Bank of Canada to take over CORRA repo in 2Q.>

CANADA: Bank of Canada to take over CORRA repo benchmark in 2Q 2020 

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- BOC will begin administering Canadian Overnight Repo Rate Average 

(CORRA), taking over from Refinitiv 

- BOC will become administrator when new framework takes effect 2Q 2020 

- CORRA will capture the entire subset of repo transactions instead of 

just the intra-dealer broker market, which represent approx. 5% of repos 

- Average will be a trimmed volume-weighted median, no longer a mean 

- By volume, bottom 25th percentile of transactions will be excluded 

- BOC intends for CORRA to represent non-specific collateral 

- CORRA less used than key benchmark Canadian Dollar Offered Rate (CDOR)

- CORRA is primarily used in derivatives like overnight index swaps 

- BOC making changes as part of a global effort to move away from 

LIBOR-style rates