Find key documents and reference material related to the Canadian Alternative Reference Rate Working Group (CARR).
- 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
- CARR Milestones
One-page transition timeline
- 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
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).
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.