Canadian Alternative Reference Rate Working Group Launches Consultation

The Canadian Alternative Reference Rate working group (CARR) published a consultation paper today on a proposed methodology for calculating CORRA-in-arrears as well as draft fallback language for floating rate notes (FRNs) that reference CDOR.

The CORRA-in-arrears methodology would be used to create and publish three daily compounded average rates (covering 1-month, 2-month and 3-month tenors) in order to facilitate the use of CORRA in Canadian financial products. A daily CORRA index is also proposed that would allow the calculation of compounded average rates over custom time periods. Similar indexes and averages have been developed in other jurisdictions, since having a transparent calculation methodology that firms can rely upon can help support market liquidity by improving standardization.

The draft fallback language for FRNs referencing CDOR is also intended to help promote the development of a common fallback market convention. This language could be voluntarily included in the documentation of newly-issued FRNs.

CARR is seeking responses from a broad array of stakeholders that currently have financial instruments referencing CORRA or CDOR, including FRN issuers and investors. Responses to the consultation are requested by December 22, 2020. Please use the consultation response template and return your response to us by .  

For further information, please contact:

Market inquiries


Senior Director
Financial Markets Department
Bank of Canada
613-782-7768


Operations and Policy Advisor
Financial Markets Department
Bank of Canada
613-782-7172

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Bank of Canada
613-782-8782