Note: The date in the title of this article corresponds to the production deployment date.
Following the introduction of the Risk-Free Rates (RFRs) in Fairways Debt in June 2023 to comply with the global standard implementation for floating interest rates, the following term rates are now available for the Canadian dollar (CAD) in the platform:
- Term CORRA 1M
- Term CORRA 3M
These new term rates based on RFRs can be selected from the list of the available indexes when creating a transaction in the Debt & Derivatives application.
Term CORRA is available in the Pricers application and the Quick Quotation module. However, this term rate is only compatible with the monthly and quarterly frequencies to be consistent with these new tenors.
See also Mark-to-Market (MTM) Data for more information on the supported combinations of indexes and currencies.