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Fed Fund Simulation Enhancement | Weekly Release 06/16/2023

Due to the discontinuity of the Eurodollar, the “USD-ED$” tab has been updated to the “USD-SFR” tab. The SFR tab will use the 3M SOFR futures to calculate the FOMC Meeting hike as well as the 1-Day SOFR rate. Traders can click “Calc Hike Prob” in the upper left corner to calculate the expected number of rate hikes or cuts by the end of the year. A positive value indicates the number of likely hikes, while a negative value indicates the number of likely cuts. To see when and in what range these hikes or cuts are likely to occur, traders can consult the “Fed Meeting Hike Prob (%)” table.

In the lower left part of the Fed Fund Simulation sheet, traders can find the “Simulation Path” table where they can enter & analyze different scenarios.


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