Term CORRA Documents
- Methodology
- Procedures Applicable to Significant Changes or Cessation
- Unlocking Term CORRA: Methodology, Use Cases, Licensing, and More
- Unlocking Term CORRA: Webcast Recording
- Term CORRA: Canada's Trusted Benchmark (CADC 2023)
- TMX CORRA Futures
- Overview of Canadian Benchmark Reform
- Canadian Alternative Reference Rate (CARR) Working Group
- CARR's Review of CDOR: Analysis and Recommendations
- Term CORRA Benchmark Statement
Term CORRA Errors
| Date | Absolute impact <1bps | Absolute impact 1-3bps | Absolute impact >3bps | Due to technical difficulties | Due to other issues |
|---|---|---|---|---|---|
| Q1-2024 | - | 1 | - | 1 | - |
CanDeal Benchmark Administration Services Inc. (CBAS) calculates Term CORRA rates using order and transaction data for 1- and 3- month CORRA futures traded on the Montreal Exchange and applying a methodology based on the Canadian Alternative Reference Rate Working Group's recommendation to calculate Term CORRA. There are validation checks on the input data and the Term CORRA rates before publication. Despite this, an error may arise when the correct rate is different from the originally published rate. CBAS has a policy for dealing with errors, available here: CBAS Republication Policy.
CBAS updates the error log every quarter with a one-month lag. The log reflects the Absolute Impact and the source of the error. Absolute Impact is the difference between the published rate and the new correct rate. These details are provided for information purposes only. After the CORRA republication deadline has passed, no amendments are made to the published CORRA rate under any circumstances.
The error log displays the size and frequency of errors. CBAS also posts information concerning methodology (L1 or L2) and republication daily with a one-day lag. The historical data is available here.
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Fact Sheets, Articles & Papers
- Fact Sheet
- Benchmark Methodology & Input Data
Videos & Podcasts
Term CORRA: Canada's Trusted Benchmark
Canadian Annual Derivatives Conference Presentation With Andre Langevin (June 8th, 2023)
Frequently asked questions
Find answers to your questions and how to get access to Term CORRA.What is Term CORRA?
Answer: The Term CORRA Rates benchmark is a daily set of forward-looking interest rate estimates, calculated and published for 1-month and 3-month tenors. Term CORRA Rates are:
- Designed to adhere to the IOSCO Principles for Financial Benchmarks
- Compliant with Benchmark Regulations
What data is used in the calculation of Term CORRA?
Answer: Currently, we use transaction and executable bid data from three consecutive COA futures (1-month Montreal Exchange CORRA futures contracts) and two consecutive quarterly CRA futures (3-month Montreal Exchange CORRA futures contracts).
How are Term CORRA Rates calculated?
Answer: A set of Volume Weighted Average Prices (VWAP) are calculated using executed transaction prices and executable bids observed during several observation intervals taken over a two-hour interval from 10:00 and 12:00 EST (Eastern Standard Time). These are then used in a projection model to determine Term CORRA Rates. Full details of the calculation methodology are available in Resources.
When are Term CORRA Rates published?
Answer: Term CORRA Rates will be calculated for each day the Bank of Canada calculates and publishes CORRA, in accordance with the recommended Bank of Canada holiday schedule. There will be no data sampling, calculation, or publication on a Bank of Canada holiday. Publication of the Term CORRA rates will occur on each day at 1:00 pm EST (Eastern Standard Time). See the republication policy on the resources tab.
Contact CanDeal Benchmark Administration Services
To learn more or speak with CanDeal Benchmark Administration Services, contact us
via email at Benchmarks@CanDeal.com or call +1.833.257.9016
For support, contact TMX Datalinx