Interest rate derivatives indexed on SOFR use USGS as the fixing calendar, which is defined in the FpML specs as:

U.S. Government Securities Business Day (as defined in 2006 ISDA Definitions Section 1.11 and 2000 ISDA Definitions Section 1.11)

Indeed, Section 1.11 of the 2006 ISDA Definitions defines this as follows:

Section 1.11 U.S. Government Securities Business Day. "U.S. Government Securities Business Day" means any day except Saturday, Sunday or a day on which the Securities Industry and Financial Markets Association recommends that the fixed income departments of its members be closed for the entire day for purposes of trading U.S. government securities.

That USGS is the fixing calendar makes sense. Indeed this is recognised as the publication schedule by the New York Fed, see SOFR footnote b, which states:

The Treasury repo reference rates will be published each business day that is not recognized as a holiday by the SIFMA calendar for secondary market trading of U.S. government securities. The Treasury repo reference rates, reflecting activity for the business day preceding a holiday will be published on the subsequent business day. Please note that on days in which trading in U.S. government securities is subject to an early close, the reference rates administered by the Desk will still be published. In the event that market participants recognize a previously unscheduled holiday, the New York Fed will publically communicate its approach to publishing reference rates it administers, with the goal of aligning as closely as possible to the approach used for scheduled holidays.

However, a key difference between holiday calendars in the USNY and USGS business centers is the treatment of Good Friday, and when SIFMA recommends that it is observed as a partial trading day, with an early close.

When is Good Friday a holiday in the holiday calendar for the USGS business center?


2 Answers 2


SOFR is based on the Repo market, which uses SIFMA USD calendar, in which Good Friday is (usually) a holiday. There is (usually, most years) no SOFR published on Good Friday. If SIFMA decides that the the Repo market will be open, even for a few hours, on a Good Friday in some years, then we should expect a SOFR value. In general, holidays should come from a database. It is not safe to assume that the SIFMA USD calendar always treats Good Friday as a holiday.

If you download the daily series from https://fred.stlouisfed.org/series/SOFR , you can observe that the series starts on Tuesday, April 3, 2018 - the day after Easter Monday (which is a London holiday, but not a U.S. holiday); shows N/A's for Good Fridays, April 19, 2019 and April 10, 2020, as well as Christmas days; but has values for Easter Mondays April 22, 2019 and April 13, 2020 as well as Boxing days (the day after Christmas, a London holiday). And if you download, for example, 3-month US treasury bill (cash instrument in secondary market) https://fred.stlouisfed.org/series/DTB3 , it has values and N/A's on the same dates.

We observe that in 2015, according to https://www.sifma.org/wp-content/uploads/2017/06/misc-us-historical-holiday-market-recommendations-sifma.pdf (page 20)

Good Friday on April 3rd, 2015 was an early close recommendation and not a full market close recommendation due to the release of the Employment Data that day.

And indeed the DTB3 series cited above has a value (0.02) for Good Friday, April 3, 2015.

Good Friday is definitely a working day for the FRB, so many other daily series are published. For example, if you download the Effective Fed Funds Rate from https://fred.stlouisfed.org/series/EFFR , you can observe that it does have numeric values on Good Fridays.

Conversely, if you download overnight USD LIBOR from https://fred.stlouisfed.org/series/USDONTD156N , you can observe that it has 0's on Good Fridays, Easter Mondays, and Boxing Days. Now, "0" is a perfectly reasonable value for LIBOR, but here they clearly meant N/A's - be careful :)

If you're trying to calculate cash flows of an instrument that's supposed to accrue some index daily using FRB holidays, then you need to agree on the logic to use, such as the last available index, to avoid disputes later. But you also need to be careful not to assume that an index is not published on days when it is actually published, like the Good Friday 2015 example.

  • $\begingroup$ My opinion above is based on my experience, in particular, working on populating a some of obscure emerging markets (think Afghanistan) calendars (for their government bonds) that are not listed in FPML, not populated (correctly) in Bloomberg CDR, and are not available in Swaps Monitor Financial calendar feed. Your first approximation is rules-based. You assume that the local equivalent of Christmas (using their calendar) will be a holiday. But then things become more fluid. (Continued) $\endgroup$ Aug 27, 2020 at 23:51
  • $\begingroup$ For example, U.S. president george H.W.Bush does on November 30, 2018. President Trump declared the following Wedenesday, December 5, 2018, a national day of mourning. London got a June 5, 2012 Jubillee declaration on a short notice, and we hope will have another one in 2022. Such declaration affected the pricing of some IR swaps, for example. In emerging markets such calendar changes (not expected to happen next year as opposed to U.S. possibly making Juneteenth a federal holiday) happen much more often. For example, when the Pope visited Chile, a holiday was declared (continued) $\endgroup$ Aug 27, 2020 at 23:58
  • $\begingroup$ in Santiago (but not other cities). That broke the pricing of CLP swaps whose floating leg accrues CAMARA index daily. In India, holidays are routinely declared on short notice for elections. China used to declare (or still does) working weekends, whose pattern is not fully predictable. Good practices include: 1 being able to price using the calendars that were in the system as of a historical date 2 calculating the "Calendar01", the P&L due to the daily change in the calendars. $\endgroup$ Aug 28, 2020 at 0:04

SIFMA will usually treat Good Friday as a full trading holiday, with an early close on Maundy Thursday, as was the case in 2020. However, when the BLS Employment Report is published on Good Friday, SIFMA recommends a partial trading day, so that traders can trade before and after the numbers.

Usually, the BLS Employment Report is described as being published on the first Friday in the month, for the preceding report month. However, this is not strictly accurate, as the report is actually published on the third Friday after the Friday of the week, Sunday-Saturday, that includes the 12th of the report month.

There are a few exceptions to this, such that the Employment Report is not published before 4th January, and is not published on US federal employee holiday. For example, if the report would have been published on Friday 3rd July, it is actually published on Thursday 2nd July - as in July 2020; that is, Saturday 4th July is the federal holiday, but in accordance with 5 U.S.C. 6103(b), the Friday is treated as a holiday for most federal employees. However, those exceptions are moot with respect to Good Friday.

Indeed, since March has 31 days, we can be confident that - other than in the case of something like a US government shutdown - the March Employment Report will be published on the first Friday in April:

  • if 12th March is a Sunday, such that the relevant Friday is the 16th March, 3 weeks after that is Friday 7th April (as will be the case in 2023)
  • if 12th March is a Saturday, such that the relevant Friday is the 11th March, 3 weeks after that is Friday 1st April (as will be the case in 2022)

As such, we can be confident that the March numbers will be published on the first Friday in April, and that if Good Friday falls on the first Friday in April, SIFMA will recommend that it will be a partial trading day rather than a full trading holiday, and there will be a SOFR fixing on that day.

SIFMA currently only publish their holiday schedule for previous years, the current year and next years but (at the time of writing) are currently recognising that Good Friday 2021 is expected to be a partial trading day:

Good Friday Early Close (12:00 p.m. Eastern Time): Friday, April 2, 2021 – Tentative – Subject to confirmation by the BLS’s Employment Situation Release Schedule

  • 1
    $\begingroup$ Wow! Soon one will need a PhD in Calendar Science to trade interest rate products. $\endgroup$
    – nbbo2
    Aug 27, 2020 at 23:48

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