The Canadian Alternative Reference Rate Working Group (CARR) has proposed expanding the range of transactions used to calculate CORRA and introducing a new methodology for calculating the RFR, according to a consultation paper published by the Bank of Canada. CARR proposed that the RFR would be based on all overnight repo transactions using Government of Canada bonds and treasury bills as collateral. In its submission, the bank said it was “concerned about the potential impact this proposal could have on Canada’s financial system in terms of increased volatility or credit spreads.” A Bank of Canada working group proposes expanding the range of transactions used in the calculation of the Canadian Overnight Repo Rate Average (CORRA) interest-rate benchmark, according to a consultation paper published by the central bank on Tuesday. The group also announced the launch of two new working groups, one tasked with transitioning widespread use of the RFR and the other with constructing a term RFR benchmark.
The Canadian Alternative Reference Rate Working Group (CARR) has proposed expanding the range of transactions used to calculate CORRA and introducing a new methodology for calculating the RFR, according to a consultation paper published by the Bank of Canada. CARR proposed that the RFR would be based on all overnight repo transactions using Government of Canada bonds and treasury bills as collateral. In its submission, the bank said it was “concerned about the potential impact this proposal could have on Canada’s financial system in terms of increased volatility or credit spreads.” The group also announced the launch of two new working groups, one tasked with transitioning widespread use of the RFR and the other with constructing a term RFR benchmark.