Canadian Alternative Reference Rate Working Group: Key documents

Find key documents and reference material related to the Canadian Alternative Reference Rate Working Group (CARR).

For more information, .

Data

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
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

Outline of the processes and timelines needed for the transition from CDOR for Canadian market participants

Deputy Governor Toni Gravelle discusses some important changes that may be coming to Canada’s interest rate benchmarks.

Deputy Governor Toni Gravelle participates in a panel discussion at the International Swaps and Derivatives Association (ISDA).

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

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.