What do these maturity codes mean?

Question

In fitting a curve I found that people are using the following tenors:

U1 Z1 H2 M2 U2 Z2 2Y

Could you please let me know what exact time periods they stand for? Is there a web page describing them?

Answer 1

I think they are using the same convention as the future exchanges for delivery months.

You can find a complete mapping on the wiki page.

The letter corresponds to a month and the number corresponds to the last digit of the year. So for example to understand U1 you find U=>September and 1=>2011 (you have to "guess" the relevant decade, it's quite annoying).

I believe the 2Y would stand for 2 years from now. But not sure.

Answer 2

Standard 3m curve interpretation:

H, M, U, Z = Mar, Jun, Sep, Dec IMM dates in the futures convention (see SRKX's answer), and 2Y would be just the calendar 2y point. Assuming that what you found was done in 11th July 2011:

U1   21 Sep 11 - 21 Dec 11 (IMM = 3rd Wednesday to following IMM)
Z1   21 Dec 11 - etc
H2   21 Mar 12
M2   20 Jun 12
U2   19 Sep 12
Z2   19 Dec 12 - 20 Mar 13
2Y   11 Jul 11 - 11 Jul 13 (calendar from 11 Jul 11 start)

If you saw those today, U1 would mean Sep 2021 (as Sep 2011 has passed), but that's too far out to use at present, so I'm going with the 2011 thesis.

2y is a reasonable point to splice into swaps. You also want the 3m fixing, or nothing will be right.

Answer 3

I concur with SRKX, though I am also slightly puzzled by the 2Y here. Have you possibly mixed up futures expiration codes with the series numbers of index options expiration codes? In the exchange's infinite quest for more volume they introduced weekly or bi-weekly series and 2Y looks like the code of one of them. Check it out, its either an odd futures expiration code (2Y, I mean) or an options series code, referring to the expiration as well. But surly, the others refer to standard futures expirations.