Canadian Interest Rate Expectations Tool

Three Month CORRA Futures (CRA)

One Month CORRA Futures (COA)

CORRA Futures Final Settlement Prices

The CORRA Futures Final Settlement Prices are directly influenced by the Bank of Canada's (BoC) overnight repo target rate decision since the underlying benchmark rate (CORRA), which measures the average cost of Canadian dollar overnight general collateral funding, closely tracks the overnight target rate on a daily basis. This tool aims to assess the impacts of potential BoC target rate decisions on 3-Month CORRA Futures prices (CRA) and 1-month CORRA Futures prices (COA). The user can see how the expected final settlement prices of the CRA and COA contract moves based on different BoC target rate decision path.

Inputs:

Blue cells: These correspond to the BoC target rate at the beginning of the front month CRA (or COA) contract Reference Period, and to the daily spread (in bps) that CORRA is expected to have (vs BoC target rate) until the next BoC announcement date.

Yellow cells: For each BoC announcement date, the user can input the decision he wants. The impact on the CORRA Futures prices can then be observed and compared to the prices quoted in the market.

One Month CORRA Futures (COA)

BoC Target Rates (based on COA prices)

Probability theory can be used to determine the likelihood that the BoC will change the overnight repo target rate, based on market expectations. The price of the COA contracts (which isolate each BoC announcement dates), can provide useful information on the probability of such overnight target rate movement. The below table calculates implied probabilities of BoC target rate movements based on COA prices. An illustration of the strategy and calculation can be found on the CORRA landing page. This tool is comparable to the WIRP function in Bloomberg based on the CAD OIS swap curve.