Canadian Interest Rate Projections

This is updated from December 7, 2009. The end of December rate (these rates are 90 day bank rates) has moved from 1.53% to 1.45%, while the end of December 2011 has gone from 2.86% to 2.77%. The market is signaling that rate increases will be less than anticipated from last month.

Month / Strike Bid Price Ask Price Settl. Price Net Change Vol.
+ 10 FE 0.000 0.000 99.530 0.000 0
+ 10 MR 99.540 99.545 99.535 0.005 3742
+ 10 AL 0.000 0.000 0.000 0.000 0
+ 10 JN 99.380 99.390 99.370 0.020 19921
+ 10 SE 98.970 98.980 98.960 0.020 13407
+ 10 DE 98.540 98.550 98.520 0.030 6731
+ 11 MR 98.130 98.140 98.130 0.000 3180
+ 11 JN 97.800 97.820 97.810 0.000 918
+ 11 SE 97.500 97.520 97.500 0.010 35
+ 11 DE 97.210 97.250 97.210 0.040 15
+ 12 MR 96.960 97.010 96.960 0.040 16
+ 12 JN 96.730 96.770 96.720 0.030 16
+ 12 SE 96.520 96.570 96.490 0.050 14
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[…] markets are signaling the following compared to the same time last month (January […]

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