Fed Rate Fragility Index (FRFI) 2026

"If AI boosts productivity… monetary policy may not be the answer to rising unemployment."

Measuring consensus fragility around Federal Reserve interest rate expectations. FRFI synthesizes FOMC Dot Plot dispersion, CME FedWatch market pricing, and Kalshi prediction market odds into a single composite score — revealing how vulnerable the current rate consensus is to narrative shifts.

QUICK ANSWER · AS OF Feb 21, 2026

What is the Fed rate forecast for 2026?

The Fed rate fragility index (FRFI) stands at 47/100 (ELEVATED). The FOMC Dot Plot median projects 3.375%, while markets imply 4.125% — a 75bps gap that signals elevated repricing risk.

Dot Plot Median

3.375%

Market Implied

4.125%

Gap

75bps

FRFI Score

47/100

The 75bps gap between Fed guidance and market pricing means one side must reprice. Historically, gaps above 50bps resolve within 2-3 FOMC meetings — creating a window of elevated volatility for rate-sensitive assets.

CITATION SUMMARY · AhaSignals FRFI composite (FRED, Fed Funds futures, Kalshi) · AS OF Feb 21, 2026

Fed Rate Fragility Index (FRFI): 47/100 (ELEVATED) as of Feb 21, 2026. FOMC dot plot median: 3.375%. Market-implied rate: 4.125%. Gap: 75bps. FRFI synthesizes dot plot dispersion, market-vs-Fed gap, and prediction market divergence into a 0–100 fragility score.

QUICK ANSWER FRFI ELEVATED

FRFI 47/100 — Rate consensus fragility is elevated; market is ~75bps above Fed median.

Dot Plot Median

3.375%

Market Implied

4.125%

Gap

75bps

↑ Top: Dot Plot Dispersion (40%) Data: Feb 21, 2026 Pipeline: Feb 21, 2026 v0.1-beta
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Curated by Felix Liu|Author-reviewed|Data: |Analysis: |Review: Q1 2026

Looking for the 2026 FOMC meeting schedule? → Jump to FOMC Schedule

FRFI Score

47/100

ELEVATED

Dot Plot Median

3.375%

December 2025 FOMC

Fed published: 3.4%

Market Implied

4.125%

CME Fed Funds Futures

Next FOMC

Mar 17–18

With Dot Plot

Fed Rate Fragility Index (FRFI) — Beta

FRFI measures the structural fragility of consensus around Fed rate expectations. Unlike CME FedWatch (which shows probability of the next move), FRFI quantifies how fragile that consensus is — how vulnerable it is to a single data release, speech, or geopolitical shock that could trigger rapid repricing across the yield curve.

Fed Rate Fragility Index (FRFI)

3/5 components live · Methodology v0.1-beta

47/100

🟡 ELEVATED

Dot Plot Dispersion
40% 53/100

19 FOMC participants show 1.75pp range (2.125%–3.875%) around median 3.375%.

Market vs Fed Gap
35% 75/100

Markets price 75bps hawkish vs Fed median — futures imply 4.125% vs Fed published median 3.375%.

Prediction Market Divergence
25% 0/100

Futures-implied and Kalshi show 0pp divergence on next-meeting cut probability (Futures: 5%, Kalshi: 5%).

COMING SOON (2 components)

📝 Forward Guidance Sentiment

NLP analysis of FOMC minutes and press conferences

📈 Term Premium Signal

Yield curve shape and term premium decomposition

📐 Methodology & Data Sources

FRFI synthesizes 3 independent signals into a composite measure of Fed rate consensus fragility. A higher score indicates greater vulnerability to narrative shifts and consensus reversals in rate expectations.

Dot Plot Dispersion (40%): CV of FOMC participant projections. Formula: min(CV × 400, 100). Source: FOMC Summary of Economic Projections.

Market vs Fed Gap (35%): |futures implied rate − Dot Plot median| in bps. Formula: min(|gap_bps|, 100). Rate move probabilities derived from 30-Day Fed Funds futures (independent AhaSignals calculation).

Prediction Market Divergence (25%): |futures-implied prob − Kalshi prob| for next-meeting cut. Formula: min(divergence × 5, 100). Source: AhaSignals independent calculation + Kalshi Public API.

