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Monday, December 10, 2007

Implied Rate Cut Probabilities

From the Chicago Board of Trade:

CME Group Fed Watch: Based upon the December 10 market close, the 30-Day Federal Funds futures contract for the December 2007 expiration is currently pricing in a 100 percent probability that the FOMC will decrease the target rate by at least 25 basis points from 4-1/2 percent to 4-1/4 percent at tomorrow’s FOMC meeting. In addition, the 30-Day Federal Funds futures contract is pricing in a 42 percent probability of a further 25-basis point decreasein the target rate to 4 percent (versus a 58 percent probability of just a 25-basis point rate decrease). 

Summary Table
December 4:       28% for -25 bps versus 72% for -50 bps.
December 5:       43% for -25 bps versus 57% for -50 bps
December 6:       50% for -25 bps versus 50% for -50 bps.
December 7:       59% for -25 bps versus 41% for -50 bps.
December 10:     58% for -25 bps versus 42% for -50 bps
December 11:     FOMC decision on federal funds target rate.

From the Cleveland Fed:

Ratecut1

Ratecut

    Posted by on Monday, December 10, 2007 at 06:39 PM in Economics, Monetary Policy | Permalink  TrackBack (0)  Comments (0)

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