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:
- 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
- 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.
Market notices
Bank of Canada publishes the Canadian Alternative Reference Rate Working Group principles for enhancements to fallback language
Meetings
CARR Meeting (May 24, 2022)
CARR Meeting (April 25, 2022)
Market Representatives
Jason Chang
Alberta Investment Management Corporation
David Duggan
National Bank of Canada
John McArthur
Bank of America Merrill Lynch
Mike Manning
Ontario Financing Authority
Carol McDonald
Bank of Montreal
Audrey Gaspar
Ontario Teachers’ Pension Plan
Luke Francis
Brookfield
Andrew Bastien
PSP Investments
Louise Stevens
Canada Mortgage and Housing Corporation
Guillaume Pichard
Quebec Ministry of Finance
Karl Wildi
Canadian Imperial Bank of Commerce
Bruce Wagner
Rogers Communications
Brent Clode
Central1
Jim Byrd
Royal Bank of Canada
Yassir Berbiche
Desjardins
Elaine Wright
Samuel, Son & Co
Alan Turner
HSBC
Anuj Dhawan
Scotiabank
Glenn Taitz
Invesco
Brett Pacific
Sun Life Financial
Tom Wipf
Morgan Stanley
Greg Moore
TD Bank
Observers
Ann Battle
ISDA
Robert Catani
Montréal Exchange
Philip Whitehurst
LCH
Alan White
Rotman School of Management
Joshua Chad
McMillan LLP