CBOT Fed Watch - June 22, 2007

In advance of next week's Federal Open Market Committee meeting on June 28, 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 22 market close, the CBOT 30-Day Federal Funds futures contract for the July 2007 expiration is currently pricing in a zero percent probability that the FOMC will decrease the target rate by at least 25 basis points from 5-1/4 percent to 5 percent at the FOMC meeting on June 28 (versus a 100 percent probability of no rate change).

Summary Table
June 21: 100% for No Change versus 0% for -25bps.
June 22: 100% for No Change versus 0% for -25bps.
June 25:
June 26:
June 27:
June 28:  FOMC decision on federal funds target rate.