We examine the effects of dealers’ inventories on the pricing and liquidity of OTC derivatives markets. Using position and pricing data on credit default swap (CDS) indices, we document that the change in index CDS spreads is negatively associated with the change in dealers’ net long positions. The effect of dealer inventory on CDS spreads is stronger after the Volcker Rule is implemented in the United States. Furthermore, the divergence between index CDS spreads and their theoretical values (index basis) is also negatively associated with dealers’ net long positions. Finally, bid-ask spreads and the number of dealers increase when the inventory position of dealers is larger.

我们研究了交易商库存对场外衍生品市场定价和流动性的影响。使用信用违约掉期 (CDS) 指数的头寸和定价数据，我们证明指数 CDS 利差的变化与交易商净多头头寸的变化呈负相关。在美国实施沃尔克规则后，经销商库存对 CDS 利差的影响更强。此外，指数 CDS 利差与其理论值（指数基础）之间的差异也与交易商的净多头头寸负相关。最后，当经销商的库存头寸越大时，买卖价差和经销商数量就会增加。