Canada
Canada's overnight rate is termed the Overnight Money Market Financing Rate (OMMFR), a rate determined as an estimate based on an end of day survey by the Bank of Canada (BOC) banks. The OMMFR is a weighted average of repo funding costs by money dealers (Reid 2007). It is a one-day rate that measures the cost for securities dealers to finance their operations.
The Canadian Overnight Repo Rate is a weighted average of GC rates of repo transactions between 6:00 a.m. and 4:00 p.m. and is employed to measure intraday and end-of-day levels of the OMMFR (Reid 2007). The reason for using the OMMFR is it is not as volatile as the CORRA rate, plus many more transactions occur in Canada's interbank market (Reid 2007).
One would note from Exhibit ...
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