The Long and Short of It: The Post-Crisis Corporate CDS Market

76 Pages Posted: 15 Feb 2019 Last revised: 6 Aug 2019

See all articles by Nina Boyarchenko

Nina Boyarchenko

Federal Reserve Bank of New York

Anna M. Costello

University of Michigan, Stephen M. Ross School of Business

Or Shachar

Federal Reserve Bank of New York

Multiple version iconThere are 2 versions of this paper

Date Written: August , 2019

Abstract

We establish key stylized facts about the post-crisis evolution of trading and pricing of credit default swaps. Using supervisory contract-level data, we document that dealers become net buyers of credit protection starting in the second half of 2014, both through reducing the amount of protection they sell in the single-name market and through switching to buying protection in the index market. More generally, we argue that considering simultaneous positions in different types of credit derivatives is crucial for understanding institutions’ participation decisions and how these decisions affect prices in these markets.

Keywords: CDS positions, CDS transactions, dealer market power

JEL Classification: G10, G12, G19

Suggested Citation

Boyarchenko, Nina and Costello, Anna M. and Shachar, Or, The Long and Short of It: The Post-Crisis Corporate CDS Market (August , 2019). FRB of New York Staff Report No. 879. Available at SSRN: https://ssrn.com/abstract=3334640 or http://dx.doi.org/10.2139/ssrn.3334640

Nina Boyarchenko (Contact Author)

Federal Reserve Bank of New York ( email )

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Anna M. Costello

University of Michigan, Stephen M. Ross School of Business ( email )

701 Tappan Street
Ann Arbor, MI MI 48109
United States

Or Shachar

Federal Reserve Bank of New York ( email )

33 Liberty Street
New York, NY 10045
United States
(212) 720-6974 (Phone)
(212) 720-1582 (Fax)

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