IMM stands for International Monetary Markets and is part of the Chicago Mercantile Group. IMM swaps refer to a standard interest rate swap using IMM dates. These dates refer to the third Wednesday of March, June, September, and December. These dates are the final settlement dates for SOFR futures and are used by derivatives participants for other derivative transactions. The last trading day for SOFR futures is the day preceding the 3rd Wednesday of the delivery month.
