Updates to the Overnight Money Market Financing Rate

As part of a periodic exercise to review and update current definitions, the Overnight Money Market Financing Rate (OMMFR) has been updated to provide more clarity on the calculation of this metric, specifically the types of collateral and transactions that are included.

The OMMFR is an estimate of the collateralized overnight rate compiled at the end of the day by the Bank of Canada through a survey of major participants in the overnight market. It is comprised of the weighted-average overnight funding cost of major money market dealers for general collateral (i.e., non-specific) securities issued directly by the Government of Canada, which includes overnight repos with the Bank of Canada and trades that are conducted directly between dealers as well as with other counterparties.

As part of this review, effective 1 October 2016, the Bank of Canada will also be delaying the publication of the OMMFR by an additional business day, to reinforce that this rate is published for statistical and analytical purposes only and is not intended to be used as a reference rate. Hence, from that date, the OMMFR will be available shortly after 9:00 a.m. ET two business days following its calculation.

For further information, please contact:

Bank of Canada
613 782-8782