Fed Funds Futures Rolls, Monthly Contracts, and Policy-Expectation Data
Summary
The document explains a data choice for studying market expectations of Federal Reserve policy. Actual 30-day Fed Funds futures reference the average effective rate over a calendar month, so they do not offer a contract with a continuously rolling 30-day expiration. Bloomberg’s generic first contract is a series that switches from one listed monthly contract to the next, rather than a distinct rolling-maturity instrument. One response says this generic series may suit research that uses its daily price changes.
The discussion describes converting changes in the monthly-average futures price into daily policy surprises using a factor that depends on the day within the month; changes nearer month-end receive greater weight. It also suggests one-month USD overnight index swaps as an approximate alternative, while noting calendar-varying maturities, and Eurodollar futures as another proxy with LIBOR-related credit exposure. These are forum answers, not a data validation or definitive reconstruction guide; contract conventions, historical availability, and the target study’s exact method should be checked before replication.
Key ideas
- Fed Funds futures settle against a calendar month’s average effective rate rather than a rolling 30-day period.
- The generic first contract rolls between listed monthly contracts at the start of a month.
- Daily price changes may be scaled according to the position of the observation within the contract month.
- One-month USD overnight index swaps are suggested as an approximate proxy, with maturity varying by calendar.
- Eurodollar futures can proxy rate expectations but include LIBOR-related credit risk.
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Full text
# How to get historical fed funds futures data from Bloomberg? # How to get historical fed funds futures data from Bloomberg? I'm look for historical data on the 30-Day Federal Funds futures contract, in order to replicate the results of the following article: https://www.sciencedirect.com/science/article/pii/S0304393208000494 I want the expiration to be rolling, such that I for each observation, get the price that market participants were willing to pay for a contract that expires in 30 days. I have so far been looking at the contract called "ff1 comdty", which refers to something called a "Generic 1st Fed Funds Futures" contract. What does it mean that it is "Generic 1st"? And is it the correct contract type for my purpose? ## Answer by Phil H (score 1) https://quant.stackexchange.com/a/42255 The real Fed Fund Futures are constructed by the exchange and set to run from start to end of a calendar month, so unfortunately there is no rolling future price. The "generic 1st" contract is just a placeholder which rolls from one contract to the next at the beginning of the month. The closest you are likely to get is the 1m USD OIS price; this is a fixed rate in exchange for daily-compounded Fed Fund rates. Its length will vary with the calendar, but it should largely suffice. ## Answer by PlantFox (score 0) https://quant.stackexchange.com/a/42679 Eurodollar futures are a good approximation of fed funds expectation. You can get it on BBG via ED ticker. Often Eurodollar futures are used to determine probability of hikes/cuts. One thing to note, Eurodollar have some credit risk because it is related to LIBOR. To remove it you can strip it with the OIS 1m. ## Answer by spindash_st (score 0) https://quant.stackexchange.com/a/43405 I do not understand why you need rolling expiration. My understanding of that article of Piazzesi Swanson 2008 is that they use the daily last price of the "Generic 1st Fed Funds Futures". Their goal is to extract daily risk-free changes in market expectations about monetary policy. Since the price of a Fed Funds Futures contract is for the monthly average of the effective Fed Funds rate you have to interpolate that value to get a daily change. In particular, one considers the daily change in the FF1 last price and multiply it by a factor based on the day of the month.Intuitively, price changes at the end of the month are more relevant that at the beginning. See KUTTNER Kenneth 2000 Monetary Policy Surprises and Interest Rates: Evidence from the Fed Funds Futures Market for a detailed discussion of how and why this factor is computed. In general, the swap markets for interest rates is newer (less time series data), smaller and less liquid that CBOE Fed Funds Futures market.
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