Motivated by a recent antitrust case in the credit default swap (CDS) market defined as “parallel exclusion”, we formulate an oligopoly model of simultaneous trading by dealers in the CDS and loan CDS (LCDS) markets. We show that in equilibrium it is optimal for incumbent dealers to take suitably designed opposite positions in the two markets. Limiting information to incumbents constitutes a barrier to entry and preserves the intermarket arbitrage profits even in the absence of collusion. We use all mature contract pairs and document very large and virtually riskless profits. Extensive empirical tests support our model over competing explanations.

受最近信用违约互换 (CDS) 市场中定义为“平行排除”的反垄断案件的启发，我们制定了 CDS 和贷款 CDS (LCDS) 市场交易商同时交易的寡头垄断模型。我们表明，在均衡状态下，现有交易商在两个市场中采取适当设计的相反头寸是最佳的。将信息限制在现有企业构成了进入壁垒，即使在没有勾结的情况下也能保留跨市场套利利润。我们使用所有成熟的合约对并记录非常大且几乎无风险的利润。广泛的实证测试支持我们的模型，而不是相互竞争的解释。