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Finding USD Swap Fixing Days Around IMM Dates

Article Quant Q&A · Author: The_Real_Jon_Dow
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Summary

The document asks how to determine the fixing day associated with a February USD swap date near an IMM date when a US holiday falls on the preceding day but London is open. The question raises whether the calendar should be checked in London first and then in the United States, and why the fixing date would not be several days earlier.

The response points to the official ICE LIBOR publication calendar as the relevant reference for fixing-day business status, and gives a historical calendar as an example. This offers a practical source to consult when a holiday makes the date convention unclear. The exchange does not explain the full day-count or fixing convention, establish a general ordering between calendars, or give a worked resolution for the stated date. Its guidance is specifically about checking the applicable publication calendar; users should not infer a universal swap-date rule from this brief answer.

Key ideas

  • The question concerns a USD swap fixing day near an IMM date affected by a US holiday.
  • The response directs readers to the official ICE LIBOR publication calendar to check fixing-day business status.
  • The exchange does not provide a complete explanation of the day convention or resolve the date example.

Tags

Fixed incomeUS markets
Full text
# USD Swap day convention (IMM) Feb 19


# USD Swap day convention (IMM) Feb 19












Quick question about something that I am not clear about February 19 IMM date is 20th of February, if I want to find the fixing day for that date I would be looking at February 18th, in the US Feb 18th is holiday where it is a good business day in london... Should I look at London days and then US? why is the fixing day not the 15th of February?

Thanks. JD

## Answer by Attack68 (score 1)

https://quant.stackexchange.com/a/41609

You look to the official calendar of ICE Libor publication. As an example from 2018: https://www.theice.com/publicdocs/LIBOR_Holiday_Calendar_2018.pdf

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