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CORRA Futures Overview

As part of worldwide efforts by many jurisdictions to promote the development and adoption of alternative reference rates, the Montréal Exchange has expanded Canada’s fixed income futures product suite to address global risk management needs.

CONTEXT

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

FR

Final Settlement Price - 3M CORRA Futures

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

Excerpt of the document that was approved by the Montréal Exchange’s Rules and Policies Committee regarding the CORRA Futures initiative. This document contains information on:

  • Background and context
  • Description and objectives
  • Comparative analysis (benchmarking)
  • Impact analysis

Detailed Analysis

3M CORRA  Futures Brochure

Trading Strategies

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 Futures Launch Video

The final settlement price is based on the realized CORRA value during the reference quarter. For detailed calculation examples 

click 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.

CORRA WEBINAR  1

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

CORRA WEBINAR  2

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

Spreading 3M CORRA Futures against BAX Futures

CORRA WEBINAR  3

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