Canadian Alternative Reference Rate Working Group

The Canadian Alternative Reference Rate Working Group (CARR) was created to ensure Canada’s interest rate benchmark regime is robust, relevant and effective in the years ahead. 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.

CARR’s primary objectives will be to:

1. support the adoption of, and transition to, the Canadian Overnight Repo Rate Average (CORRA) as a key financial benchmark for Canadian derivatives and securities; and
2. analyze the current status of the Canadian Dollar Offered Rate (CDOR) and its efficacy as a benchmark, as well as make recommendations on the basis of that analysis.

CARR also oversees the CORRA Advisory Group.

Terms of Reference

Overview on Financial Benchmark Reform Efforts

• Global and Domestic Overview
• Enhancements to the calculation methodology for CORRA
• Webinar
• Risk-Free Rates in International Jurisdictions
• Overview of Canadian interest rate benchmark reform

Publications

September 23, 2019

• ISDA IBOR Fallback Update
• Enhanced CORRA Case Study

June 24, 2019

• Stakeholder Presentation Overview on Financial Benchmark Reform Efforts

February 26, 2019

• Consultation Paper—Enhancements to the Canadian Overnight Repo Rate Average

January 10, 2019

• Principles for Enhancements to Fallback Language

November 19, 2018

• Recommendation from Alternative Rates Subgroup on methodology for an enhanced CORRA

September 17, 2018

• CDOR and CORRA in Financial Markets–Size and Scope

June 25, 2018

• Update from Alternative Rates Subgroup on Potential Alternatives to CORRA

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

Observers

Canadian Derivatives Clearing Corporation

LCH

McMillan LLP

Montréal Exchange

Rotman School of Management

Contact

Email: