See you CDOR

The Canadian CDOR rate will merit at least a small footnote in financial history as the first IBOR over the cliff. On 12 November, the CDOR administrator Refinitiv Benchmark Services (UK) Limited announced that it will cease to calculate and publish the rate’s 6 and 12 month tenors from 17 May 2021. In the absence of a successor administrator, the announcement constitutes an Index Cessation Event for the purpose of the Fallback Protocol. The Index Cessation Effective Date, will accordingly be 17 May 2021, the first date of non-publication triggering the application of the CORRA fallback rate. Bloomberg has confirmed the occurrence of a Tenor Cessation Trigger Date and a Spread Adjustment Fixing Date of 123 November 2020. Refinitiv clarifies that cessation only applies to the 6 and 1 month CDOR tenors, the 1, 2 and 3-month rates are unaffected. ISDA has published a guidance note detailing the application of the Supplement and Protocol to the two CDOR tenors.

In related news, Libor’s administrator ICE Benchmark Administration announced that it will consult on its intention to cease publication of all GBP, EUR, CHF and JPY Libor rates by 31 December 2021. While this obviously does not constitute a cessation event, it is perhaps the first step in Libor’s long funeral march.

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