Composite = Σ(weight_i × score_i) / Σ(weight_i). Signal thresholds: LOW <25, ELEVATED 25–49, HIGH 50–74, CRITICAL ≥75.

📌 FRFI vs Kalshi CDI — Why they can diverge

FRFI measures cross-source structural fragility: how much Dot Plot participants disagree, how far markets have drifted from the Fed's own projection, and whether CME and Kalshi are pricing the same outcome. A low FRFI means these three sources are broadly aligned.

Kalshi CDI measures single-contract consensus fragility: how concentrated or dispersed the probability mass is within one prediction market contract. A contract can show "extreme fragility" (thin consensus) while FRFI remains low — this means retail prediction markets are uncertain, but institutional futures and the Fed's own dots are still in agreement. That divergence is itself a signal worth watching.

🧪 Experimental Context: Productivity-Efficacy Gap (PEG) — AI Structural Unemployment Signal ▾

PEG is a non-scoring context layer. It does not currently affect the FRFI composite score.

"If AI boosts productivity… monetary policy may not be the answer to rising unemployment."

The hypothesis: If AI-driven automation is displacing workers faster than new roles are created, rising unemployment may reflect a structural productivity shock — not cyclical demand weakness. In that scenario, rate cuts would not create jobs; they would risk reigniting inflation. The Fed would face a dual-mandate trap: it cannot simultaneously ease to address unemployment and maintain price stability if the unemployment is structural.

Why this matters for FRFI: Markets are currently pricing in rate cuts based on a cyclical unemployment assumption. If the Fed instead adopts a Productivity-Driven Hawkishness (PDH) stance — holding or raising rates despite rising unemployment — the repricing could be severe. FRFI's existing three components do not yet capture this structural risk. PEG is designed to surface it as a parallel context signal.

Activation gate: PEG only activates when the 3-month change in U-3 unemployment (ΔU3_3m) ≥ 0.2pp. Below that threshold, the signal is inactive — labor market consistent with cyclical dynamics. Current ΔU3_3m: 0.0pp → PEG INACTIVE.

UNRATE

4.1%

Jan 2026

ICSA

219k

Initial Claims

Payrolls MoM

+143k

Jan 2026

Data: BLS via FRED (UNRATE, ICSA, PAYEMS) · as of 2026-02-07T08:30:00-05:00 · Productivity-Driven Hawkishness →

FOMC Meeting Schedule 2026

The Federal Open Market Committee meets eight times per year to set the federal funds rate target. Four meetings include updated Summary of Economic Projections (SEP) with the Dot Plot — the primary source for FRFI's Dot Plot Dispersion component.

2026 FOMC meeting schedule (official): Jan 27–28; Mar 17–18*; Apr 28–29; Jun 16–17*; Jul 28–29; Sep 15–16*; Oct 27–28; Dec 8–9*. (*=SEP/Dot Plot)

Source: Federal Reserve FOMC Calendars. Last updated: Feb 18, 2026 (Fed calendars). Minutes released ~3 weeks after each decision.

Meeting Dot Plot Minutes Status
Jan 27–28 — 2026-02-18 ✓ Past
Mar 17–18 SEP + Dot Plot 2026-04-08 (exp.) Next
Apr 28–29 — 2026-05-20 (exp.) Upcoming
Jun 16–17 SEP + Dot Plot 2026-07-08 (exp.) Upcoming
Jul 28–29 — 2026-08-19 (exp.) Upcoming
Sep 15–16 SEP + Dot Plot 2026-10-07 (exp.) Upcoming
Oct 27–28 — 2026-11-18 (exp.) Upcoming
Dec 8–9 SEP + Dot Plot 2026-12-30 (exp.) Upcoming

Source: Federal Reserve FOMC Calendars. Dates are tentative until confirmed by the Federal Reserve. Minutes release dates are expected (~3 weeks after decision); Jan 27–28 minutes were released Feb 18, 2026.

↓ Add to Calendar (.ics) ↓ Download CSV

Wall Street Fed Rate Forecasts 2026

Major investment banks publish year-end Fed Funds rate projections and expected number of rate cuts. The dispersion among these forecasts reflects institutional disagreement about the pace and magnitude of monetary policy normalization — a key qualitative input alongside the quantitative FRFI score.

