CAD–USD Basis Data

Article Quant Q&A · Author: msn

Summary

The document explains how to locate historical CAD–USD cross-currency basis data for converting USD short-term yields into Canadian equivalents. The question proposes combining CORRA, the spread between a US yield and SOFR, and the CAD–USD basis, but reports difficulty retrieving a date range from Bloomberg’s swap-pricing interface and confusion over Bloomberg’s basis field.

The answer distinguishes cross-currency basis from FX forward points, which can produce unexpectedly large values when the wrong instrument is queried. It recommends using Bloomberg tickers for CORRA/SOFR basis at specific tenors, ranging from three months through longer maturities. The suggested tickers offer a starting point for building a time series, while the document provides no detailed instructions for downloading the history or validating the field and ticker mapping. It does not compare Bloomberg with Refinitiv or establish the precise conventions needed for every tenor.

Key ideas

Cross-currency basis is a distinct market measure from FX forward points.
The proposed yield conversion combines CORRA, the US yield spread over SOFR, and the CAD–USD basis.
The answer lists Bloomberg instruments for CORRA/SOFR basis across several tenors.
Confirm the instrument and field conventions before interpreting downloaded historical values.

Tags

Fixed income Forex Carry

Full text

# Getting historical data on cross-currency basis


# Getting historical data on cross-currency basis












I have a series of USD short-term bond yields that I would like to convert to CAD equivalents. Conceptually, one could do \begin{equation} r_t^\text{CA} = \text{CORRA}_t + (r_t^\text{US}-\text{SOFR}_t) + b_t^\text{CAD/USD} \end{equation} where $b_t^\text{CAD/USD}$ is the CAD-USD cross-currency basis on date $t$.

However, I'm having difficulty finding historical data on $b_t^\text{CAD/USD}$. I have access to Bloomberg. Bloomberg's SWPM only allows me to get the data one date at a time; that is, I get the CCS for various tenors for a specific date, but what I need is a specific tenor for a range of dates.

How do I download a whole time series of CAD-USD cross-currency basis from Bloomberg? What function/ticker would I use? I also have access to Refinitiv, if it's easier to get data there.

Thanks.

Update

So I went on Bloomberg today and found what I think is the right curve: `135 - CAD vs. USD Basis`, and the field I need is the `Basis Mid` column.

However, when I tried to pull the data using the Excel funtion BDH()

```
=BDH("CAD1W", "Basis Mid", "01/01/2025", "10/20/2025")
```

I get weird large numbers that do not look like what's shown in the screenshot. What have I done wrong?

## Answer by AMach (score 2, accepted)

https://quant.stackexchange.com/a/85240

This is because what you are pulling are not cross-currency basis but rather FX forward points, they are not the same thing but you can back one out from the other. Quick fix here is just use the right ticker.

```
For CORRA/SOFR you can pull:
CDXOQQC Curncy: 3mo
CDXOQQF Curncy: 6mo
CDXOQQI Curncy: 9mo
CDXOQQ1 Curncy: 1yr
CDXOQQ2 Curncy: 2yr
...
```

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.

Finding Historical CAD–USD Cross-Currency Basis Data

Summary

Key ideas

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