Bank of Canada publishes the Canadian Alternative Reference Rate Working Group’s Consultation Paper on Proposed Enhancements to the Canadian Dollar Overnight Repo Rate Average (CORRA)

The Bank of Canada, on behalf of the Canadian Alternative Reference Rate Working Group (CARR), published a consultation today on proposed enhancements to the Canadian Overnight Repo Rate Average (CORRA) risk-free interest-rate benchmark. We are conducting this consultation in the context of ongoing global efforts to develop robust, risk-free or nearly risk-free reference rates.

CORRA is a measure of the cost of Canadian dollar overnight general collateral funding in the repurchase agreement (repo) market. It is a risk-free overnight rate based on actual repo transactions and is calculated from on-screen trades conducted through interdealer brokers. Proposed enhancements would expand the range of transactions used in the daily CORRA calculation to include those overnight repos between all counterparty types that are collateralized using either Government of Canada treasury bills or bonds. The proposal also introduces a new methodology for calculating CORRA.

CARR is seeking responses from a broad array of current and potential CORRA end users, such as banks, broker-dealers, non-financial corporations, pension funds, and asset managers. Responses to the consultation are requested by April 30, 2019. Please use the consultation response template provided here and return your response to .

CARR is also launching two new working groups: (i) The Transition Subgroup – which will focus on the transition toward the widespread use of CORRA as a reference rate in Canadian dollar financial products, and (ii) The Term Rate Subgroup – which will focus on the need for and the construction of a term risk-free rate benchmark. Market participants interested in contributing to either of these efforts are invited to email with their contact details.

For further information, please contact:

Market inquiries:

Harri Vikstedt
Senior Director
Financial Markets Department
Bank of Canada

Jean-Philippe Dion
Financial Markets Department
Bank of Canada


Media Relations
Bank of Canada