CBOT Fed Watch - March 27 Market Close

In advance of this week's Federal Open Market Committee meeting on March 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 March 27 market close, the CBOT 30-Day Federal Funds futures contract for the April 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 4-1/2 percent to 4-3/4 percent at tomorrow’s FOMC meeting.

In addition, the CBOT 30-Day Federal Funds futures contract is pricing in a 4 percent probability of a further 25-basis point increase in the target rate to 5 percent (versus a 96 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 Wednesday, May 3, one full week prior to the next scheduled FOMC meeting on May 10.

Summary Table
March 21: 96% for +25 bps versus 4% for +50 bps.
March 22: 96% for +25 bps versus 4% for +50 bps.
March 23: 96% for +25 bps versus 4% for +50 bps.
March 24: 96% for +25 bps versus 4% for +50 bps.
March 27: 96% for +25 bps versus 4% for +50 bps.
March 28: 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.