Bank of Canada to begin publishing CORRA Compounded Index

As administrator of the Canadian Overnight Repo Rate Average (CORRA), the Bank of Canada (Bank) will begin publishing the CORRA Compounded Index effective April 6, 2021. It will also publish the first quarterly summary of publication errors at the same time.

The CORRA Compounded Index is a measure of the cumulative impact of CORRA daily compounding over time, starting from a base value of 100 on June 12, 2020. The index can be used to calculate CORRA compounded rate between any two dates. The calculation and publishing process for the CORRA Compounded Index has been added to the CORRA methodology. For illustrative examples of the compounding methodology and sample use of CORRA Compounded Index, see the consultation paper.

By making this index publicly available, the Bank makes it easier for market participants to calculate interest and coupon payments for securities that use daily compounded CORRA-in-arrears. The Canadian Alternative Reference Rate working group encourages the use of this compounding methodology for financial products. This methodology is also consistent with the approach taken by the Federal Reserve Bank of New York and the Bank of England for their respective reference rates.

To support the transparency of CORRA and its data quality, the Bank will disclose on a quarterly basis the summary information on the calculation, publication and reporting of errors that are detected after publication. Despite verifications made by Investment Industry Regulatory Organization of Canada (IIROC) and the Bank, data late submissions or revisions made by reporting entities after the submission deadline, or technical difficulties experienced by the Bank or IIROC may, on occasion, affect data quality and ultimately CORRA.

These details are provided for information purposes only. After the CORRA republication deadline has passed, no amendments will be made to the published CORRA rate under any circumstances.

The Bank publishes this important Canadian interest rate benchmark and its associated statistics at no cost and as a public good. The Bank is committed to ensuring that CORRA is:

• a robust, reliable and representative measure of the secured overnight funding rate;
• readily available for use globally as a key Canadian interest rate benchmark; and
• consistent with the Principles for Financial Benchmarks set out by the International Organization of Securities Commissions.

Market inquiries

Senior Director
Financial Markets Department
Bank of Canada
613‑782‑7768

Director
Financial Markets Department
Bank of Canada
613‑782‑7172

Media inquiries

Media Relations
Bank of Canada