Accrual and Fixing Conventions for Quarterly IMM Swaps
Summary
This note distinguishes quarterly swaps on regular calendar rolls from quarterly swaps on IMM dates. For a regular quarterly schedule, fixing and accrual start dates align as closely as possible with the recurring roll date, subject to holiday adjustment. For an IMM schedule, the accrual periods run between successive IMM dates, so payment dates can be slightly less or more than three calendar months apart while still following the IMM schedule.
The examples show an IMM payment date paired with the prior IMM date as the accrual start and, in the illustrated GBP convention, the fixing date. The answer adds that currencies such as EUR or USD may use a fixing lag of two business days relative to the value start date. It does not provide accrual factors or specify every market’s business-day, day-count, and payment conventions, so the applicable currency and contract terms must be checked.
Key ideas
- Regular quarterly swaps follow recurring calendar roll dates, subject to holiday adjustments.
- Quarterly IMM swaps accrue between successive IMM dates, which are not always exactly three months apart.
- In the GBP example, fixing and accrual begin on the prior IMM date.
- Some currencies apply a fixing lag before the accrual start date.
- Accrual factors and other conventions depend on the specific market and contract terms.
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Full text
# IMM Swaps - Accrual & Fixing Schedule # IMM Swaps - Accrual & Fixing Schedule I am wondering how accrual periods & reset dates on Quarterly-IMM swaps are different to normal swaps (in terms of conventions). For example: Normal Swap: ``` PaymentDate Fixing Date Accrual Start Accrual End Accrual Factor 2019-03-05 2018-12-05 2018-12-05 2019-03-05 0.250 2019-06-05 2018-12-05 2019-03-05 2019-06-05 0.255 2019-09-05 2018-12-05 2019-06-05 2019-09-05 0.255 2019-12-05 2018-12-05 2019-09-05 2019-12-05 0.252 ``` Quarterly-IMM Swap: ``` PaymentDate Fixing Date Accrual Start Accrual End Accrual Factor 2019-03-20 ? ? 2019-03-20 ? 2019-06-19 ? ? 2019-06-19 ? 2019-09-18 ? ? 2019-09-18 ? 2019-12-18 ? ? 2019-12-18 ? ``` I am asking because a normal LIBOR-3M swap has payment dates exactly 3M apart (ignoring ModFollowing, etc) and will thus produce accrual periods that are 3M long ($\rightarrow$ accrual factors of ~0.25). IMM Swaps on the other hand may have payments dates that are a little less or more than 3M apart. Will this simply result in smaller or larger Accrual Factors (say 0.22 or 0.27)? And when does the reset/fixing happen? On the previous IMM date (= previous payment date) or just 3M prior to the current payment date? What are the conventions? ## Answer by Attack68 (score 1) https://quant.stackexchange.com/a/44448 Quarterly-Quarterly Swaps (normal rolls) start on a specific date, say 20th March 2018 and have roll dates on the 20th of each Mar, Jun, Sep and Dec, meaning the fixing and accrual start date will be as close as possible to the 20th (but rolled forward if the 20th falls on a holiday). E.g. Normal QQ 20th Rolls Swap: ``` PaymentDate Fixing Date Accrual Start Accrual End Accrual Factor 2019-06-20 2019-03-20 2019-03-20 2019-06-20 ... 2019-09-20 2019-06-20 2019-06-20 2019-09-20 ... ``` Quarterly-Quarterly Swaps (imm rolls) start and fix on IMM dates and their accrual schedule also fall between IMM dates, E.g. QQ IMM Rolls Swap: ``` PaymentDate Fixing Date Accrual Start Accrual End Accrual Factor 2019-06-19 2019-03-20 2019-03-20 2019-06-19 ... 2019-09-18 2019-06-19 2019-06-19 2019-09-18 ... ``` Note that the above depicts a GBP swap where LIBOR fixes the same day as its value dates, but in EUR or USD for example with a two day lag, the fixing date would be adjusted to be two business days earlier so that the right fixing applies to the value start date.
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