Background on CORRA
The Bank of Canada took over the calculation and publication of the Canadian Overnight Repo Rate (“CORRA”) on June 15, 2020 , subsequent to its selection by the Canadian Alternative Reference Rate Working group to identify a CAD risk-free rate benchmark.
CORRA data and calculation methodology are available here.
CCPView has TMX Futures volumes, so let’s look at the new contract, TMX CRA.
Showing the first open interest on 15-Jun-2020 and rising over the month to reach C$2.45 billion notional equivalent.
The jumps in OI mean the volume is lumpy on specific days and we saw volume in 13 out of 20 trading days in the period.
So an encouraging start for the first month and it will be interesting to see how volumes and OI develops over the course of the year.
To get an idea of potential size, let’s compare with other CAD Futures and Swaps.
TMX BAX and CGB Futures
Starting with TMX BAX Futures, the major Canadian short term interest rate contract (referencing CDOR) and TMX CGB Futures, government bond futures.
Showing as of 10th July 2020, BAX Futures with OI of C$938 billion, CGB Futures with C$66 billion and CRA Futures with $2.45 billion not yet visible in the chart.
If we simply take the 1:8 ratio that we see in Swaps and apply it to Futures, the CORRA Future could get to C$120 billion OI (1/8 of BAX OI of C$938b), showing the huge potential for CORRA Futures volume and open interest growth.
That’s it for today.
A short one.
For more detail I would recommend our earlier article:
To track volumes on CAD Futures and Swaps.