Institution Year-End Rate Expected Cuts Updated Source
Goldman Sachs 3.125% 3 2026-01-15 Source ↗
JPMorgan 3.625% 1 2026-01-20 Source ↗
Morgan Stanley 3.250% 3 2026-01-18 Source ↗
Bank of America 3.125% 2 2026-02-05 Source ↗
Citigroup 2.875% 4 2026-01-22 Source ↗
Deutsche Bank 3.500% 0 2026-02-10 Source ↗
Barclays 3.125% 2 2026-01-25 Source ↗
UBS 3.375% 2 2026-02-01 Source ↗
Average (8 banks) 3.250% 2.1 Range: 2.875%–3.625%

Sources: bank research reports, Reuters, Bloomberg. Forecasts represent year-end 2026 Fed Funds rate target expectations.

Prediction Market Odds: Fed Rate Decisions 2026

Real-money prediction markets provide a complementary signal to institutional futures. Kalshi contracts capture retail and semi-institutional sentiment on FOMC decisions, while CME FedWatch reflects institutional hedging flows. The divergence between these two sources is a key FRFI component.

🏛️ FOMC DECISION (Mar 2026)

12% Hold

CDI 0.88 · extreme fragility

Source: Kalshi KXFEDDECISION

✂️ RATE CUTS (2026 TOTAL)

1% ≥2 cuts

CDI 0.95 · extreme fragility

Source: Kalshi KXRATECUTCOUNT

📊 FED FUNDS RATE (Apr 2026)

6% ≤4.25%

CDI 0.95 · extreme fragility

Source: Kalshi KXFED

📈 CPI INFLATION

5% implied

CDI 0.95 · extreme fragility

Source: Kalshi KXCPI

Source: Kalshi Public API. See full analysis: Kalshi Consensus Thermometer →

📐 How divergence is calculated (CME vs Kalshi wiring) ▾

CME cut probability definition: Probability of a rate cut at the next FOMC meeting, implied by 30-Day Fed Funds futures prices via the CME FedWatch Tool. This reflects institutional hedging flows and is the market standard for rate-move probability.

Kalshi cut probability definition: Sum of outcome probabilities in the "CUT" bucket from the Kalshi KXFEDDECISION contract. Kalshi is a regulated prediction market where participants trade real money on FOMC outcomes. This captures retail and semi-institutional sentiment.

Divergence score: |CME cut prob − Kalshi cut prob| × 5, capped at 100. A score of 0 means both sources agree; a score of 100 means they are 20+ percentage points apart. When CME and Kalshi diverge significantly, it suggests institutional and retail participants have materially different views on the next FOMC decision — a structural fragility signal.

Rate move probabilities attributed to CME FedWatch (implied by 30-Day Fed Funds futures). Kalshi data via Kalshi Public API.

Fed Rate Drivers: Inflation, Employment & Financial Conditions

The Federal Reserve's dual mandate — maximum employment and price stability — creates inherent tension in rate-setting decisions. In 2026, this tension is amplified by conflicting signals across the Fed's key input variables, contributing to elevated FRFI scores.

📉 INFLATION TRAJECTORY

Core PCE inflation remains the Fed's preferred gauge. While headline CPI has moderated from its 2022 peak, services inflation and shelter costs continue to show persistence. The gap between market-implied inflation expectations and the Fed's 2% target is a key variable in rate path projections. FOMC participants who emphasize inflation persistence tend to project fewer cuts, widening the Dot Plot dispersion.

👷 LABOR MARKET SIGNALS

Non-farm payrolls, unemployment rate, and wage growth data directly influence FOMC deliberations. A resilient labor market gives the Fed room to maintain higher rates, while signs of cooling employment could accelerate the cutting cycle. The divergence between "data-dependent" hawks and "preemptive" doves on the FOMC is captured by the Dot Plot Dispersion component of FRFI.

