Daily Settle Prices as of September 12, 2022

Jun-23 Jul-23 Aug-23 Sep-23 Oct-23 Nov-23

ZQM3 ZQN3 ZQQ3 ZQU3 ZQV3 ZQX3
94.8800 94.8250 94.7050 94.7150 94.7300 94.8300

Price Implied Rate

October (No FOMC) 94.8250 5.1750

Implied Monthly
Days % Days Price
Rate Change

Nov (End) 29 97% 94.7009 5.2991 0.1241

Nov (Avg) 94.7050 5.2950
Nov (Start) 1 3% 94.8250 5.1750
Start here --> June 94.8250 5.1750
Sept (End) 10 33% 94.8250 5.1750 0.0825
Sept (Avg) 94.8800 5.1200
Sept (Start) 20 67% 94.9075 5.0925

Methodology:
1. Get daily FF settlement prices by contract.
2. Find the nearest upcoming month without an FOMC meeting.
3. Avg. Month Price = Daily Settle Price
4. Because FFER(end)T-1 = FFER(beg)T, fill out those cells.
5. Calculate the adjacent FFER Start/End using the formulas above.
6. Calculate the Monthly Change for months with FOMC meetings (Col. G).
7. Calculate the # of 25bp hikes based off of Monthly Change (Col. H):
7.1. =((Monthly Change)/25)*100
7.2. Break down the number of 25bp hikes into full hikes and remainder [Use Trunc() and Mod(
8. We can start calculating the probability tree - start with the nearest FOMC meeting:
8.1. Start with the number of hikes indicated by the whole integer (2 = 50bp hike; 3 = 75bp hike
8.2. The probability of a hike of the size of the whole integer is = 1 - # Hike Remainder.
8.3. The probability of a hike 25bps larger than the expected hike size for the integer is simply =
9. We can now start calculating the Cumulative Probabilities, starting on the second upcoming FOMC
9.1. As a reminder, each successive FOMC month will add a branch to this probability tree. Tha
9.2 The joint probabilities are simple multiplications of the individual hike size Probs. (e.g. Prob(
 Dec-23 Jan-24 Feb-24 Mar-24 Apr-24 FFER End = [ (Avg. FFER) - (% days befor
ZQZ3 ZQF4 ZQG4 ZQH4 ZQJ4 FFER Start = [ (Avg FFER) - (% days after
94.9200 94.9700 95.1400 95.2400 95.3000

Hike Size Probabilities Cumulative Probabilities

# of 25bp # Hikes 125bps 150bps
25bps 50bps 75bps 100bps
Hikes Breakdown (75 & 50) (75 & 75)

0.4966 0
0.4966 0.50344828 0.497 0.497 0 0.164 0.164

0.3300 0
0.3300 0.67 0.33 0.33 0

Current Target Ra
Target Rat
300 - 325
(+75)
Sept. 2022 33.0%
Nov. 2022 0.0%

emainder [Use Trunc() and Mod()].

st FOMC meeting:
ger (2 = 50bp hike; 3 = 75bp hike, etc.).
= 1 - # Hike Remainder.
ke size for the integer is simply = # Hike Remainder.
g on the second upcoming FOMC month:
ranch to this probability tree. That means one or more extra probability to calculate.
idual hike size Probs. (e.g. Prob(50bps)T-1 * Prob(50bps)T).
Avg. FFER) - (% days before meet.)*(FFER Start) ] / (% days after meet.)
(Avg FFER) - (% days after meet.)*(FFER End) ] / (% days before meet.)

umulative Probabilities
150bps 175bps
(100 & 50) (100 & 75)

0.000 0.000

Current Target Rate: 225 - 250 bps

Target Rate Range
325 - 350 350 - 375 375 - 400 400 - 425
(+100) (+125) (+150) (+175)
0.0% 0.0% 0.0% 0.0%
0.0% 16.4% 16.4% 0.0%