Skip to content
All library documents

Calendar-Day Averaging for Federal Funds Futures Settlement

Article Quant Q&A · Author: Oleg
Read the original

Summary

The document clarifies how the monthly average effective federal funds rate is treated when calculating the settlement price of 30-day federal funds futures. Although published effective rates are available only for business days, the contract’s averaging convention covers calendar days.

For Saturdays, Sundays, and holidays, the previous business day’s rate is carried forward. The response directly resolves the question about whether non-trading days are excluded from the monthly average. It does not expand on the contract’s full settlement calculation, provide worked examples, or discuss how the convention affects pricing or hedging, so readers should consult the relevant contract specifications for broader details.

Key ideas

  • The futures settlement calculation averages the effective federal funds rate across calendar days.
  • For weekends and holidays, the previous business day’s rate is used.
  • Business-day-only rate publication does not mean non-business days are omitted from the contract’s monthly average.

Tags

FuturesFixed incomeUS markets
Full text
# 30 Day Federal Funds Futures settlement price


# 30 Day Federal Funds Futures settlement price












A question regarding this futures: http://www.cmegroup.com/trading/interest-rates/stir/30-day-federal-fund.html

It says that settlement price = 100 - [average of effective federal fund rate for corresponding month].

So, here are the EFFR's: https://apps.newyorkfed.org/markets/autorates/fed%20funds They are, of cause, qouted for trading days only.

The question is: does "average of EFFRs for corresponding month" means average just for trading days or do they have some methodology to take Saturdays and Sundays into account? Couldn't find that on specs.

## Answer by Helin (score 3, accepted)

https://quant.stackexchange.com/a/26193

Fed funds futures are calendar-day based. For weekends and holidays, the rate from the previous business day is used.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.