Partner Perspectives: J.P. Morgan’s Alessia Frontalini on Credit Index Futures

From early product design to global market expansion, these conversations offer unique insights into how Credit Index Futures are being used across trading desks, what differentiates them from other instruments, and where the market is headed next. Whether you're a seasoned credit trader or exploring new hedging strategies, this series delivers firsthand perspectives from those shaping the future of credit markets.

Introduction: Alessia Frontalini is Executive Director in F&O Sales at J.P. Morgan and a supporter of Eurex Credit Index Futures in the market and internally. As a key point of contact for buy-side clients, Alessia has a strong understanding of the clients’ needs and use cases in the ecosystem. Being a design partner in the Credit Derivatives Partnership Program, she sat down with us to discuss her and the firms involvement in Credit Index Futures.

Eurex: Alessia, over the past years you have been a staunch supporter of Credit Index Futures at Eurex and talk to clients about these products every day. Please, tell us what your initial thoughts were when you first heard about the products and how you have seen that developing.

Alessia Frontalini: In the broader "futurization" trend, credit was always the asset class where I expected adoption to be slowest, given its long-standing status as a predominantly OTC market. The nature of the business – its breadth of instruments and relative illiquidity compared with other asset classes – made the transition to listed markets appear more challenging initially. When I first approached clients about Credit Index Futures, reactions were mixed: some viewed them as a genuine innovation (with a degree of early skepticism), while others recalled earlier, historic attempts to move credit into listed formats that saw limited uptake. That said, progress has been rapid, with growth accelerating markedly in recent months. The first quarter of the year was particularly instructive as we navigated rolls, higher volatility, and a steady influx of new participants. If anything, credit futures demonstrated resilience in more volatile conditions: open interest and average daily volumes increased significantly, which helped strengthen investor confidence even when trading conditions were less than ideal.

Eurex: We appreciated your engagement and collaboration across Europe and the U.S. How do you think about the global offering that Eurex has, and what feedback do you hear from clients worldwide?

Alessia Frontalini: It has been an exciting journey – there is something compelling about seeing a market develop effectively from the ground up, with a broad range of participants committing to the product and supporting its continued growth. A global offering undoubtedly places Eurex in a unique position of strength. In practice, many clients will naturally begin with products listed on their local exchange and denominated in their functional currency. In Europe, we have seen early adoption of the EUR contracts, alongside more tentative positioning in the USD contracts. That is entirely consistent with expectations, and I would view USD adoption as a natural "second phase" of development rather than an immediate priority for all European clients. Conversely, it is logical that interest in the USD contracts has been stronger outside Europe. Either way, the ability to access the full suite on a single exchange is a clear advantage, and I expect clients to make increasing use of that over time.

Eurex: Credit futures markets are embedded in an ecosystem of other derivatives and cash products such as ETFs, corporate bonds, credit default swaps and total return swaps. At J.P. Morgan, you have been successful in integrating the offering across futures, credit macro and traditional credit channels, reaching a broad client base. How are these various customer groups thinking about the products and what are the biggest differentiators that you find for Credit Index Futures compared to the other alternatives they are already employing?

Alessia Frontalini: One factor that has worked particularly well has been the centralization of the trading desk, with a unified pool of traders able to quote across instruments – from ETFs and CDS to futures. This makes it easier for sales teams (and, by extension, clients) to obtain a clear, like-for-like comparison across products, highlighting the relative economic merits of each instrument depending on funding and other considerations. The client base is broad, spanning both multi-asset investors and credit-specialist desks. As a result, some clients naturally gravitate toward futures because they already trade futures actively in other asset classes; others are more deeply embedded in the OTC ecosystem and therefore continue to prefer traditional credit instruments. Overall, Credit Index Futures sit alongside existing tools rather than replacing them, adding a highly practical instrument with multiple use cases – for example, for clients without an ISDA/CSA infrastructure in place; for those seeking to gain beta or generate alpha efficiently through a liquid instrument; or for those who want to benefit from the advantages of listed markets, including transparency and cross-margining.

Eurex: Over the past weeks, we saw European investment grade (EUR IG) futures overtake the largest corresponding ETF in terms of volumes on multiple days. Do you think we have reached an inflection point? What are the next benchmarks you are looking for, and where do you think the market will develop in the foreseeable future?

Alessia Frontalini: Yes – I would expect the records set during March (in terms of open interest, daily volumes, and volumes relative to ETFs) to be tested and exceeded again, with meaningful room for further growth. If anything, the volume of client engagement - both virtual and in-person -has been substantial and continues to increase month on month. There remains significant untapped potential, with many accounts still completing system readiness work or finalising risk comfort before they can begin trading; over time, that should translate into additional positions and higher volumes. More than focusing on a single headline benchmark, the next step is reaching a level where the market can consistently transact materially larger risk sizes – multiples of what we have seen so far – supported by traders' ability to hedge efficiently and provide deeper liquidity.