IMM dates

The IMM dates are the four quarterly dates of each year which most futures contracts and option contracts use as their scheduled maturity date 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), and IMM stands for the International Monetary Market.

This choice of date – middle of month and middle of week – minimizes issues with date rolling, 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.[1] 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.[2][3]

Roll
Main article: Rolling (finance)

Contracts are frequently rolled on the IMM dates, making them among the highest volume trading days of the year.

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References
  1. Creditflux
  2. http://www2.isda.org/asset-classes/credit-derivatives/single-name-cds-roll/
  3. https://www.isda.org/a/vGiDE/amend-single-name-on-the-run-frequency-faq-revised-as-of-12-10.pdf
  • "Creditflux: Names and Dates". Archived from the original on 2007-05-28.
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