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3M CORRA Futures Volumes Quickly Catching Up With BAX

CANADA
  • The BoC yesterday gave a Market Notice on the transition away from BAs with the cessation of CDOR in Jun’24: https://www.bankofcanada.ca/2023/09/cfif-publishes-update-transition-away-from-bas/
  • The below charts show the speed at which 3M CORRA futures volumes have been catching up with BAX futures, in recent days averaging close to 1:1 in nearer-term contracts (the U3 seeing a slightly sharper gain ahead of the BAU3 last trade data of Sep 18).
  • You can also see how comparable volumes more broadly across the curve for some recent risk events capturing last week’s BoC decision and then the labour report.

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