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Derivatives

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  • June 18, 2020
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IMM Swap

A interest rate swap (typically, a fixed-floating swap) the expiration or termination dates of which follow the cycle of international money market futures and IMM futures options. That is, the reset periods of the floating leg are the IMM Eurodollar futures contract delivery dates. The yield curve used to mark an IMM swap to market is derived from Eurodollar futures prices. Generally, an IMM swap has an expiration of one to five year where the fixed leg is settled in an annual payment, and the floating rate is based on a three-month LIBOR.


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