The IMM dates are the four quarterly dates of each year which certain money market and Foreign Exchange
futures contract
In finance, a futures contract (sometimes called futures) is a standardized legal contract to buy or sell something at a predetermined price for delivery at a specified time in the future, between parties not yet known to each other. The item tr ...
s and
option contracts use as their scheduled
maturity date
Maturity or immaturity may refer to:
* Adulthood or age of majority
* Maturity model
** Capability Maturity Model, in software engineering, a model representing the degree of formality and optimization of processes in an organization
* Developme ...
or
termination date. The dates are the third Wednesday of March, June, September and December (i.e., between the 15th and 21st, whichever such day is a Wednesday).
These contracts stop trading the Monday preceding the third Wednesday of a March quarterly cycle
see CME Tutorial
IMM stands for the
International Monetary Market
The International Monetary Market (IMM), a related exchange created within the old Chicago Mercantile Exchange and largely the creation of Leo Melamed, was one of four divisions of the CME Group (CME), the largest futures exchange in the United S ...
.
This choice of date – middle of month and middle of week – minimizes issues with
date rolling
In finance, date rolling occurs when a payment day or date used to calculate accrued interest falls on a holiday, according to a given business calendar. In this case, the date is moved forward or backward in time such that it falls in a busines ...
, as holidays are very unlikely to make the closest business day in another week or other month.
The term is also used for the conventional quarterly termination dates of
credit default swaps, which fall on 20 March, 20 June, 20 September and 20 December – note that these may fall on a weekend. These are not precisely the IMM dates, but they fall close to them and thus are also referred to as "IMM dates", by abuse of language.
CDS standardization
From late 2002, the CDS market began to standardize credit default swap contracts so that they would all mature on one of the four days of 20 March, 20 June, 20 September and 20 December. These dates are used both as termination dates for the contracts and as the dates for quarterly premium payments.
So, for example, a ‘five-year’ contract traded any time between 20 September 2005 and 19 December 2005 would have a termination date of 20 December 2010.
In December 2015, the roll has been reduced to Semi Annual, i.e., only on September and March.
[https://www.isda.org/a/vGiDE/amend-single-name-on-the-run-frequency-faq-revised-as-of-12-10.pdf ]
Roll
Contracts are frequently
rolled on the IMM dates, making them among the highest volume trading days of the year.
References
*
Foreign exchange market
Derivatives (finance)
Swaps (finance)
Settlement (finance)
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