Documentation is not the only aspect of the credit derivative market that market participants have tried to standardise. One of the most important developments in the emergence of a more standardised product has been the introduction of standard maturity and payment dates.
From late 2002, the market began to standardise credit default swap contracts so that they would all mature on one of four days each year – 20 March, 20 June, 20 September and 20 December. So, for example, a ‘five-year’ contract traded any time between 21 September 2005 and 20 December 2005 would have a termination date of 20 December 2010.
Premiums for credit default swaps are usually paid quarterly on these same dates, which are often called IMM dates by analogy with the International Monetary Market date used in the euromoney market. (However, it should be noted that the true IMM dates are the third Wednesday of March, June, September and December.)
Another initiative designed to standardise credit derivative contracts is the Red database of reference entities and reference obligations (see opposite). This was created in 2002 by a group of credit derivative dealers and was later acquired by data provider Markit.