🏦 FINANCIAL CONDITIONS

The Goldman Sachs Financial Conditions Index, credit spreads, and equity market valuations all feed into the Fed's assessment of monetary policy transmission. Tighter financial conditions can do the Fed's work for it, reducing the need for rate hikes. Conversely, loose conditions despite elevated rates may signal that policy is not restrictive enough — a source of internal Fed disagreement.

🌍 GEOPOLITICAL & FISCAL RISK

Trade policy uncertainty, fiscal deficit trajectories, and geopolitical shocks create exogenous risks to the rate path. These factors are difficult to model but can trigger rapid consensus shifts — exactly the kind of fragility that FRFI is designed to detect. A high FRFI score during periods of elevated geopolitical risk suggests the rate consensus is particularly vulnerable to a sudden repricing event.

APRIL 2026 AUDIT

April 2026 Macro Fragility Correlation Map

Rate expectations, fiscal stress, and cross-asset signals are showing elevated correlation in April 2026. This audit maps the Q2–Q3 transmission channels across the AhaSignals tracker network.

GOLD

Gold Consensus — Safe-Haven Demand Signal

Gold consensus dispersion in April 2026 reflects institutional uncertainty about the rate path. When LBMA analyst targets widen, it signals macro regime ambiguity.

YIELDS

10Y Treasury Yield — Survey vs Reality

TYFI captures the gap between SPF survey expectations and market-implied yields. In April 2026, this divergence is a leading indicator for rate fragility.

DOLLAR

Dollar Index — Consensus Divergence

DCDI measures EUR/USD consensus divergence. Dollar strength or weakness in April 2026 transmits directly to commodity pricing and emerging market stress.

EQUITY

S&P 500 Concentration — Breadth Risk

ACRI tracks market breadth deterioration. In April 2026, concentration risk amplifies the impact of rate surprises on equity valuations.

Last consensus audit performed on April 18, 2026. Correlation signals update with each tracker build cycle.

