IMM Dates

1. Summary
2. Which one this project models, and why
3. Detail
4. See also

1. Summary

Two different sets of quarterly dates trade under the name "IMM date", and they are not the same dates. This page states both, because the difference matters to the resolver, and records which one ORE Studio models.

Convention	Dates	Used by
True IMM date	The third Wednesday of March, June, September, December — between the 15th and the 21st	Exchange-traded money-market and FX futures and options (Eurodollar, Short Sterling)
CDS roll date	20 March, 20 June, 20 September, 20 December, exactly, weekend or not	Credit default swap termination dates and quarterly premium dates

The second set is the one usually meant by "IMM date" in a credit context. It is not the IMM date at all: it falls close to it, so the market calls it that by abuse of language. The difference is visible in almost any quarter — in March 2027 the third Wednesday is the 17th, while the CDS roll date is the 20th, a Saturday.

2. Which one this project models, and why

The resolver's ROLL_QUARTER schedule models the CDS roll date: the 20th of the quarter month, exactly, with no business-day adjustment. Its only consumer is CREDIT_CDS_IMM, a credit convention, and the CDS rule is the one that underpins it. The absence of a business-day adjustment is the point of the rule rather than an omission: CDS standardisation fixes one termination date per series so that every contract in the series matures on the same day, and the date is allowed to fall on a weekend. Advancing it to the next business day would resolve two contracts in one series to different dates.

The true IMM date — the third Wednesday — is not modelled. Exchange-traded STIR futures, which use it, have no resolver schedule today. Adding one means a second schedule alongside ROLL_QUARTER, not a change to it, because the two rules disagree in most quarters. See the gap noted under "Uses" below.

3. Detail

3.1. Definition and notation

The true IMM date is the third Wednesday of March, June, September, or December. The CDS roll date is the 20th of those months, without adjustment. Notation nIMM refers to rolling forward by n quarters (e.g. IMM3 is three roll dates forward), and it inherits the same ambiguity: in a credit document it counts 20ths, and in a futures document it counts third Wednesdays. Unlike a standard tenor, neither date is computed relative to a horizon date by calendar arithmetic — each is one of a fixed set of four dates per year, and "the next roll date" or "IMM3 from here" is a lookup into that fixed set, not an arithmetic offset.

3.2. The roll schedule in the resolution model

In the unified tenor model (decided 2026-08-09 — see Tenor's "How a tenor resolves" section), the CDS roll dates are the ROLL_QUARTER schedule: closed-form, derivable by rule (the 20th of the quarter month, exactly), so the dates stay code-side in the resolver rather than being seeded as data. A CDS tenor resolves under SCHEDULE_STEP as "anchor + calendar offset, then n steps along ROLL_QUARTER": 1Y 1RQ is one year offset plus one roll step. The old IMM_ROLL algorithm row is superseded — CREDIT_CDS_IMM migrates to SCHEDULE_STEP; only the IMM_ROLL anchor name survives, as a measured_from value. The code model is documented in Tenor and Curve Bootstrapping Architecture.

3.3. Uses

As an alternative bucketing scheme for position reporting, alongside standard monthly tenor buckets. This use wants the true IMM dates, so it is not served by ROLL_QUARTER today.
In CDS curves, where all standard tenors resolve relative to the nearest following CDS roll date rather than to the horizon date directly — see Tenor's Credit/CDS Curves convention, which this fixed roll-date set underpins. This is the use ROLL_QUARTER serves.

3.4. Gap: the true IMM date has no schedule

Exchange-traded STIR futures settle on the true IMM date — the third Wednesday — and Interest Rate Curves's Short-Term Interest Rate (STIR) Futures section has the nearest IMM quarterly contract discounted back to fill the 6M--2Y gap. Nothing in the resolver computes that date today, and ROLL_QUARTER cannot stand in for it: the two rules disagree in most quarters. A futures IMM schedule is a second schedule alongside ROLL_QUARTER, and it is not built.

4. See also

Term Structures and Tenors — the hub.
Tenor — the Credit/CDS Curves convention built on IMM roll dates.
Interest Rate Curves — STIR futures bootstrapping off the nearest IMM contract.
FOMC Dates — the sibling fixed-schedule concept for the central bank's own meeting calendar; not to be confused with IMM dates.
Tenor and Curve Bootstrapping Architecture — the ROLL_QUARTER schedule and SCHEDULE_STEP resolution in code.