What Is CORRA? The Canadian Overnight Repo Rate

The Canadian Overnight Repo Rate Average (CORRA) is a financial benchmark in Canada. It is a key interest rate used across Canadian financial markets, indicating the cost of overnight collateralized borrowing.

Understanding CORRA

CORRA, or Canadian Overnight Repo Rate Average, measures the average cost of overnight collateralized borrowing in the Canadian money market. It is Canada’s primary risk-free rate (RFR), based on actual overnight repurchase agreement (repo) transactions secured by Government of Canada securities. Its transaction-based nature distinguishes it from previous benchmarks.

CORRA has become central to the global transition away from interbank offered rates like the London Interbank Offered Rate (LIBOR). In Canada, CORRA officially replaced the Canadian Dollar Offered Rate (CDOR) as the main reference rate for many financial products in June 2024. This shift aligns Canada with international standards for benchmark reform.

How CORRA is Determined

The Bank of Canada calculates CORRA daily using transaction-level data from eligible overnight repo trades. These transactions involve Canadian-dollar-denominated Government of Canada treasury bills and bonds as collateral. The data is sourced from repo trades reported by market participants, including banks and investment dealers, to the Canadian Investment Regulatory Organization (CIRO) through the Market Trade Reporting System (MTRS).

To determine CORRA, the Bank of Canada computes a daily trimmed volume-weighted median of these eligible repo transactions. This methodology involves ordering eligible repos from the lowest rate to the highest, then removing the 25 percent of the volume with the lowest rates to exclude outlier transactions. The resulting rate reflects the true cost of overnight secured funding. The official CORRA rate is published by 9:00 a.m. ET each business day for the previous day’s activity.

Applications of CORRA

CORRA functions as a reference rate for financial products within Canadian financial markets. It underpins interest rate derivatives, such as overnight index swaps (OIS) and futures contracts, offering a risk-free benchmark for pricing and hedging. Financial institutions, investors, and corporations utilize CORRA for structuring new loans, managing interest rate risk, and issuing new debt.

Floating-rate bonds and syndicated loans commonly reference CORRA for their interest rate calculations. For instruments with longer interest periods, CORRA’s daily values are compounded in arrears, providing a consistent calculation methodology across financial products. The adoption of CORRA impacts how financial instruments are priced and how risk is managed.

While most financial instruments reference the overnight CORRA, a forward-looking Term CORRA has been developed for specific uses. Term CORRA is intended for applications such as business loans, trade finance, and single-currency derivatives used for hedging those loans. This provides flexibility for market participants who prefer a term rate for forecasting cash flows.

Finding Current CORRA Rates

The Bank of Canada’s official website is the primary source for current and historical CORRA rates. The Bank publishes the official rate daily by 9:00 a.m. ET. Users can access the latest data for CORRA and its compounded index directly from the Bank’s statistics section.

Reputable financial news websites and data distributors track and display CORRA rates. These platforms provide both current values and historical data. When seeking the rate, look for the Canadian Overnight Repo Rate Average (CORRA) or its symbol, which is listed alongside other money market yields.