Looking at Banker’s Acceptance Futures, we have the following rates:
Month / Strike | Bid Price | Ask Price | Settl. Price | Net Change | Vol. |
+ 10 SE | 98.915 | 98.930 | 98.925 | 0.000 | 16053 |
+ 10 OC | 0.000 | 0.000 | 98.830 | 0.000 | 0 |
+ 10 NO | 0.000 | 0.000 | 98.820 | 0.000 | 0 |
+ 10 DE | 98.890 | 98.900 | 98.900 | 0.000 | 27314 |
+ 11 MR | 98.820 | 98.830 | 98.830 | 0.000 | 25451 |
+ 11 JN | 98.740 | 98.750 | 98.750 | -0.010 | 8618 |
+ 11 SE | 98.600 | 98.620 | 98.610 | 0.010 | 1774 |
+ 11 DE | 98.480 | 98.520 | 98.490 | 0.020 | 1197 |
+ 12 MR | 98.360 | 98.440 | 98.370 | 0.060 | 386 |
It looks like that there will be a higher than 50/50 probability that the Bank of Canada will raise their overnight target rate by 0.25% in their September meeting, but after that, future rates in the 2011 calendar year are projected to go up by 0.25% to 0.5%.
The drop in increase expectations has likely contributed to depreciation of the Canadian currency – currently at 94 cents US to a Canadian dollar, while this was high as 98 cents earlier in August, and at parity back in April. During the depths of the economic crisis, the Canadian dollar reached 78 cents multiple times throughout the October 2008 to March 2009 period.