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CARR publishes illustrative examples on determining fallback rates on floating rate notes that reference CDOR

CARR is publishing two presentations to clarify how CARR’s recommended fallback rate for floating rate notes that reference CDOR should be implemented for calculating the coupon and accrued interest post June 2024.

The first presentation from CMHC provides two illustrative examples on how to determine the appropriate fallback rate from the Bloomberg FBAK page for the calculation of the floating rate note coupon. Using Canada Mortgage Bonds examples, the presentation provides guidance on the necessary steps required to determine the fallback rate for all cash securities except NHA MBS. The presentation also includes details on the fallback rate calculation for NHA MBS.

The second presentation, from Bloomberg, demonstrates how the accrued interest is calculated for CORRA based floating rate notes, including for those notes that use CARR’s recommended fallback language.

Participants can refer to CARR’s recommended fallback language for all cash securities except NHA MBS, for further information on fallbacks rates and specific language. CARR’s recommended fallback for NHA MBS is available here.  CMHC’s NHA MBS Advice No. 20 provides additional direction to issuers on the applicable fallback provisions for CDOR in the NHA MBS Program.

About CARR

Canada established CARR, a working group sponsored by the Canadian Fixed-Income Forum, to coordinate Canadian interest rate benchmark reform. CARR’s mission is to ensure Canada’s interest rate benchmark regime is robust, resilient and effective in the years ahead. Over the coming transition period, CARR will support the transition from CDOR to CORRA as the key Canadian interest-rate benchmark.

Visit CARR’s webpage for up-to-date information on the transition, including all of CARR’s key documents, and to sign-up to receive email updates from CARR.

Market inquiries

CARR co-chair
Senior Policy Director
Financial Markets Department
Bank of Canada

CARR co-chair
Managing Director and Vice Chair
CIBC Capital Markets

Media inquiries

Media Relations
Bank of Canada