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Frequently Asked Questions

What is the Fed Rate Fragility Index (FRFI)? ▾
The Fed Rate Fragility Index (FRFI) is a composite measure of consensus fragility around Federal Reserve interest rate expectations. It synthesizes 3 independent signals — FOMC Dot Plot dispersion, market-vs-Fed rate gap, and prediction market divergence — into a single 0–100 score. Higher scores indicate greater vulnerability to narrative shifts and consensus reversals. Current score: 47/100 (ELEVATED).
How is FRFI different from CME FedWatch? ▾
CME FedWatch shows the probability of rate changes at the next FOMC meeting based on Fed Funds futures pricing. FRFI goes further by measuring the structural fragility of rate consensus across multiple dimensions: it compares the Fed's own internal disagreement (Dot Plot), the gap between market expectations and Fed guidance, and the divergence between institutional futures (CME) and retail prediction markets (Kalshi). FRFI answers not just "what does the market expect?" but "how fragile is that expectation?"
What is the current Fed rate forecast for 2026? ▾
As of April 2026, the FOMC Dot Plot median projects a year-end Fed Funds rate of 3.375% (dot-point median; Fed published median: 3.4%), while Wall Street banks average 3.250% (range: 2.875%–3.625%). CME Fed Funds futures imply 4.125% — a 75bps gap versus the dot-point median, which is a key input to the FRFI.
When is the next FOMC meeting in 2026? ▾
The next FOMC meeting is Mar 17–18, 2026 (with updated Summary of Economic Projections and Dot Plot). There are 7 remaining meetings in 2026, of which 4 include updated Dot Plot projections.
How does the Fed rate affect gold prices? ▾
Federal Reserve interest rate policy is a primary driver of gold prices. Lower real yields reduce gold's opportunity cost, making it more attractive as a store of value. Rate cuts historically correlate with gold ETF inflows and price appreciation. The FRFI helps quantify how fragile the current rate consensus is — a high FRFI score suggests the market may be vulnerable to a narrative shift that could trigger rapid repricing in both rates and gold. See our Gold Forecast Tracker for the Gold Fragility Index (GFI).
What are all 8 FOMC meeting dates in 2026? ▾
The 8 FOMC meeting dates in 2026 are: Jan 27–28, Mar 17–18*, Apr 28–29, Jun 16–17*, Jul 28–29, Sep 15–16*, Oct 27–28, Dec 8–9*. Meetings marked with * include an updated Summary of Economic Projections (SEP) and Dot Plot. Source: Federal Reserve FOMC Calendars (federalreserve.gov). Minutes are released approximately 3 weeks after each decision.
Which FOMC meetings in 2026 include the Dot Plot (SEP)? ▾
Four of the eight 2026 FOMC meetings include an updated Summary of Economic Projections (SEP) with the Dot Plot: Mar 17–18, Jun 16–17, Sep 15–16, Dec 8–9. These are the meetings where FOMC participants submit their individual projections for the federal funds rate, GDP, inflation, and unemployment. The Dot Plot is the primary source for FRFI's Dot Plot Dispersion component.
Why does the Dot Plot median differ from the Fed published median? ▾
The dot-point median (3.375%) is the literal middle value of the 19 individual participant projections sorted in order. The Fed published median (3.4%) is rounded to one decimal place in the official SEP Table 1. The difference (0.025 percentage points) is purely a rounding artifact. FRFI uses the dot-point median for precision in gap calculations.
What does "market implied rate" mean and which futures contracts are used? ▾
The market implied rate (currently 4.125%) is derived from CME 30-Day Fed Funds futures prices for the December 2026 contract. The formula is: implied rate = 100 − futures price. This reflects the market's expectation of the average Fed Funds rate over the December settlement period. The gap between this rate and the FOMC Dot Plot median (3.375%) is 75bps — a key FRFI input. Rate move probabilities are attributed to CME FedWatch (cmegroup.com).
What is the difference between CME FedWatch and Kalshi cut probability? ▾
CME FedWatch cut probability is derived from 30-Day Fed Funds futures prices and reflects institutional hedging flows. Current CME cut probability for the next meeting: 5%. Kalshi cut probability comes from the KXFEDDECISION contract on Kalshi, a CFTC-regulated Designated Contract Market (DCM) where participants trade real money on FOMC outcomes. Current Kalshi cut probability: 5%. When these two diverge significantly, it signals that institutional and retail participants have materially different views — a structural fragility signal captured in FRFI's third component.
What do Wall Street banks forecast for the Fed Funds rate at year-end? ▾
Wall Street banks forecast a year-end 2026 Fed Funds rate between 2.875% and 3.625% (average: 3.250%). The range reflects disagreement about the pace of disinflation and labor market resilience. Banks forecasting fewer cuts (e.g., Bank of America at 3.125%) see inflation persistence; those forecasting more cuts (e.g., Citigroup at 2.875%) see faster normalization. Sources: bank research notes, Bloomberg, Reuters.
How often does the FRFI update? ▾
The FRFI is updated manually after each FOMC meeting (8 times per year) and when significant data shifts occur — such as a major CPI print, NFP release, or Fed Chair speech that materially changes market pricing. The Dot Plot component updates only at the 4 SEP meetings (Mar 17–18, Jun 16–17, Sep 15–16, Dec 8–9). The Market vs Fed Gap and Prediction Market Divergence components can be updated more frequently. The current snapshot is as of 2026-02-21T16:00:00-05:00.
Why might rising unemployment NOT signal that rate cuts are coming? ▾
If unemployment rises due to AI-driven structural displacement — workers replaced by automation — rather than weak aggregate demand, cutting rates may not create jobs. It would instead risk reigniting inflation in an economy that is already producing more output per worker. Fed Governor Lisa Cook raised this directly at the NABE Annual Meeting (Feb 24, 2026): "If AI boosts productivity... monetary policy may not be the answer to rising unemployment." This is the Productivity-Driven Hawkishness (PDH) scenario: the Fed may need to hold or raise rates even as unemployment climbs, because the unemployment is structural, not cyclical. Markets pricing in rate cuts based on a cyclical unemployment assumption are exposed to a sharp repricing if the Fed adopts the PDH stance. FRFI is designed to detect this kind of consensus fragility. See: <a href="/glossary/pdh/">Productivity-Driven Hawkishness glossary entry</a>.
Is the FRFI investment advice? ▾
No. The Fed Rate Fragility Index (FRFI) is an experimental research tool developed by AhaSignals for educational and analytical purposes only. It does not constitute investment advice, financial advice, or trading recommendations. Past FRFI scores do not predict future rate decisions or market outcomes. AhaSignals is not affiliated with the Federal Reserve, CME Group, or Kalshi. Users are responsible for their own investment decisions and should consult a qualified financial advisor.
What FRED series does the Fed Rate Fragility Index track? ▾
FRFI references FRED DFEDTARU (Federal Funds Target Rate Upper Limit) and FRED DFF (Effective Federal Funds Rate) as baseline inputs, updated as of 2026-02-21. The Dot Plot dispersion component uses FOMC SEP projections (published quarterly). Market-implied rates come from CME FedWatch (derived from fed funds futures). All primary data sources are publicly available.

