CBOT Fed Watch For Sept 25

In advance of next week's Federal Open Market Committee meeting on Tuesday, October 2, The CBOT® will be reporting daily rate change probabilities in the FOMC's federal funds target rate, as indicated by the Chicago Board of Trade's 30-Day Federal Funds futures contract. The CBOT® 30-Day Federal Funds futures contract is a key benchmark interest rate barometer that reflects the overnight effective rate for excess reserves that are traded among commercial banks in the federal funds market.

Based upon today's market close, the CBOT® 30-Day Federal Funds futures contract for the October 2001 expiration is currently pricing in a 100 percent probability that the FOMC will lower the target rate by at least 25 basis points from three percent to 2-3/4 percent on October 2.

In addition, the CBOT® 30-Day Federal Funds futures contract is pricing in an 88 percent probability of a further 25-basis point decrease in the target rate to 2-1/2 percent (versus a 12 percent probability of just a 25-basis point rate cut).

Summary Table

September 25: 12% for -25 bps versus 88% for -50 bps.

September 26:

September 27:

September 28:

October 1:

Contact CBOT® Senior Economist Dan Grombacher at +1 (312) 435-3787 or dgrombacher@cbot.com with any questions and comments.