Interpreting Futures Month Codes and Curve Tenors
Summary
The document explains how letter-and-digit maturity codes can identify futures delivery months and how those dates may be used when reading a curve. The letters H, M, U, and Z correspond to March, June, September, and December, while the digit gives the final digit of the year. Because the decade is not encoded, users must infer it from context. The example assumes a date in July 2011 and maps the codes to quarterly IMM dates, generally the third Wednesday of the relevant month. It distinguishes those futures-style dates from a calendar two-year point, measured from the curve’s starting date.
The answers are contextual rather than definitive: the original observation date is unknown, so the proposed decade is an assumption. One answer also questions whether “2Y” may belong to a different expiration-code convention, and the responses do not establish that interpretation. The discussion notes that the exact reference date matters when constructing or interpreting the curve, and that a three-month fixing may also be needed for a swap-related curve. Readers should verify the applicable exchange and instrument convention before relying on the mapping.
Key ideas
- H, M, U, and Z denote March, June, September, and December in the cited futures convention.
- The digit in a code identifies only the final digit of the year, so the decade must be inferred from context.
- Quarterly futures dates are associated with IMM dates, typically the third Wednesday of the month.
- A calendar two-year tenor is measured from the curve’s reference date and differs from a futures delivery code.
- The interpretation of an ambiguous code such as 2Y should be checked against the relevant contract convention.
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Full text
# What do these maturity codes mean? # What do these maturity codes mean? In fitting a curve I found that people are using the following tenors: U1 Z1 H2 M2 U2 Z2 2Y Could you please let me know what exact time periods they stand for? Is there a web page describing them? ## Answer by SRKX (score 3) https://quant.stackexchange.com/a/7168 I think they are using the same convention as the future exchanges for delivery months. You can find a complete mapping on the wiki page. The letter corresponds to a month and the number corresponds to the last digit of the year. So for example to understand `U1` you find `U`=>September and `1`=>`2011` (you have to "guess" the relevant decade, it's quite annoying). I believe the `2Y` would stand for 2 years from now. But not sure. ## Answer by Phil H (score 3) https://quant.stackexchange.com/a/7175 Standard 3m curve interpretation: H, M, U, Z = Mar, Jun, Sep, Dec IMM dates in the futures convention (see SRKX's answer), and 2Y would be just the calendar 2y point. Assuming that what you found was done in 11th July 2011: ``` U1 21 Sep 11 - 21 Dec 11 (IMM = 3rd Wednesday to following IMM) Z1 21 Dec 11 - etc H2 21 Mar 12 M2 20 Jun 12 U2 19 Sep 12 Z2 19 Dec 12 - 20 Mar 13 2Y 11 Jul 11 - 11 Jul 13 (calendar from 11 Jul 11 start) ``` If you saw those today, U1 would mean Sep 2021 (as Sep 2011 has passed), but that's too far out to use at present, so I'm going with the 2011 thesis. 2y is a reasonable point to splice into swaps. You also want the 3m fixing, or nothing will be right. ## Answer by Matt Wolf (score 0) https://quant.stackexchange.com/a/7172 I concur with SRKX, though I am also slightly puzzled by the 2Y here. Have you possibly mixed up futures expiration codes with the series numbers of index options expiration codes? In the exchange's infinite quest for more volume they introduced weekly or bi-weekly series and 2Y looks like the code of one of them. Check it out, its either an odd futures expiration code (2Y, I mean) or an options series code, referring to the expiration as well. But surly, the others refer to standard futures expirations.
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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.