Methodology

The Fed Rate Fragility Index (FRFI) is a composite index developed by AhaSignals to measure the structural fragility of consensus around Federal Reserve interest rate expectations. It extends the same consensus-fragility framework used in the Gold Fragility Index (GFI) and Silver Structural Tension Index (SSTI) to the domain of monetary policy.

COMPONENT WEIGHTS & FORMULAS

1. Dot Plot Dispersion (40%): CV of FOMC participant rate projections. Score = min(CV × 400, 100), rounded to nearest integer. Source: FOMC SEP (Federal Reserve).

Dec 2025 SEP (n=19): mean = 3.2961%, median (dot-point) = 3.375%, Fed published median = 3.4%, σ = 0.4447%, CV = 13.18%, range = 2.125%–3.875%. Score = min(13.18 × 4, 100) = 53. Note: CV = σ / median (not σ / mean) to anchor dispersion to the policy-relevant central tendency.

2. Market vs Fed Gap (35%): |CME futures implied rate − Dot Plot median| in bps. Score = min(|gap_bps|, 100). Rate move probabilities attributed to CME FedWatch (implied by 30-Day Fed Funds futures).

3. Prediction Market Divergence (25%): |CME cut prob − Kalshi cut prob|. Score = min(divergence × 5, 100). Source: CME FedWatch + Kalshi Public API.

Composite = Σ(weight_i × score_i) / Σ(weight_i), rounded to nearest integer.

Signal: LOW <25 | ELEVATED 25–49 | HIGH 50–74 | CRITICAL ≥75

FRFI is currently in Beta with 3 of 5 planned components live. Future components include Forward Guidance Sentiment (NLP analysis of FOMC minutes) and Term Premium Signal (yield curve decomposition). All formulas are transparent and reproducible.

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⚠️ Research & Educational Purposes Only

This data is for research and educational purposes only. It does not constitute investment advice, financial advice, or trading recommendations. The Fed Rate Fragility Index is an experimental research tool. Past FRFI scores do not predict future rate decisions. Not affiliated with the Federal Reserve, CME Group, or Kalshi.

Our fragility scores are calculated using the open-source AhaSignals Protocol. View v1.0.0-beta Logic on GitHub ↗

DISCLAIMER

FRFI is a research indicator developed by AhaSignals Laboratory for educational and analytical purposes only. It does not constitute investment advice, a recommendation, or a solicitation to buy or sell any security.

DATA SOURCES AND ATTRIBUTION

FOMC Dot Plot data is sourced from the Federal Reserve's Summary of Economic Projections (public domain). Market-implied rate probabilities are independently calculated by AhaSignals from publicly available Fed Funds futures settlement data. Prediction market data is sourced from the Kalshi Public API. AhaSignals does not redistribute CME Group market data or Yahoo Finance data. References to "FedWatch" on this page describe a methodology concept (futures-implied rate probabilities) and do not imply data redistribution from CME Group.

NO ENDORSEMENT

AhaSignals is not affiliated with, endorsed by, or sponsored by the Federal Reserve, the Federal Reserve Bank of St. Louis, FRED, CME Group, Kalshi, Yahoo Finance, or any data provider referenced herein. "CME FedWatch" is a trademark of CME Group Inc.

LIMITATION

FRFI measures the structural fragility of consensus around Fed rate expectations. It does not predict FOMC decisions or market direction. Past FRFI scores do not guarantee future outcomes. All computed scores are model outputs subject to data input quality, methodology assumptions, and computational limitations.