The Canadian Alternative Reference Rate Working Group (CARR) was created to identify and seek to develop a new term risk-free Canadian dollar interest rate benchmark. On this page, you can find more information about our mandate, market notices, publications, meetings, and membership.
Mandate
Interest rate benchmarks are a cornerstone of the global financial system and are used by market participants across a wide range of financial products and contracts. In 2013, the Financial Stability Board (FSB) established the Official Sector Steering Group (OSSG) to advise the FSB on recommendations to strengthen existing interbank offered rate benchmarks (commonly known as IBORs), as well as to promote the development of alternative risk-free or nearly risk-free reference rates that could be used for some types of transactions. Both existing and new benchmarks would need to adhere to international regulatory standards, including the International Organization of Securities Commissions (IOSCO) Principles for Financial Benchmarks.
In response, Canada established the Canadian Alternative Reference Rate Working Group—sponsored by the Canadian Fixed-Income Forum—to identify and seek to develop a Canadian dollar term risk-free rate benchmark that is robust, reliable, and resilient to any market stress, as well as consistent with the IOSCO Principles for Financial Benchmarks and compliant with any applicable regulations. CARR will also explore possible enhancements to the existing Canadian overnight risk-free rate, the Canadian Overnight Repo Rate Average (CORRA).
Overview on Financial Benchmark Reform Efforts
Market Notices
February 26, 2019
The Bank of Canada, on behalf of the Canadian Alternative Reference Rate Working Group (CARR), has published a consultation on proposed enhancements to the Canadian Overnight Repo Rate Average (CORRA) risk-free interest-rate benchmark.
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)
Content Type(s):
Press,
Market Notices
January 10, 2019
The Bank of Canada today published the Canadian Alternative Reference Rate Working Group (CARR) principles for enhancements to fallback language for cash products.
Bank of Canada publishes the Canadian Alternative Reference Rate Working Group principles for enhancements to fallback language
Content Type(s):
Press,
Market Notices
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Publications
September 23, 2019
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.
ISDA IBOR Fallback Update
Content Type(s):
Meeting,
Presentation
September 23, 2019
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.
Enhanced CORRA Case Study
Content Type(s):
Meeting,
Presentation
June 24, 2019
An overview of global financial benchmark reform efforts, international work on risk-free rates, the formation and work of Canadian Alternative Reference Rate Working Group (CARR), and proposed enhancements on Canadian Overnight Repo Rate Average (CORRA).
Stakeholder Presentation Overview on Financial Benchmark Reform Efforts
Content Type(s):
Meeting,
Presentation
February 26, 2019
Consultation Paper—Enhancements to the Canadian Overnight Repo Rate Average
Content Type(s):
Meeting,
Presentation
January 10, 2019
Principles for Enhancements to Fallback Language
Content Type(s):
Meeting,
Presentation
November 19, 2018
Recommendation from Alternative Rates Subgroup on methodology for an enhanced CORRA
Content Type(s):
Meeting,
Presentation
September 17, 2018
CDOR & CORRA in Financial Markets–Size and Scope
CDOR & CORRA in Financial Markets–Size and Scope - September 17, 2018
Content Type(s):
Meeting,
Presentation
June 25, 2018
Update from Alternative Rates Subgroup on Potential Alternatives to CORRA
Update from Alternative Rates Subgroup on Potential Alternatives to CORRA - June 25, 2018
Content Type(s):
Meeting,
Presentation
Membership
Co-Chairs
Harri Vikstedt
Senior Director, Financial Markets
Bank of Canada
Karl Wildi
Managing Director and Vice-Chair, Global Markets
CIBC Capital Markets
Market Representatives
Alberta Investment Management Corporation
Bank of America Merrill Lynch
Bank of Montreal
Canada Mortgage and Housing Corporation
Canadian Imperial Bank of Commerce
Manulife
National Bank of Canada
Ontario Teachers’ Pension Plan
PIMCO
PSP Investments
Royal Bank of Canada
Scotiabank
Sun Life Financial
TD Bank
Observers
Canadian Derivatives Clearing Corporation
LCH
Montréal Exchange