Why Canada may need to revisit term Corra methodology
Break from US guidance benefits dealers but some futures inputs underpinning term rate are in short supply
When Canada began the process of reforming its legacy interest rate benchmark – the Canadian dollar offered rate, or CDOR – it was widely expected to follow the blueprint used to transition the US market away from Libor.
And it has – with one major twist.
The most striking difference is the official acceptance of interdealer trading in derivatives referencing a term version of the replacement risk-free rate – the Canadian overnight repo rate average, or Corra.
The US authorities placed strict
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