30-Day Interest Rate Futures Margin & Contract Specifications

What are 30-Day Interest Rate Futures?

30-day interest rate futures are based on the arithmetic average of the effective U.S. federal funds rate. The contract price is quoted as 100 minus the interest rate. For example, a quoted price of 92.75 implies that the arithmetic average of the daily overnight federal funds rate for the contract month is 7.25% (100 − 7.25 = 92.75). This rate reflects the market’s expectations for the benchmark interest rate over the coming month.

Factors Affecting 30-Day Interest Rate Futures Prices

1. Central bank policy and policy expectations

Whether the U.S. Federal Reserve or other relevant central banks have entered a tightening or easing cycle directly affects the 30-day interest rate, which almost immediately reflects the direction of policy rates.

Changes in the wording of Federal Open Market Committee (FOMC) statements, hawkish or dovish remarks by officials, and the dot plot can all influence market expectations. Even if the policy rate itself has not yet changed, shifts in expectations regarding a potential rate adjustment at the next meeting are quickly reflected in futures prices.

2. Economic data

The market uses economic data to forecast the future policy direction of the Federal Reserve. When indicators such as the Consumer Price Index (CPI) come in higher than expected, nonfarm payrolls are strong, and unemployment remains low, the market tends to anticipate tighter monetary policy (rate hikes), causing 30-day interest rate futures prices to decline.

3. Financial market risk events

When sudden global crises such as wars or instability in the banking system occur, capital often flows into safe-haven assets such as government bonds. Markets typically expect central banks to cut interest rates to support the economy, which in turn drives interest rate futures prices higher.

During periods of heightened uncertainty, market participants may demand higher risk premiums, subtly affecting the spread between futures prices and spot interest rates.

4. Market liquidity and quarter-end effects

At quarter-end or year-end, banks’ demand for funding tends to increase in order to meet regulatory requirements such as the Liquidity Coverage Ratio (LCR). This can cause short-term interest rates to temporarily deviate from the Federal Reserve’s target range, thereby affecting settlement expectations for interest rate futures contracts in that month.

In addition, the Federal Reserve’s use of repo and reverse repo operations to manage market liquidity can influence the actual effective interest rate, leading to fluctuations in 30-day interest rates.

5. Fiscal and debt-related events

Risks of government shutdowns, the pace of government debt issuance, and large-scale issuance of short-term Treasury bills (T-bills) can all affect interest rate movements. For example, when T-bill supply is excessive, investors and institutions may deploy cash to purchase short-term government securities, potentially leading to a shortage of liquidity in the market and pushing short-term interest rates higher.

30-Day Fed Fund Margin

How much money is needed to trade futures? At the beginning, the required margin is the initial margin. While holding a position, the margin after deducting floating profits and losses must remain above the maintenance margin; otherwise, a margin call will be issued. For day-trading margin, only half of the margin is required, provided the position is closed before the market closes.

Foreign Futures

30-Day Fed Fund Contract Specifications

Here is a summary for traders of the contract specifications, exchange, trading hours, minimum price fluctuation, and available trading months for 30-Day Fed FundFutures.

30-Day Fed FundLast Trading Day

Futures