IMM Dates

An IMM date is the first business day following 20 March, 20 June, 20 September, or 20 December. Notation nIMM refers to rolling forward by n IMM quarters (e.g. IMM3 is three IMM dates forward). Unlike a standard tenor, an IMM date is not computed relative to a horizon date by calendar arithmetic — it is one of a fixed set of four dates per year, and "the next IMM date" or "IMM3 from here" is a lookup into that fixed set, not an arithmetic offset.

In the unified tenor model (decided 2026-08-09 — see Tenor's "How a tenor resolves" section), the IMM roll dates are the ROLL_QUARTER schedule: closed-form, derivable by rule (20th + business-day adjustment), 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 The old IMM_ROLL algorithm row is superseded — CREDIT_CDS_IMM migrates to SCHEDULE_STEP; only the IMM_ROLL anchor name survives, as a measured_from value.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.

• As an alternative bucketing scheme for position reporting, alongside standard monthly tenor buckets.
• As the underlying schedule for Eurodollar / Short Sterling futures used in USD curve bootstrapping — see Interest Rate Curves's Short-Term Interest Rate (STIR) Futures section, where the nearest IMM quarterly contract is discounted back to fill the 6M--2Y gap.
• 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.