CBOT January 2003 Fed Watch

In advance of next week's Federal Open Market Committee meeting on January 29, the Chicago Board of Trade is 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 January 28th market close, the CBOT 30-Day Federal Funds futures contract for the February 2003 expiration is pricing in 10 percent probability that the FOMC will lower the target rate by at least 25 basis points from 1-1/4 percent to one percent at the FOMC meeting on January 29 (versus 90 percent probability of no rate change).

This notification concludes this CBOT Fed Watch period. The next scheduled CBOT Fed Watch period will start on Tuesday, March 11, one full week prior to the next scheduled FOMC meeting on March 18.

SUMMARY TABLE

January 22: 92% for No Change versus 8% for -25 bps.
January 23: 92% for No Change versus 8% for -25 bps.
January 24: 90% for No Change versus 10% for -25 bps.
January 27: 90% for No Change versus 10% for -25 bps.
January 28: 90% for No Change versus 10% for -25 bps.
January 29: 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.