Meeting
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October 16, 2019
CFIF Meeting: October 16, 2019
Agenda, Minutes, Canadian Fixed-Income Market Liquidity, Global Benchmark Reform Status Update, GoC market functioning framework industry outreach, A National Public Mortgage Database -
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September 23, 2019
ISDA IBOR Fallback Update
A guest speaker from ISDA provided an overview of ISDA’s consultation on final parameters for benchmark fallback adjustments. This consultation seeks input on the final parameters that will apply to RFRs if derivative fallbacks are triggered and interbank offered rate contracts convert to contracts referencing adjusted versions of the RFRs. -
September 23, 2019
Enhanced CORRA Case Study
The Bank of Canada presented a case study on how CORRA would have behaved under the enhanced calculation methodology compared to the current methodology during abnormal market conditions seen on the 12 of June 2019 when CORRA set 14bps below the Bank of Canada’s target rate. Enhanced CORRA was found to have better-reflected overall market conditions because it represents a much larger volume of trades and trims the lowest 25% of trades, by repo rate. -
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