Dec. 10 CBOT Fed Watch

Based upon the December 10th market close in the December 2001 expiration, the Chicago Board of Trade 30-Day Federal Funds futures contract is currently pricing in a 100 percent probability that the Federal Open Market Committee will lower the federal funds target rate by at least 25 basis points from 2 percent to 1-3/4 percent at the FOMC meeting on December 11.

In addition, the CBOT® 30-Day Federal Funds futures contract is pricing in a 13 percent probability of a further 25-basis point decrease in the target rate to 1-1/2 percent (versus a 87 percent probability of just a 25-basis point rate cut).

Summary Table

December 4: 4% for No Change versus 96% for -25 bps.
December 5: 20% for No Change versus 80% for -25 bps.
December 6: 16% for No Change versus 84% for -25 bps.
December 7: 85% for -25 bps versus 15% for -50 bps.
December 10: 87% for -25 bps versus 13% for -50 bps
December 11: FOMC meeting.