I was searching for an answer to the same question, however the answer here, although it seems a fair solution, is at odds with what's posted on the CRA.
"If you received a pension from another country, report in Canadian dollars your gross foreign pension income received in the year. Use the Bank of Canada exchange rate in effect on the day you received the pension. If you received the pension at different times during the year, use the average annual rate. The average monthly rate and the daily rate are available by visiting the Bank of Canada website"
International transfers always incur a fee. Following the CRA instructions means that I would declare a greater amount than I received, because it stipulates gross income, not the amount minus the fee, which is the amount I see in my Canadian bank account.
