Fed funds futures
E17374
Fed funds futures are exchange-traded derivatives that allow market participants to hedge or speculate on the future level of the U.S. federal funds interest rate.
Statements (49)
| Predicate | Object |
|---|---|
| instanceOf |
financial derivative
ⓘ
interest rate futures contract ⓘ |
| category | short-term interest rate futures ⓘ |
| clearing | central counterparty clearing ⓘ |
| clearingHouse |
CME Group
ⓘ
surface form:
CME Clearing
|
| contractUnit | one-month average of daily effective federal funds rate ⓘ |
| countryOfOrigin |
United States of America
ⓘ
surface form:
United States
|
| denominationCurrency |
US dollar
ⓘ
surface form:
United States dollar
|
| introducedFor | managing short-term U.S. interest rate exposure ⓘ |
| marginRequirement | exchange-determined performance bond ⓘ |
| market | CME Group ⓘ |
| maturityRange |
monthly contracts
ⓘ
multiple years ahead on the short end of the yield curve ⓘ |
| minimumPriceFluctuation |
0.005 percentage points
ⓘ
0.25 basis points ⓘ |
| participant |
asset managers
ⓘ
banks ⓘ corporate treasurers ⓘ hedge funds ⓘ proprietary trading firms ⓘ |
| priceDeterminedBy | expectations of Federal Open Market Committee decisions ⓘ |
| priceInfluencedBy |
Federal Reserve communications
ⓘ
U.S. macroeconomic data releases ⓘ inflation expectations ⓘ |
| pricingConvention | 100 minus implied average federal funds rate ⓘ |
| quotationUnit | interest rate in percent ⓘ |
| regulates | Federal Reserve monetary policy expectations ⓘ |
| regulatoryOversight | U.S. Commodity Futures Trading Commission ⓘ |
| relatedTo |
Eurodollar futures
ⓘ
SOFR futures ⓘ U.S. Treasury bill futures ⓘ |
| risk |
basis risk versus actual effective federal funds rate
ⓘ
liquidity risk ⓘ market risk ⓘ |
| riskFactor | short-term U.S. money market rates ⓘ |
| settlementMonth | calendar month ⓘ |
| settlementReference | average effective federal funds rate for contract month ⓘ |
| settlementType | cash settled ⓘ |
| tradedOn | Chicago Mercantile Exchange ⓘ |
| tradingHours | nearly 24-hour electronic trading ⓘ |
| tradingPlatform |
CME Group
ⓘ
surface form:
CME Globex
|
| typicalContractSize | $5,000,000 notional per contract ⓘ |
| underlyingInstrument |
U.S. federal funds target rate
ⓘ
effective federal funds rate ⓘ |
| usedBy |
economists to extract implied probabilities of rate hikes
ⓘ
traders to position around FOMC meetings ⓘ |
| usedFor |
hedging interest rate risk
ⓘ
inferring market-implied path of policy rates ⓘ speculating on future Federal Reserve policy ⓘ |
Referenced by (1)
Full triples — surface form annotated when it differs from this entity's canonical label.