IMM Dates are used to define critical dates for the SOFR futures contracts at the CME Group. Many OTC arranged interest rate swaps, such as “IMM Swaps”, are now pegging their floating rate payment dates to the IMM date calendar. Source: www.cmegroup.com
For more information on the SOFR futures contract go to https://www.gfmi.com/articles/3-month-sofr-futures/.
