Canadian Interest Rate Expectations
This tool analyzes Canadian interest rate expectations using the implied 3M CDOR ("Canadian Dollar Offered Rate") movements and probabilities based on BAX prices. This could be used to estimate the probability of upcoming Bank of Canada key target rate movements.
Implied short-term interest rate movements and probabilities based on BAX prices
|Movement (in bps)||Sept. 2019||Dec. 2019||March 2020||June 2020||Sept. 2020||Dec. 2020||March 2021||June 2021||Sept. 2021||Dec. 2021||March 2022||June 2022|
Data delayed by at least 15 minutes.
How to read the data
BAX contract expiry months are on the horizontal axis. The blue bars represent the change in basis points ("bps") to the 3M CDOR implied by each BAX contract price. The cyan line shows the implied probability of these changes. There is one implied change and one implied probability by BAX contract expiry month. The best way to interpret the graph is by looking at each BAX contract expiry month separately.
Each row represents a potential 3M CDOR rate change in basis points ("bps"). BAX contract expiry months are the header of each column. The number at the intersection of a row and a column represents the implied probability of a 3M CDOR rate change for that magnitude (row) and for this BAX contract expiry month (column). There is one implied change and one implied probability by BAX contract expiry month. The best way to interpret the table is by looking at each BAX contract expiry month separately.
For example, it can be interpreted as: "Given the June 2021 BAX contract with the current price of $98.215, there is a 76% chance that the 3M CDOR rate moves by -25 basis points by the time we reach the contract expiry".
Bank of Canada scheduled announcement dates
- January 9, 2019
- March 6, 2019
- April 24, 2019
- May 29, 2019
- July 10, 2019
- September 4, 2019
- October 30, 2019
- December 4, 2019
Historical implied short-term interest rate movements and probabilities by BAX contract expiry month
How to read the data
The blue bars represent the historical change (in bps) to the 3M CDOR implied by the selected BAX contract, for each business day of the last 3-month period. The cyan line shows the historical implied probabilities of these changes.
Implied 3M CDOR rate movement (in basis points): Highest implied 25 basis points increment change by BAX contract expiry month.
Implied probability (in %): (BAX contract implied 3M CDOR rate - lowest implied 3M CDOR rate (with a 25bps increment change) by BAX contract) / 25bps). The implied probabilities are calculated assuming no change in the CDOR-OIS spread*.
Example with a 3M CDOR rate at 2% and a BAX contract expiring in 6 months priced at $97.60: The implied 3M CDOR rate movement of that contract would be 50bps, and the associated implied probability would be ((100 - 97.60) - 2.25) / 0.25 = 60%.
* The 3M CDOR rate may include a risk and/or term premium component in comparison to the Bank of Canada key target rate determined by monetary policy decisions. Therefore, the implied 3M CDOR rate movements and probabilities combine market views of future Bank of Canada policy along with anticipated risk or term premia. The information displayed in the graphs and table above is not adjusted for the projected evolution of this risk and/or term premium.
Downloadable Excel file
This downloadable Excel file allows the user to customize the model inputs according to his market assessment or preferences, including modifications to the risk and/or term premium discussed above.
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