06.16.2020

Montréal Exchange Launches CORRA Futures

06.16.2020
Shanny Basar
Montréal Exchange Launches CORRA Futures

Montréal Exchange (MX), Canada’s derivatives exchange, announced the launch of CORRA Futures, a new three-month futures contract based on the Canadian Overnight Repo Rate Average (CORRA) benchmark. The launch coincides with the Bank of Canada taking over the administration of the CORRA interest rate benchmark. CORRA is designed to measure the average cost of overnight general Government of Canada collateral repo transactions and serves as a representative measure of overnight funding rates.

“The launch of CORRA Futures is the culmination of an inspiring, collaborative effort between Montréal Exchange and the Bank of Canada, in conjunction with our partners across the industry to position Canada as a leader in the global transformation from IBOR based to transaction-based reference rate benchmarks,” said Luc Fortin, President and Chief Executive Officer of MX and Global Head of Trading, TMX Group. “As the crucial work now begins and we strive to build liquidity and support the ongoing growth of this new product, we continue to focus on new ways to address client and stakeholder needs and to foster more transparent and robust Canadian markets.”

The Bank of Canada has implemented enhancements to the CORRA calculation methodology developed under the guidance of the Canadian Alternative Reference Rate Working Group (CARR), to establish a less volatile and more reliable benchmark of the target for the overnight rate.

“Developing a robust futures market is an important step in establishing CORRA as a key interest rate benchmark in Canada,” said Harri Vikstedt, Senior Director, Financial Markets Department, Bank of Canada. “We look forward to the widespread use of the Montreal Exchange’s new CORRA futures contract.”

In alignment with similar overnight risk-free reference rates published by other central banks and in compliance with international regulatory standards, CORRA is based on transaction-level repo data submitted to the Investment Industry Regulatory Organization of Canada, or IIROC, through the Market Trade Reporting System. For the complete CORRA methodology, please visit the Bank of Canada’s website.

Three month CORRA Futures were listed for trading on Friday, June 12 at 7:00 a.m. EDT.

Source: Montréal Exchange

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