International Monetary Market
The International Monetary Market (IMM), a division of the CME Group, pioneered the trading of international financial derivatives, most notably futures on the world's largest foreign currencies. It has since merged into the Chicago Mercantile Exchange.
The IMM was launched by the CME in 1972 under the direction of exchange chairman Leo Melamed to facilitate trading in international financial futures, then in its infancy. The market was created separately because the CME reckoned that its target customers - most of them corporate financial decision-makers, had mostly not participated in futures markets before. The IMM later expanded beyond forex futures into trading derivatives on interest rates and stock indexes before fully merging with the CME in 1986. Today the IMM trades derivatives on the London Interbank Offer Rate (LIBOR), the 10-year Japanese government bond and the U.S. Consumer Price Index (CPI).
To price interest-rate futures, the International Monetary Market developed its IMM Index, which is calculated by subtracting the security's yield, or return as a percentage of overall value, from 'par' (100). The IMM Index gave a price to securities that had previously been quoted only by yield into price-quoted, and vice-versa. The IMM has since become a standard for pricing all interest-based financial futures.
One commonly-employed trading strategy using the IMM Index is called the TED spread and requires trading the price differential between three-month U.S. Treasury bill futures and three-month Eurodollar futures. Traders use the IMM to assign an interest rate to each contract and then try to predict and profit from those rates' relative future movements.