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CORRA Futures Overview

In March 2018, Canada established the Canadian Alternative Reference Rate ("CARR") Working Group to identify and seek to develop a Canadian dollar term risk-free rate benchmark that is robust, reliable, and resilient to any market stress, as well as consistent with the IOSCO Principles for Financial Benchmarks and compliant with any applicable regulations. The term risk-free rate would act as a complementary reference rate for the Canadian market and would operate alongside the Canadian Dollar Offered Rate (CDOR). The Working Group has recommended an enhanced version of the existing Canadian Overnight Repo Rate Average (CORRA) as the preferred Canadian risk-free rate. 

CORRA Futures

Final Settlement Price

Find out more about 1M and 3M CORRA Futures, as well as product benefits and opportunities!

1M and 3M CORRA Futures Overview

Interest Rate Benchmark Transition Overview

MX now offers three-month (3M) CORRA futures to facilitate the overall transition from IBORs (InterBank Offered Rates) to RFRs (Risk-Free Rates) in Canada. The product was launched on June 12, 2020, in conjunction with the Bank of Canada taking over the administration of CORRA, and is designed to support and foster the growing role this rate will play in the market for Canadian financial products.

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 reference quarter (3M CORRA Futures)

For calculation examples

  • The contract month (1M CORRA Futures)

For calculation examples

click hereclick here

Overview of the North American interest rate benchmark transition and its impacts on the financial industry, with a particular focus on the Canadian context and the launch of CORRA Futures.

The Montréal Exchange is currently focusing on developing 3M CORRA Futures, but is also building the infrastructure needed to quickly support 1M CORRA Futures if there is sufficient market demand.

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

1M CORRA Futures

Trading Strategies

Hedging an expected change in the overnight repo rate target

Predicting a change in the Canadian overnight repo rate target

Spreading 3M CORRA Futures against BAX Futures

Featuring Douglas Paul
Director, Fixed Income, Alberta Investment Management Corporation




Regulatory Friendly 

Capital & Margin Efficiencies  

Operational Efficiencies  

Trading Opportunities and Hedging Strategies  

Facilitate Access to Canadian Overnight Index Swap (OIS) Market 

Flexibility of Trading  

Refinitiv Launches Public Consultation on the Potential Cessation of CDORCARR publishes White Paper on the recommended future of CDORNorth American Interest Rate Benchmark Transition and CORRA FuturesCanadian Benchmark Transition & CORRA Futures Overview

CDOR Transition Webcast Series 

Gain insights from banking industry and market experts

CARR welcomes RBSL’s decision to cease the publication of CDOR after June 28, 2024Refinitiv Benchmark Services: Announcemnet of Cessation of CDOR in June 2024

Recent Updates

CARR’s CORRA-first initiatives for derivatives to begin on January 9FAQ – Transitioning to CORRA

In May 2022, Montréal Exchange launched a market making program on 3-Month CORRA Futures (CRA). 
The program is set to gradually improve liquidity conditions in CRA contracts facilitating the transition to CORRA as a key benchmark rate.

Market Makers

National Bank Financial and TD Securities

Market Making Program on CORRA


As part of the global efforts put forward by many jurisdictions to promote the development and adoption of alternative reference rates, the Montréal Exchange (MX) is expanding Canada’s fixed income futures product suite to address global risk management needs.

3M CORRA Futures

Illustration of final settlement price calculation for 3M CORRA Futures