CBOT Fed Watch - September 16 Market Close

In advance of next week's Federal Open Market Committee meeting on September 20, 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 September 16 market close, the CBOT 30-Day Federal Funds futures contract for the October 2005 expiration is currently pricing in a 94 percent probability that the FOMC will increase the target rate by at least 25 basis points from 3-1/2 percent to 3-3/4 percent at the FOMC meeting on September 20 (versus a 6 percent probability of no rate change).

Summary Table
September 13:  18% for No Change versus 82% for +25 bps.
September 14:  16% for No Change versus 84% for +25 bps.
September 15:  14% for No Change versus 86% for +25 bps.
September 16:  6% for No Change versus 94% for +25 bps.
September 19: 
September 20:  FOMC decision on federal funds target rate.