CanDeal Benchmark Solutions has collaborated with TMX Datalinx on a new “robust benchmark” – Term CORRA (Canadian Overnight Repo Rate Average) 1- and 3-month Reference Rates, set to launch 5 September. Gavin Morris, director of business operations at TMX Datalinx, told The DESK how the launch of Term CORRA helps support Canada’s financial services industry with a new risk-free, transaction-based benchmark.
Term CORRA is a benchmark that adheres to International Organisation of Securities Commissions (IOSCO) Principles for Financial Benchmarks and will be calculated and published by CanDeal Benchmark Solutions using price and trade data from CORRA futures contracts traded on the Montréal Exchange.
The new benchmark is a central plank of TMX Datalinx’s benchmark and indices strategy, which focus on services which enable clients to efficiently integrate index data into the investment process/lifecycle, Morris said, particularly in areas such as portfolio construction, self indexing, custom indexing capabilities and new public and private asset class benchmarks and indices.
On the opportunity for new products based on Term CORRA, Morris said: “We’re seeing indications from dealers in the Canadian market that there’s value in creating a forward-looking curve, extending to terms of 30 or 40 years, to provide greater insight when making investment decisions, create derivatives pricing and also to be able to provide additional terms in contract lengths besides one month and three months.”
CanDeal Benchmark Solutions will publish the rates on its website on a T+1 basis free of charge and will be made available in real-time on the day of calculation at 1pm ET through TMX Datalinx and 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).
CanDeal Benchmark Solutions worked 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.
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.
Andre Craig, president, CanDeal data and analytics, said: “Through our collaboration with TMX Datalinx to distribute these new rates, the market can look forward to a reliable interest rate measure.”
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.”
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