Benchmark Reference Rate Reform Update by the Canadian Alternative Reference Rate Working Group (CARR)

Issues and Information Session for an update on the Benchmark Reference Rate Reform initiatives. The co-chairs of the Canadian Alternative Reference Rate Working Group, Harri Vikstedt, Senior Director, Financial Markets, Bank of Canada and Karl Wildi, Managing Director and Vice-Chair, Global Markets, CIBC Capital Markets will discuss this very important initiative from a global and Canadian perspective.

The Benchmark Reference Rate Reform Working Group of the MBSIA (WG) was formed to work with CMHC and other industry participants to raise awareness of the need to prepare for the transition and find solutions for the NHA MBS and CMB floating rate notes that are indexed to CDOR. The list of priorities established by the working group was to focus on the following:

1. Development of robust fallback language for new NHA MBS pools indexed to CDOR
2. Mechanism to amend existing NHA MBS pools indexed to CDOR
3. Creation of NHA MBS pool type(s) indexed to CORRA
4. Mechanism to amend existing CMB FRNs indexed to CDOR

In November 2020 updates were made to the Information Circulars to include fallback language for CDOR based NHA MBS securities. The fallback language is intended to be further updated once CARR makes its recommendations.

The CARR launched a consultation in November seeking comments on recommended hardwired fallback language. The MBSIA hosted an education and information session on the CARR consultation in December 2020.

The WG expects to focus its attention in 2021 to assist CMHC in the incorporation of the CARR recommended fallback language and the creation of a NHA MBS pool type indexed to CORRA.