Canada CTA Trading Model
Weekly Income Strategy Reports


The Canadian Dollar Offered Rate, named CDOR, is the recognized benchmark index for bankers' acceptances with a term-to-maturity of one year or less. CDOR serves both money and derivative markets: it is employed for the final settlement price for the BAX futures contracts as well as for the OTC derivatives market synthetic instrument calculations like FRAs and swaps.

CDOR is determined daily from a survey of seven market makers in bankers' acceptances (BA), including:

  • Bank of Montreal
  • Bank of Nova Scotia
  • Commercial Imperial Bank of Commerce
  • National Bank of Canada
  • Royal Bank of Canada
  • Toronto-Dominion Bank

The daily survey of money market rates is derived from bid-side prices provided by survey participants.

The methodology of CDOR is as follows:

For each maturity band (1-month BA, 2-month BA, 3-month BA, 6-month BA, 1-year BA and call markets), the high and the low rates taken from the survey are removed and a simple arithmetic average is calculated for the remaining survey rates. High and low bid prices are excluded to minimize any bias in the results. CDOR is calculated on an annual basis for a 365-day year.

This survey is conducted at 10:00 a.m. ET each business day. The CDOR results are available on Thomson Reuters' network by 10:15 a.m. ET on the same day.

More information on CDOR can be found on Thomson Reuters' website.