CBOT Fed Watch: September 2003

In advance of next week's Federal Open Market Committee meeting on September 16, 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 15 market close, the CBOT 30-Day Federal Funds futures contract for the September 2003 expiration is currently pricing in a 4 percent probability that the FOMC will increase the target rate by at least 25 basis points from one percent to 1-1/4 percent at the FOMC meeting on September 16 (versus a 96 percent probability of no rate change).

Summary Table

September 9: 94% for No Change versus 6% for +25 bps.

September 10: 96% for No Change versus 4% for +25 bps.

September 11: 93% for No Change versus 7% for +25 bps.

September 12: 95% for No Change versus 5% for +25 bps.

September 15: 96% for No Change versus 4% for +25 bps.

September 16: 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.