Based upon the September 26 market close in the October 2001 expiration, the Chicago Board of Trade 30-Day Federal Funds futures contract is currently pricing in a 100 percent probability that the Federal Open Market Committee will lower the federal funds target rate by at least 25 basis points from three percent to 2-3/4 percent at the FOMC meeting on October 2.
In addition, the CBOT® 30-Day Federal Funds futures contract is pricing in a 94 percent probability of a further 25-basis point decrease in the target rate to 2-1/2 percent (versus a 6 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: 6% for -25 bps versus 94% for -50 bps.
- September 27:
- September 28:
- October 1:
In advance of next week's Federal Open Market Committee meeting on Tuesday, October 2, the Chicago Board of Trade 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.
Contact CBOT® Senior Economist Dan Grombacher at +1 312-435-3787 or dgrombacher@cbot.com with any questions and comments.
