What is CORRA? It's a question we get asked all the time, and it's not the easiest rate to explain.
CORRA stands for "Canadian Overnight Repo Rate Average." It is a reference rate that's widely used in the Canadian overnight market.
It measures the cost of overnight general collateral funding in Canadian dollars using Government of Canada (GoC) treasury bills and bonds as collateral for repurchase transactions (repos).
CORRA closely follows the Bank of Canada overnight target because it's based on actual transactions in the Canadian dollar overnight market. As a result, MLN uses the CORRA Forecast Curve to convey market rate expectations in its bulletins.
CORRA replaced the Canadian Dollar Offered Rate (CDOR), a former popular Canadian benchmark, in 2023. CORRA is used as a reference rate for overnight index swaps (OIS) and CORRA futures.
Here's more from the Bank of Canada: CORRA.