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Federal Reserve Bank of New York
Staff Reports
The Long and Short of It: The Post-Crisis Corporate CDS Market
Nina Boyarchenko
Anna M. Costello
Or Shachar
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.


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Nina Boyarchenko & Anna M. Costello & Or Shachar, The Long and Short of It: The Post-Crisis Corporate CDS Market, Federal Reserve Bank of New York, Staff Reports 879, 01 Feb 2019, revised 01 Aug 2019.
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Keywords: CDS positions; CDS transactions; dealer market power
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