IMM Date definition
IMM Date means the third Wednesday of March, June, September and December, a traditional settlement date in the International Money Market. On each Index Roll Day, the position in the old DX Contract is partially sold. The position in the old DX Contract is calculated as follows: The new DX Contracts are purchased to create a long position. The notional value of the new DX Contract is expressed as: On each Index Roll Day, the position in the old DX Contract is partially purchased. The position in the old DX Contract is calculated as follows: The new DX Contracts are sold to create a short position. The notional value of the new DX Contracts is expressed as: On the Base Date, the initial long positions on the DX Contract in the Long Index was expressed as: On the Base Date, the initial short positions on the DX Contract in the Short Index was expressed as: Where:
IMM Date means the third Wednesday of March, June, September and December, a traditional settlement date in the International Money Market. The CME-traded futures contract of each applicable Index Currency that is closest to expiration is used in the Index calculation. The futures contracts on the Index Currencies are rolled during the Index Re-Weighting Period. The new futures contract on an Index Currency that has the next closest expiration date is selected. The calculation of the Index on an excess return basis is the weighted return of the change in price of the futures contracts on the Index Currencies. The excess return index is calculated as follows:
IMM Date means each of 20 March, 20 June, 20 September and 20 December in each year commencing in March 2007, up to and including the Scheduled Maturity Date provided that if any IMM Date would otherwise fall on a day which is not a Business Day, the IMM Date shall be postponed to the next day which is a Business Day unless that day falls in the next calendar month in which case the IMM Date shall be the first preceding day that is a Business Day.
Examples of IMM Date in a sentence
DX Contracts are rolled on the Wednesday prior to each IMM Date as follows: • The DX Contract that expires on the next IMM Date is sold.
DX Contracts are rolled on each Index Roll Day as follows: • On each Index Roll Day, 1/3 of the DX Contracts that will expire on the next IMM Date is sold and positions in the DX Contracts that expire on the IMM Date following the next IMM Date are purchased.
More Definitions of IMM Date
IMM Date means the third Wednesday of March, June, September and December, a traditional settlement date in the International Money Market. On the Index Roll Day, the position in the old DX Contract is sold. The position in the new DX Contract is simply zero: The notional value of the new DX Contract is expressed as: On the Index Rolling Day, the position in the old DX Contract is sold. The position in the new DX Contract is simply zero: The new DX Contracts are sold to create a short position. The notional value of the new DX Contracts is expressed as:
IMM Date means the third Wednesday of March, June, September and December, a traditional settlement date in the International Money Market. DX Contracts are rolled on the Wednesday prior to each IMM Date as follows: • The DX Contract that expires on the next IMM Date is sold. • A position in the DX Contract that expires on the IMM Date following the next IMM Date is purchased. The Index is calculated on both an excess return basis and a total return basis. The excess return index reflects the changes in market value over time, whether positive or negative, of the underlying DX Contracts. The total return is the sum of the changes in market value over time, whether positive or negative, of the underlying DX Contracts plus the return of 3-month U.S. Treasury bills. The following tables reflect both the excess return calculation and the total return calculation of the Long Index and the Short Index.
IMM Date means the third Wednesday of March, June, September and December in each year.
IMM Date means the third Wednesday of March, June, September and December, a traditional settlement date in the International Money Market. On the Index Roll Day, the position in the old DX Contract is sold. The position in the new DX Contract is simply zero: The notional value of the new DX Contract is expressed as: On the Index Rolling Day, the position in the old DX Contract is sold. The position in the new DX Contract is simply zero: N(t,i)=0 The new DX Contracts are sold to create a short position. The notional value of the new DX Contracts is expressed as: On the Base Date, the initial long positions on the DX Contract in the Long Index was expressed as: On the Base Date, the initial short positions on the DX Contract in the Short Index was expressed as: Where: i = old DX Contract j = new DX Contract t = Index calculation date Fp(t,i) = future price of old i on day t Fp(t,j) = future price of new j on day t y(t) = T-▇▇▇▇ yield on day t Rt(t) = T-▇▇▇▇ return on t ▇▇▇▇(t) = Excess Return Index level on day t ILtr(t) = Total Return Index level on day t d(t,t–1) = Number of calendar days between day t and Index calculation day t-1 excluding day t N(t,i) = Notional holding of i on Index calculation day t N(t,j) = Notional holding of j on Index calculation day t If an Index Disruption Event in relation to (A) any DX Contract or (B) any underlying Index Currency or an Exchange Instrument on such underlying Index Currency continues for a period of five successive Exchange Business Days, the Index Sponsor will, in its discretion, either with respect to (A), review the price of an instrument, if available, that is substantially similar to the DX Contract, or with respect to (B), obtain all the Closing Prices for the unaffected Index Currencies, then, with respect to the disrupted Index Currenc(y)(ies) either (i) calculate the relevant Closing Price by reference to the Closing Price of the Exchange Instrument on such Index Currency on the immediately preceding Valid Date (as provided in the definition of the relevant Closing Price) for a further period of five successive Exchange Business Days or (ii) select:
IMM Date means the third Wednesday of March, June, September and December, a traditional settlement date in the International Money Market. This roll takes place over a period of time in order to allow for more efficient execution during the roll period. With respect to each DX Contract, each Master Fund employs the below rule-based approach when it rolls from one DX Contract to another. DX Contracts are rolled on each Index Roll Day as follows: • On each Index Roll Day, 1/3 of the DX Contracts that will expire on the next IMM Date is sold and positions in the DX Contracts that expire on the IMM Date following the next IMM Date are purchased. • On each Index Roll Day, new notional holdings are calculated for the old DX Contracts leaving an Index as well as the new DX Contracts entering an Index. • On all days that are not Index Roll Days, the notional holdings of the DX Contracts in an Index remain constant. Each Index is calculated on both an excess return basis and a total return basis. The excess return index reflects the changes in market value over time, whether positive or negative, of the underlying DX Contracts. The total return is the sum of the changes in market value over time, whether positive or negative, of the underlying DX Contracts plus the return of 3-month U.S. Treasury bills. The following tables reflect both the excess return calculation and the total return calculation of the Long Index and the Short Index.