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1M, 3M and Options on 3M CORRA Futures Contract Specifications and Overview

CORRA Futures

Final Settlement Price

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

1M and 3M CORRA 
Futures Overview

Interest Rate Benchmark Transition 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



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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.

Montréal Exchange offers 1M and 3M CORRA Futures. View contract specifications.

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

Spreading 3M CORRA Futures against BAX Futures

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

MONTRÉAL EXCHANGE

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CDOR Transition Webcast Series 

Gain insights from banking industry and market experts

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

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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.

The Transition Roadmap, our first webcast developed in partnership with the Canadian Alternative Reference Rate Working Group (CARR), is now available. CARR co-chairs expound on the CDOR cessation, the significance of moving to a risk-free benchmark as well as on important facets of the CDOR to CORRA transition. 

Register today and be the first to know when upcoming webcasts are released.

Montréal Exchange offers Options on 3M CORRA Futures. View contract specifications.

Options on 3M CORRA Futures Contract Specifications

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FAQ, Cheat Sheet, and BAX Fallback Plan

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