CBOT Fed Watch - June 28 Market Close

In advance of this 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 28market close, the CBOT 30-Day Federal Funds futures contract for the July 2006expiration 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 tomorrow’s FOMC meeting.

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).

This notification concludes this CBOT Fed Watch period. The next scheduled CBOT Fed Watch period will start on Tuesday, August 1, one full week prior to the next scheduled FOMC meeting on August 8.

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: 88% for +25 bps versus 12% for +50 bps.
June 27: 88% for +25 bps versus 12% for +50 bps.
June 28: 88% for +25 bps versus 12% for +50 bps.
June 29: FOMC decision on federal funds target rate.

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