The Investment Industry Association of Canada (IIAC) is going ahead with plans to include trades cleared through a new fixed-income central counterparty in the calculation of the benchmark overnight repo rates, after an industry consultation found unanimous support for the move.
Back in September, the IIAC initiated a consultation on a plan to include trades cleared through the Canadian Derivatives Clearing Corp.’s (CDCC) new fixed-income central counterparty (CCP) system in the calculation of the Canadian Overnight Repo Rate (CORRA).
The CORRA, which measures the average cost of overnight collateralized funding, has historically only included overnight repo transactions conducted through designated inter-dealer brokers as reported to the Bank of Canada. But some of those trades are now being cleared through a new CCP launched by the CDCC in February. As the list of securities cleared through the CCP has expanded, the IIAC has decided to include this activity in the CORRA calculation, too, pending industry feedback on the idea.
On Monday, the IIAC said it received 15 responses to that consultation, including 4 from non-IIAC member organizations. It said that the respondents were unanimous in their view that those trades should be included in the CORRA. “The underlying rationale provided by most respondents was that a broader capture of [general collateral] traded on-screen would contribute to a more meaningful CORRA,” the IIAC said. It added that none of the commenters expressed any concerns with the inclusion of these trades in CORRA.
As a result, the IIAC is proceeding with its proposal by instructing inter-dealer brokers submitting to the CORRA to include all of these trades, effective October 29.