Find key documents and reference material related to the Canadian Alternative Reference Rate Working Group (CARR).
For more information,
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- Frequently Asked Questions (FAQs)
Common questions on the transition from CDOR to CORRA
Last updated: July 2024
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
- CARR Milestones
One-page transition timeline - Impact assessment checklist
Document to help firms assess and mitigate their exposures to the CDOR - CDOR White Paper
See the executive summary and size and scope of CDOR and BAs.
Read related statements from RBSL and ISDA. - 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 - Recommendations on CDOR legacy securities
Recommendations on how to deal with CDOR securities which mature after June 28, 2024 - Call to action for CDOR/BA borrowers
Action Required Before June 28, 2024
Speeches and appearances
CARR Webinar presentation
Outline of the processes and timelines needed for the transition from CDOR for Canadian market participants
A Canadian interest rate benchmark regime for the future
Deputy Governor Toni Gravelle discusses some important changes that may be coming to Canada’s interest rate benchmarks.
Panel: International Swaps and Derivatives Association (ISDA)
Deputy Governor Toni Gravelle participates in a panel discussion at the International Swaps and Derivatives Association (ISDA).
Term CORRA
- Term CORRA use cases
List of use cases for Term CORRA as laid out by CARR - Recommended Term CORRA methodology
The recommended methodology for producing Term CORRA - Administration of Term CORRA (bankofcanada.ca)
Explanation on how Term CORRA will be administered - Results of the consultation on term interest rates
A consultation was conducted to create an new term interest rate to replace CDOR which became Term CORRA
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 - Methodology for CORRA compounded-in-arrears
Overview of the methodology - CORRA Loans
- CORRA loan conventions
Also: a worked Excel example of these conventions and a comparison to conventions in other jurisdictions - Recommended definitions and provisions
Recommendations by CARR for loan agreements referencing CORRA - CORRA loan convention comparison table
A comparison for loan conventions between overnight and Term CORRA - Loan transition best practices
Guidance on how to transition CDOR loans to CORRA loans - Term CORRA swap conventions
Recommended terms for Term CORRA to fixed interest rate swaps and for Term CORRA to CORRA basis swaps
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. Illustrative examples on determining the fallback rate on floating rate notes that reference CDOR and accrued interest calculation. See also the consultation paper. - CDOR loan fallback language
Language to include in loans referencing CDOR to describe what happens to the loan if CDOR is discontinued. - 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. - CDS Bulletin and Schedule A template
Information to request that CDS notify its participants via CDS Bulletin of the transition from CDOR to a Fallback Rate.
Key BA Transition Virtual Network (BATVN) documents
- January 2023 White Paper on BA impact
A white paper on the impact of CDOR cessation on the Bankers’ Acceptance market - BA Wind down plan
A proposed plan for the wind down of Bankers’ Acceptances in preparation for the end of CDOR - September 2023 progress update to CFIF
An update on the progress made so far on the transition away from Bankers’ Acceptances