Why Canadian Repo Funding Pressures Could Persist and Why it MattersGLOBAL ECONOMICS

中文标题

为何加拿大回购融资压力可能持续及其重要性 · 全球经济

Scotiabank Economics10/08/2026updated 10/17/2026

Multiple economies

Citable research brief

Core conclusion · Tlines extraction

CORRA has frequently set 0-5bps above the BoC's target since mid-2023, with volatility rising and occasional deviations above 5bps. BoC measures — a 5bp deposit-rate cut, more term repos and infrastructure changes — have not fully resolved the pressure, suggesting deeper frictions may be at work. A hiking cycle could reduce repo demand and restore balance, but near-term relief looks limited.

Institution: Scotiabank Economics
Published: 10/08/2026
Research topic: Not explicitly stated
Time horizon: 2023 · August 2026 · 2024 · 2026 · year-end 2027

Key arguments

CORRA's persistent deviations above the BoC's target rate since 2023 signal ongoing repo market pressure and complicate monetary policy implementation.
The popular excess-demand-for-repo explanation is supported by the fall in BoC settlement balances from over $300B to around $80B, but BoC supply measures have not fixed the problem.
The U.S. SOFR-IORB spread has shown similar dynamics, though market structure differences exist, pointing to common drivers rather than a uniquely Canadian issue.
Deeper frictions may require longer-term infrastructure fixes like tri-party repo and central clearing, which will take time to implement and attract volume.

Key numbers

CORRA daily volume (post T+1): ≈$60B, just under half of ~$130B total daily Canadian repo volume
BoC settlement balances: From >$300B peak to ~$80B today
CORRA derivatives outstanding notional: $30.23 trillion (Aug 2026, OSC estimate)
DV01 of CORRA fixed-float swaps (2025): $4.96B absolute, per OSC
Rates forecast: 3 hikes by end-2027

Main risks

If CORRA's deviations stem from deeper structural frictions rather than excess demand alone, current BoC supply measures may prove insufficient and pressure could persist or worsen.
A hiking cycle could reduce repo demand and restore balance, but it could also introduce new stresses if market participants are unprepared for higher rates.
The $30.23 trillion CORRA-referenced derivatives market means even small rate dislocations can have outsized valuation impacts, especially for fixed-rate payers.

Corresponding source evidence

• Since 2023, CORRA has been deviating from the BoC’s target rate, often by over 5bps. · 2023
1 This represents just under half of the BoC estimate of total daily Canadian repo volume ($130 billion).
As of August 2026, the Ontario Securities Commission estimates that derivatives referencing CORRA have an outstanding notation value of $30.23 trillion, with the vast majority being fixed-float swap contracts. · August 2026

Context: the conclusion is Tlines' automated extraction, not the institution's wording. Quoted evidence is publisher wording. Scope and date must travel with the conclusion.

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