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If a trade (lets say for example a 'simple' interest rate swap) is using IMM rolls (so the interest calculation periods start and end on IMM Wed dates), are there particular/special business day conventions that are (can) be used for rolling period start/end date, fixing date & settlement date - or is it just the 'usual' set of business day conventions i.e. following, modified following etc?

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up vote 1 down vote accepted

For Interest Rate Swaps, IMM means the periods will be the third Wednesday of each quarter adjusted in following if needed. This means that the start and end dates of each period to compute your day count fraction will be using these dates.

The fixing date however will be such as the spot is the IMM start date. This means that for GBP it will be the same day and for USD it will be two working days before. This is pretty much the same than a swap rolling on a certain date except the date modifier sticks to an IMM instead of a certain day of the month.

However, for some twisted reason, the CDS market decided that IMM dates should be the 20th of each quarter (adjusted as well in following).

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