TMX Datalinx and CanDeal Benchmark Solutions have collaborated to launch the Term CORRA (Canadian Overnight Repo Rate Average,) a new official Canadian loan benchmark set to replace Term CDOR next year.
The production launch date for the distribution of the Term CORRA 1- and 3-month Reference Rates is set for September 5, 2023.
Louise Brinkmann, Head of CanDeal Benchmark Solutions, said: “These forward-looking term rates are destined to replace CDOR with a risk-free, robust standard for transacting across the Canadian loan and derivatives markets.”
“TMX Datalinx’s role in the upcoming industry transition to Term CORRA represents an important step forward for our benchmark and indices strategy, while enriching the core content we provide to clients,” added Michelle Tran, President, TMX Datalinx.
“We are excited to work with the CanDeal team in the distribution of the Term CORRA benchmark, and to explore further opportunities for new products based on Term CORRA.”
CanDeal/TMX Term CORRA (Term CORRA) has been designed to be a robust benchmark that adheres to IOSCO’s Principles for Financial Benchmarks.
Term CORRA will be calculated and published by CanDeal Benchmark Solutions using price and trade data from CORRA futures contracts traded on the Montréal Exchange.
CanDeal Benchmark Solutions will publish the rates on its website on a T+1 basis for free and they will be available in real-time on the day of calculation at 1 PM ET through TMX Datalinx or licensed data distributors.
The use of the rate will be restricted to the Term CORRA use cases developed by the Canadian Alternative Reference Rate working group (CARR).
Market participants that develop or have products that align with CARR’s use cases referencing Term CORRA will need to enter into a commercial licensing agreement with TMX Datalinx.
CanDeal Benchmark Solutions has worked closely with CARR to adapt and implement CARR’s recommended calculation methodology for Term CORRA Reference Rates.
Term CORRA’s input pricing is based on actual futures contract transactions, as well as bids and offers on CORRA futures contracts, thus making it a reliable interest rate measure.
“The launch of the Term CORRA reference rates marks an exciting milestone in bringing a new benchmark to the Canadian markets. Through our collaboration with TMX Datalinx to distribute these new rates, the market can look forward to a reliable interest rate measure,” said Andre Craig, President, CanDeal Data & Analytics.
