Find key documents and reference material related to the Canadian Alternative Reference Rate Working Group (CARR).
- 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
Speeches and appearances
Outline of the processes and timelines needed for the transition from CDOR for Canadian market participants
Conventions and fallback language
- 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.