IMM Swaps - Accrual & Fixing Schedule

Question

I am wondering how accrual periods & reset dates on Quarterly-IMM swaps are different to normal swaps (in terms of conventions). For example:

Normal Swap:

PaymentDate  Fixing Date  Accrual Start  Accrual End  Accrual Factor
2019-03-05   2018-12-05   2018-12-05     2019-03-05   0.250
2019-06-05   2018-12-05   2019-03-05     2019-06-05   0.255
2019-09-05   2018-12-05   2019-06-05     2019-09-05   0.255
2019-12-05   2018-12-05   2019-09-05     2019-12-05   0.252

Quarterly-IMM Swap:

PaymentDate  Fixing Date  Accrual Start  Accrual End  Accrual Factor
2019-03-20   ?            ?              2019-03-20   ?
2019-06-19   ?            ?              2019-06-19   ?
2019-09-18   ?            ?              2019-09-18   ?
2019-12-18   ?            ?              2019-12-18   ?

I am asking because a normal LIBOR-3M swap has payment dates exactly 3M apart (ignoring ModFollowing, etc) and will thus produce accrual periods that are 3M long ($\rightarrow$ accrual factors of ~0.25).

IMM Swaps on the other hand may have payments dates that are a little less or more than 3M apart. Will this simply result in smaller or larger Accrual Factors (say 0.22 or 0.27)? And when does the reset/fixing happen? On the previous IMM date (= previous payment date) or just 3M prior to the current payment date? What are the conventions?

Answer 1

Quarterly-Quarterly Swaps (normal rolls) start on a specific date, say 20th March 2018 and have roll dates on the 20th of each Mar, Jun, Sep and Dec, meaning the fixing and accrual start date will be as close as possible to the 20th (but rolled forward if the 20th falls on a holiday).

E.g. Normal QQ 20th Rolls Swap:

PaymentDate  Fixing Date  Accrual Start  Accrual End  Accrual Factor
2019-06-20   2019-03-20   2019-03-20     2019-06-20   ...
2019-09-20   2019-06-20   2019-06-20     2019-09-20   ...

Quarterly-Quarterly Swaps (imm rolls) start and fix on IMM dates and their accrual schedule also fall between IMM dates,

E.g. QQ IMM Rolls Swap:

PaymentDate  Fixing Date  Accrual Start  Accrual End  Accrual Factor
2019-06-19   2019-03-20   2019-03-20     2019-06-19   ...
2019-09-18   2019-06-19   2019-06-19     2019-09-18   ...

Note that the above depicts a GBP swap where LIBOR fixes the same day as its value dates, but in EUR or USD for example with a two day lag, the fixing date would be adjusted to be two business days earlier so that the right fixing applies to the value start date.