CBOT Fed Watch - June 23 Market Close

In advance of next week's Federal Open Market Committee meeting on June 29, 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 23 market close, the CBOT 30-Day Federal Funds futures contract for the July 2006 expiration is currently pricing in a 100 percent probability that the FOMC will increase the target rate by at least 25 basis points from 5 percent to 5-1/4 percent at the FOMC meeting on June 29.

In addition, the CBOT 30-Day Federal Funds futures contract is pricing in a 12 percent probability of a further 25-basis point increase in the target rate to 5-1/2 percent (versus an 88 percent probability of just a 25-basis point rate increase).

Summary Table
June 22:  90% for +25 bps versus 10% for +50 bps.
June 23:  88% for +25 bps versus 12% for +50 bps.
June 26: 
June 27: 
June 28: 
June 29:  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.