JP Morgan Chase offers standard maturity dates for credit derivatives in Europe

JP Morgan Chase will quote credit default swaps in Europe with 12 standard maturity dates for each calendar year from today. The move is part of an effort to boost liquidity in the credit derivatives market, with European contracts now ending on the twentieth day of each month.

The US investment bank has already standardised maturity dates in the United States using quarterly maturities of March 20, June 20, September 20 and December 20. But portfolio managers and convertible hedge funds in Europe were keen to have monthly maturity dates due to concerns about mismatched positions.

But there are concerns that quoting monthly, rather than quarterly, contract dates in Europe may have a negative impact on liquidity. “Only market practice will show how clients value superior liquidity over mismatch risks, and whether there is sufficient turnover in all 12 dates or whether trading becomes concentrated in the quarterly dates,” said JP Morgan Chase vice-president for credit derivatives flow marketing Marcus Schueler.

JP Morgan Chase said it would continue to offer credit default swaps contracts with non-standard maturity dates, but it anticipates greater liquidity in standard contract dates.