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IMM Date Adjustments and Fixing Dates in Interest Rate Swaps

Article Quant Q&A · Author: eddiewould
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Summary

The document explains how IMM dates are applied to interest-rate swap periods and related fixing dates. For swaps, periods begin and end on the third Wednesday of each quarter, adjusted to the following business day when necessary. These adjusted dates determine the accrual period used in the day-count calculation.

The fixing date is set so that the spot date coincides with the IMM period start. The required offset depends on the currency: the answer gives GBP as same-day and USD as two working days before. It also distinguishes the CDS convention, where quarterly IMM dates are based on the twentieth rather than the third Wednesday, with following adjustment. The response is a concise convention overview; it does not provide a full schedule-generation specification or cover every currency, holiday calendar, or contract type, so conventions should be checked for the instrument and market in question.

Key ideas

  • Interest-rate swap IMM periods use quarterly third-Wednesday dates, adjusted following when needed.
  • Adjusted period boundaries determine the dates used for accrual and day-count calculations.
  • Fixing dates are determined so the spot date matches the IMM period start, with offsets varying by currency.
  • The answer gives GBP same-day fixing and USD fixing two working days before as examples.
  • CDS IMM dates follow a different quarterly rule, using the twentieth day with following adjustment.

Tags

Fixed incomeDerivatives pricingStatistics
Full text
# IMM rolls: Are there special business day conventions?


# IMM rolls: Are there special business day conventions?












If a trade (lets say for example a 'simple' interest rate swap) is using IMM rolls (so the interest calculation periods start and end on IMM Wed dates), are there particular/special business day conventions that are (can) be used for rolling period start/end date, fixing date & settlement date - or is it just the 'usual' set of business day conventions i.e. following, modified following etc?

## Answer by BlueTrin (score 2, accepted)

https://quant.stackexchange.com/a/9358

For Interest Rate Swaps, IMM means the periods will be the third Wednesday of each quarter adjusted in following if needed. This means that the start and end dates of each period to compute your day count fraction will be using these dates.

The fixing date however will be such as the spot is the IMM start date. This means that for GBP it will be the same day and for USD it will be two working days before. This is pretty much the same than a swap rolling on a certain date except the date modifier sticks to an IMM instead of a certain day of the month.

However, for some twisted reason, the CDS market decided that IMM dates should be the 20th of each quarter (adjusted as well in following).

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.