Credit derivatives dealers have started to trade five-year credit default swap contracts with fixed quarterly maturity dates. Dealers have traditionally suffered maturity mismatches in attempting to run a balanced book, which has left them open to carrying an unhedged position should a credit event occur between maturity dates, explained one credit derivatives professional. By fixing quarterly maturity dates this permanent worry is removed, he noted.
The decision to fix maturity dates was made through concensus and implemented last Monday. The dates are the 20th of March, June, September and December.
