CBOT Fed Watch - June 2004

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

Based upon the June 29 market close, the CBOT 30-Day Federal Funds futures contract for the July 2004 expiration is currently pricing in a 100 percent probability that the FOMC will increase the target rate by at least 25 basis points from one percent to 1-1/4 percent at tomorrow’s FOMC meeting.

In addition, the CBOT 30-Day Federal Funds futures contract is pricing in an 8 percent probability of a further 25-basis point increase in the target rate to 1-1/2 percent (versus a 92 percent probability of just a 25-basis point rate increase).

This notification concludes this CBOT Fed Watch period. The next scheduled CBOT Fed Watch period will start on Tuesday, August 3, one full week prior to the next scheduled FOMC meeting on August 10.

Summary Table
June 23: 92% for +25 bps versus 8% for +50 bps.
June 24: 92% for +25 bps versus 8% for +50 bps.
June 25: 94% for +25 bps versus 6% for +50 bps.
June 28: 92% for +25 bps versus 8% for +50 bps.
June 29: 92% for +25 bps versus 8% for +50 bps.
June 30: FOMC decision on federal funds target rate.

The information in this document, although taken from sources believed to be reliable, does not constitute investment advice and is not guaranteed by the Chicago Board of Trade as to its accuracy or completeness, nor any trading result, and is intended for purposes of information and education only. The Rules and Regulations of the Chicago Board of Trade should be consulted as the authoritative source of all current contract specifications and regulations.