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 background, access our key documents, market notices, meetings, and membership.

Background

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. This global work is now at a key inflection point with the confirmation that LIBOR, a key global interest rate benchmark, will cease being published at end-2021 (and end-June 2023 for key USD LIBOR tenors). As LIBOR’s cessation nears, global liquidity is expected to shift to products referencing risk-free rates, even in countries like Canada where LIBOR is not a predominant rate.

To coordinate Canadian interest rate reform, 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 and encourage 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.

Key documents

Governance documents

• CARR Terms of Reference
  Formal outline of CARR’s mandate
• Competition law policy
  Outlines how the Competition Act applies to CARR, and the steps CARR takes to address potential competition issues

Overviews

• CDOR White Paper
  See the executive summary and size and scope of CDOR and BAs.
  Read related statements from RBSL and ISDA.
• Transition Roadmap
  Outline of the processes and timelines needed for the transition from CDOR for Canadian market participants
• Canadian benchmark reform presentation
  Detailed overview of the progress of Canadian benchmark reform efforts
• Presentation to CFIF on CDOR
  CARR’s key findings in its stock take on CDOR and CORRA
• Quick background Canadian benchmark reform
  Overview of Canadian benchmark reform efforts
• Enhancements to CORRA calculation methodology
  Description of improvements to the way CORRA is calculated, implemented when the Bank of Canada became CORRA’s administrator
• Risk-free rates in other jurisdictions
  Overview of the main risk-free interest rates used globally

Conventions and fallback language

Recommended conventions

• CORRA FRN conventions
  Contractual terms for floating rate notes referencing CORRA
• Inter-bank swap conventions for CDOR-SOFR and CORRA-SOFR
  Contractual terms for swaps between two banks that reference CORRA and either CDOR or SOFR
• CORRA loan conventions
  Also: a worked Excel example of these conventions and a comparison to conventions in other jurisdictions
• Methodology for CORRA compounded-in-arrears
  Overview of the methodology

Recommended fallback language

• CDOR FRN fallback language
  Language to include in FRNs referencing CDOR to describe what happens to the FRN if CDOR is discontinued. See also the consultation paper.
• CORRA FRN fallback language
  Language to include in FRNs referencing CORRA to describe what happens to the FRN if CORRA is discontinued.
• ISDA’s Fallbacks Supplement
  Legal language that describes what happens to derivatives written under ISDA’s standard definitions. See pages 69-76 for Canadian rates.

Consultations

• Term CORRA consultation and feedback form
  A consultation for a potential forward looking Term CORRA benchmark to replace CDOR in certain types of loan facilities. This consultation will form the basis of any decision to create such a rate and will be open until June 13, 2022.

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

Contact