“Trac-x Europe options are the first liquid, standardised products to trade credit volatility,” said Lee McGinty, head of credit derivatives index research at JP Morgan Chase in London. “Not only do they add a new dimension to credit trading, but they further boost the liquidity and transparency of the credit markets."
Trac-x credit default swap indexes were launched jointly by JP Morgan Chase and Morgan Stanley at the beginning of April. The banks said several billions of euros of Trac-x Europe swaps notionals have been traded since their launch, in €25 million to €50 million sizes and with bid-offer spreads of 2bp to 3bp. The banks said they also plan to launch Trac-x indexes covering North America and Japan “within a matter of weeks”, with JP Morgan Chase’s Emerging Markets Derivatives Index (EMDI) expected to join shortly after.