CBOT Fed Watch - October 20 Market Close

Date 20/10/2006

In advance of next week's Federal Open Market Committee meeting on October 25, 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 October 20 market close, the CBOT 30-Day Federal Funds futures contract for the November 2006 expiration is currently pricing in a 2 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 October 25 (versus a 98 percent probability of no rate change).

Summary Table
October 18:  98% for No Change versus 2% for -25 bps.
October 19:  98% for No Change versus 2% for -25 bps.
October 20:  98% for No Change versus 2% for -25 bps.
October 23:
October 24:
October 25:  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.