Fed Funds Futures Final Settlement
See how 30-Day Fed Funds futures settle from a month's average EFFR, how non-publication days are handled, and why the result is not a policy forecast.
Direct answer
A 30-Day Fed Funds futures contract's final settlement price is 100 minus the arithmetic average of the applicable daily EFFR during its named delivery month, under CME's rulebook. It is determined after the month is complete and does not equal a final traded price, one daily EFFR observation, or a forecast of a later FOMC decision.
Expiration and final settlement are separate timestamps
For an expiring 30-Day Federal Funds futures contract, CME's rulebook says trading terminates at the close of trading on the last business day of the delivery month. An expiring contract is marked to market by the exchange daily settlement price on its last trading day.
The final settlement price is determined later, on the business day when the New York Fed publishes the rate for the final day of that delivery month. Keep the trading-end timestamp, daily settlement field, final-rate publication, and final settlement field distinct. What 30-Day Fed Funds futures are sets out the named monthly reference window behind those records.
Final settlement uses an arithmetic monthly average
The rulebook defines final settlement as 100 minus the arithmetic average of the rate during the contract delivery month. In compact form:
Final settlement price = 100 − arithmetic average of applicable daily EFFR
This is a rule-defined closing record for the named month. It should not be substituted with an old daily rate, a policy target, or a nearby contract's price. Fed Funds futures price and implied rate explains the same 100-minus convention before the month is complete.
Non-publication days have a stated rulebook treatment
The CME rulebook specifies that when the New York Fed does not publish a rate for a day in the delivery month, such as a weekend or U.S. bank holiday, the applicable rate is the rate for the most recent preceding day for which a rate was published. It also specifies rounding for the arithmetic average.
That treatment is part of the contract rule, not a choice to fill a missing observation with an arbitrary current value. The New York Fed's EFFR page describes the daily reference-rate publication; the rulebook defines how its monthly contract calculation handles the non-publication dates.
Cash settlement is not physical Treasury delivery
Contracts that remain outstanding after trading ends are settled in cash through the clearing process and normal variation-margin procedures under CME's rulebook. This differs from a physically deliverable futures contract, where an eligible security and delivery procedure may become relevant.
Cash-settled versus physically delivered futures separates those two settlement designs. Do not import Treasury-note delivery terms, a conversion factor, or a cheapest-to-deliver calculation into a 30-Day Fed Funds final-settlement explanation.
Preserve the field and publication record
A reproducible final-settlement record identifies the contract month-year, last trading day, exchange field, New York Fed rate publication used for the last delivery-day input, calculation convention, and final settlement value. This prevents a daily settlement or last trade from being mislabeled as final.
Settlement price versus last trade is useful when a price source is unclear. For a meeting-probability question, return to what the CME FedWatch Tool shows instead of turning a completed monthly settlement into a policy forecast.
This guide describes final-settlement mechanics. It does not calculate a current settlement value, publish live exchange data, predict a policy decision, or recommend a futures position. Use current exchange documentation and account requirements for an actual contract decision.
Common questions
When is Fed Funds futures final settlement determined?
CME's rulebook says it is determined on the business day when the New York Fed publishes the rate for the last day of the expiring contract's delivery month.
Is the final settlement price the last traded price?
No. The final value follows the rule-defined monthly EFFR calculation. The last trade and the exchange daily settlement are separate price fields.
How are weekends handled in the settlement calculation?
For a delivery-month day with no New York Fed rate publication, the rulebook uses the rate from the most recent preceding publication day.
Does 30-Day Fed Funds futures settle through Treasury delivery?
No. CME's rulebook describes cash settlement for expiring contracts that remain outstanding after trading ends.
Does final settlement reveal the next FOMC decision?
No. It records the completed delivery month's applicable rate inputs. A future policy decision is a different event with a different time horizon.