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1M, 3M and Options on 3M CORRA Futures Contract Specifications and Overview
CORRA Futures
Final Settlement Price
1M and 3M CORRA
Futures Overview
CORRA measures the average cost of overnight general Government of Canada collateral repo transactions and is a representative measure of overnight funding rates.
As part of its efforts to increase the robustness and representativeness of the benchmark rate, the Bank of Canada has implemented enhancements to the CORRA calculation methodology. The enhancements to CORRA result in a rate that is less volatile and closer to the Bank of Canada’s target for the overnight rate, on average.
The complete methodology as well as an illustrative historical time series are available on the Bank of Canada website.
What is CORRA?
The final settlement price is based on the realized CORRA value during:
- The contract month (1M CORRA Futures)
For calculation examples
The reference quarter (3M CORRA Futures)
For calculation examples
1M and 3M CORRA Futures Product Specifications
Hedging an expected change in the overnight repo rate target
Predicting a change in the Canadian overnight repo rate target
1M CORRA Futures
Options on the Three-Month CORRA Futures
OCR Strategies
Trading Strategies
Predicting a change in the Canadian overnight repo rate target
International spread between CRA and SR3 (CRA-SR3 spread)
MONTRÉAL EXCHANGE
3M CORRA Futures
Illustration of final settlement price calculation for 3M CORRA Futures
Benefits
Regulatory Friendly
Capital & Margin Efficiencies
Operational Efficiencies
Trading Opportunities and Hedging Strategies
Facilitate Access to Canadian Overnight Index Swap (OIS) Market
Flexibility of Trading
MX now offers one-month (1M) and three-month (3M) CORRA Futures to facilitate the overall transition from IBORs (InterBank Offered Rates) to RFRs (Risk-Free Rates) in Canada.
The products were launched in conjunction with the Bank of Canada taking over the administration of CORRA, and are designed to support and foster the growing role this rate will play in the market for Canadian financial products.
Hedging an expected change in the overnight repo rate target
New: Market Making Program on Options on Three-Month CORRA Futures (OCR)
The Bourse is pleased to announce that a new market-making program for Options on Three-Month CORRA Futures (OCR) has been implemented, fostering on-screen liquidity. The program, in partnership with TD Securities and BMO Capital Markets, allows participants to better customize their CORRA exposure and manage non-linear risk.
Market Makers
TD Securities and BMO Capital Markets
