What is IMM index?
Rachel Newton
Updated on February 19, 2026
Subsequently, one may also ask, what is IMM roll?
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.
Also Know, how do you read Eurodollar futures? Eurodollar futures prices are expressed numerically using 100 minus the implied 3-month U.S. dollar LIBOR interest rate. In this way, a eurodollar futures price of $96.00 reflects an implied settlement interest rate of 4%, or 100 minus 96. Price moves inverse to yield.
Consequently, what is an 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. The yield curve used to mark an IMM swap to market is derived from Eurodollar futures prices.
What is a Eurodollar contract?
A Eurodollar future is a cash settled futures contract whose price moves in response to the LIBOR interest rate. Eurodollar futures are a way for companies and banks to lock in an interest rate today, for money they intend to borrow or lend in the future.
Related Question Answers
What is CDS roll?
What does "rolling" for a CDS contract mean? One answer says: Entering into a new contract when the old one expires. Rolling is the act of closing the old contract and opening the new contract. The maturity of the CDS is typically much longer, with 5Y being the most commonly traded tenor.What is a Mac swap?
MAC Swap futures offer the opportunity to trade actual interest rate swaps on a forward basis with the financial protections attendant to a standard futures contract. As such, MAC Swap futures blend the advantages of trading both futures and over-the-counter (OTC) derivative instruments in a consolidated package.Where can I buy Eurodollar futures?
Schwab Futures offers trading in Eurodollar futures at the CME. CME interest rate futures contracts are traded using a price index, which is derived by subtracting the futures' interest rate from 100.00.Is Libor a risk free rate?
Although not theoretically risk-free, LIBOR is considered a good proxy against which to measure the risk/return tradeoff for other short-term floating rate instruments. The LIBOR curve can be predictive of longer-term interest rates and is especially important in the pricing of interest rate swaps.What is the meaning of euro currency?
Eurocurrency is currency held on deposit by governments or corporations operating outside of their home market. For example, a deposit of U.S. dollars (USD) held in a British bank would be considered eurocurrency, as would a deposit of British Pounds (GBP) made in the United States.What is a Eurodollar quizlet?
Eurodollar Bonds. Foreign bonds denominated in dollars but not registered with the SEC, thus restricting sales of new issues. Interest paid in US dollars.What is an interest rate futures contract?
An Interest Rate Futures contract is "an agreement to buy or sell a debt instrument at a specified future date at a price that is fixed today." The underlying security for Interest Rate Futures is either Government Bond or T-Bill.What is an open interest in options?
Open interest indicates the total number of option contracts that are currently out there. These are contracts that have been traded but not yet liquidated by an offsetting trade or an exercise or assignment. Unlike options trading volume, open interest is not updated during the trading day.What will happen to Eurodollar futures after Libor?
Under CME's proposed plan, a formal declaration that Libor is dead would trigger the automatic conversion of all Eurodollar futures outstanding into SOFR futures, with a price adjustment to account for differences between the two contracts. CME floated details of its plan in a video posted on its website last week.Why is it called Eurodollar?
The term eurodollar refers to U.S. dollar-denominated deposits at foreign banks or at the overseas branches of American banks. Dollar-denominated deposits not subject to U.S. banking regulations were originally held almost exclusively in Europe, hence the name eurodollar.Who buys Eurodollar bonds?
The Eurodollar is a U.S. dollar-denominated bond sold by a non-American bank or corporation situated outside the U.S. When a government or multinational firm decides to raise or borrow money for its financing needs from foreign investors, they can opt for Eurodollar bonds.What is the basic reason for the existence of the Eurodollar market?
The reason for the Eurodollar market to exist is that foreign banks have customers who wish to hold dollar balances or take out dollar loans from them.What is Libor and how does it work?
LIBOR is the benchmark interest rate at which major global banks lend to one another. LIBOR is administered by the Intercontinental Exchange, which asks major global banks how much they would charge other banks for short-term loans.What are the different Libor rates?
LIBOR is based on five currencies:- U.S. dollar (USD)
- Euro (EUR)
- Pound sterling (GBP)
- Japanese yen (JPY)
- Swiss franc (CHF)
