traded and less need to manage basis risk and reset risk. Nevertheless, CAD IRD volumes have gone on to thrive and all products have exceeded prior volume peaks. For more details, please contact us for a CCPView demonstration.