International Monetary Market

International Monetary Market

The International Monetary Market (IMM), largely the creation of Leo Melamed, is part of the Chicago Mercantile Exchange (CME), the largest futures exchange in the United States and the second largest in the world after Eurex, for the trading of futures contracts and options on futures. The IMM was started on May 16, 1972. Two of the more prevalent contracts traded are currency futures and interest rate futures.

IMM Dates are the four dates of each year which most credit default swaps use as their scheduled termination date. The dates are the third Wednesday of March, June, September and December.

From late 2002, the market began to standardise credit default swap contracts so that they would all mature on one of four days each year – 20 March, 20 June, 20 September and 20 December. So, for example, a ‘five-year’ contract traded any time between 21 September 2005 and 20 December 2005 would have a termination date of 20 December 2010. Premiums for credit default swaps are usually paid quarterly on these same dates, which are often called IMM dates by analogy with the International Monetary Market date used in the euromoney market. (However, it should be noted that the true IMM dates are the third Wednesday of March, June, September and December.) [http://www.creditflux.com/resources/names+and+dates.htm]

ee also

* List of futures exchanges

External links

* [http://www.cme.com/ Chicago Mercantile Exchange website]

Notes


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