This document is made available for general information purposes only. The information provided in this document, including financial and economic data, quotes and any analysis or interpretation thereof, is provided solely for information purposes and shall not be construed in any jurisdiction as providing any advice or recommendation with respect to the purchase or sale of any derivative instrument, underlying security or any other financial instrument or as providing legal, accounting, tax, financial or investment advice. Bourse de Montréal Inc. recommends that you consult your own advisors in accordance with your needs before making decision to take into account your particular investment objectives, financial situation and individual needs. All references in this document to specifications, rules and obligations concerning a product are subject to the rules, policies and procedures of Bourse de Montréal Inc. and its clearinghouse, the Canadian Derivatives Clearing Corporation, which prevail over this document. Although care has been taken in the preparation of this document, Bourse de Montréal Inc. and/or its affiliates do not guarantee the accuracy or completeness of the information contained in this document and reserve the right to amend or review, at any time and without prior notice, the content of this document. Neither Bourse de Montréal Inc. nor any of its affiliates, directors, officers, employees or agents shall be liable for any damages, losses or costs incurred as a result of any errors or omissions in this document or of the use of or reliance upon any information appearing in this document. TMX, the TMX design, TMX Group are trademarks of TSX Inc.used under licence. MX is a trademark of Bourse de Montréal Inc. All other trademarks contained in this video are the property of their respective owners.
© Bourse de Montréal Inc. All rights reserved.
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?
CORRA Webinars
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
Featuring Harri Vikstedt
Senior Director, Financial Markets, Bank of Canada
Featuring Craig Bell
Managing Director, Canadian Interest Rate Trading, CIBC Capital Markets
Hedging an expected change in the overnight repo rate target
Predicting a change in the Canadian overnight repo rate target
Hedging an expected change in the overnight repo rate target
Trading Strategies
Predicting a change in the Canadian overnight repo rate target
International spread between CRA and SR3 (CRA-SR3 spread)
Featuring Douglas Paul
Director, Fixed Income, Alberta Investment Management Corporation
MONTRÉAL EXCHANGE
3M CORRA Futures
1M 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.
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
