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Jan. 28 CBOT Fed Watch

Date 28/01/2002

Based upon the January 28th market close in the February 2002 expiration, the Chicago Board of Trade 30-Day Federal Funds futures contract is currently pricing in a 6 percent probability that the Federal Open Market Committee will lower the federal funds target rate by at least 25 basis points from 1-3/4 percent to 1-1/2 percent at the FOMC meeting on January 29-30 (versus a 94 percent probability of no rate cut).

Summary Table

January 23: 80% for No Change versus 20% for -25 bps.

January 24: 88% for No Change versus 12% for -25 bps.

January 25: 92% for No Change versus 8% for -25 bps.

January 28: 94% for No Change versus 6% for -25 bps.

January 29:

January 30: FOMC decision on federal funds target rate.