What Now for CORRA Contracts?

What Now for CORRA Contracts with photo of author Kevin Dribnenki

The Canadian interest rate markets entered a new phase as CORRA Futures replaced the traditional BAX contracts. In this edition, our updated "BAX Spaghetti" chart illustrates this transition, revealing how the new CRA contracts are performing in today's market environment. As trade tensions create market uncertainty, we examine whether the era of "easy money" in rolldown trading might be ending, and what this means for market participants adapting to Canada's evolving financial landscape.

READ ARTICLE

Related Articles

  • February 24, 2025
    Investors regularly ask us how to calculate the fair value of rolling from the active to new contract for various physical delivery fixed income contracts listed on Montréal Exchange. We discuss here why a complete calculation is unsettlingly complex but suggest that, for most investors, a simplified, option-free, fair value calculation is probably adequate.