RT Journal Article
SR Electronic
T1 Credit Default Swap Auctions and Price Discovery
JF The Journal of Fixed Income
FD Institutional Investor Journals
SP 34
OP 42
DO 10.3905/jfi.2009.19.2.034
VO 19
IS 2
A1 Jean Helwege
A1 Samuel Maurer
A1 Asani Sarkar
A1 Yuan Wang
YR 2009
UL https://pm-research.com/content/19/2/34.abstract
AB The rapid growth of the Credit Default Swap (CDS) market combined with increased defaults in recent years has led to increased usage of auctions when default occurs. We examine all the CDS auctions conducted to date and evaluate their efficacy by comparing auction outcomes to prices of bonds in the secondary market. The auctions appear to have served their purpose, as we see no evidence of inefficiency in the process: participation is high, open interest is low, and the prices were similar to the prices observed before and after in the bond market. We qualify our conclusions by observing that few auctions have taken place so far.TOPICS: Credit default swaps, private equity, fixed-income portfolio management