1、OTC Market OverviewOTC市场概况市场概况Table of Contents Current Conditions Definitions OTC overview OTC vs.Exchange Traded derivatives Products utilized Participants Collateral Market Structure Trade flow Broker/Exchange Evolution and Fees Clearing and SDRs Post Trade Processing Regulatory Participants and
2、Progress Areas of Opportunity Possible points of opportunity Executive Summary目录目录执行摘要当前市场环境定义OTC概况场外交易VS场内交易金融衍生产品产品利用情况参与者担保品市场结构交易流程经纪商/交易所演变史和费用结算和特别提款权后交易处理监管参与者和发展机会领域可能存在的机会附录Executive SummaryDemand for OTC products continues to rise,trading is split across multiple asset classes and products
3、Collateral needs are growing even as markets prepare for centralized clearingThe role of brokers and exchanges is expanding as OTC markets become more electronic and complex.Both will continue to add services for client base growthRegulatory bodies continue their attempts to increase transparency in
4、 the OTC markets,however rule making,implementation and enforcement across jurisdictions is inconsistentServices are expanding beyond trade execution and now including market data,trade processing and risk management.Increased regulation will make these services more valuable in the futureOpportunit
5、ies will continue to emerge within both new and established markets Bringing together local trading communities Providing back office services Developing standardization and operational frameworks Improving the transparency Enhancing and simplifying the trading experience执行摘要执行摘要OTC金融衍生产品需求不断增长，交易类型
6、按照各种交易资产类别和产品划分随着市场向集中化结算发展，担保品需求稳步增长随着OTC市场电子化程度提高并且越来越复杂，经纪商和交易所发挥的作用也越来越大。由于顾客群体不断增长，经纪商和交易所都将继续增加其服务监管部门努力增加OTC市场的透明程度。然而，不同司法管辖区的条例制定、实施和强制执行并不统一OTC市场服务不断增加，并不局限于交易执行，目前还包括市场数据、交易处理和风险管理。未来，随着监管力度加强，上述服务将更具价值新兴和成熟OTC市场中的机会将越来越多 整合当地交易社区 提供后台服务 开发标准化和可操作框架 提高透明度 加强和简化交易体验Current Conditions当前市场环境
7、当前市场环境OTC Derivatives products are bilateral contracts OTC derivatives are contracts negotiated privately between two parties Brokers are used for price discovery and trade execution Participants have the ability to customize the terms of the contract(including length of contract and quantity of und
8、erlying product)Market Participants are institutional,financial,public and corporate entities There are a wide array of products traded including:interest rates,foreign exchange,commodities and equities Products can be cleared depending on their characteristicsOTC金融衍生产品为双边合约金融衍生产品为双边合约 OTC金融衍生产品为双方私
9、自协商达成的合约 经纪商主要负责价格发现和交易执行 参与者有能力制定合约条款（包括合约期限和标的物数量）OTC市场参与者为机构实体、金融实体、公共实体和企业实体 OTC市场交易产品类型很丰富，包括：利率、外汇、商品和股票 结算方式取决于金融衍生产品的特性OTC Derivatives are traded across a wide variety of asset classesInterest Rate products remain the clear market leader in terms of notional amounts outstandingSource:Bank of
10、 International Settlements(BIS)OTC derivatives statistics at end of June-2012FX,66,645,11%IR,494,018,83%Equity,6,313,1%Commodities,2,993,0%CDS,26,931,5%H1 2012 Notional Outstanding($B)OTC 金融衍生产品金融衍生产品 的交易资产类别很丰富的交易资产类别很丰富就名义价值总额而言，利率产品是结算市场主力来源：国际清算银行(BIS)OTC 金融衍生产品 统计（截至2012年6月底）外汇外汇,66,645,11%利率利率
11、,494,018,83%股票股票,6,313,1%商品商品,2,993,0%信用违约互换信用违约互换,26,931,5%H1 2012 年上半年名义价值总额（十年上半年名义价值总额（十亿美元）亿美元）名义价值总额来源：国际数据，国际清算银行For all derivatives,most of the notional outstanding is in the OTC space.The turnover is more evenly splitAccording to Tabb Group estimates,global notional turnover is fairly evenl
12、y split between OTC and exchange traded derivativesSource:Tabb Group The Global Risk Transfer Market(Nov 2010)金融衍生产品的大部分名义价值总额处在金融衍生产品的大部分名义价值总额处在OTC市场中，但名义价值市场中，但名义价值成交量分布更为平均成交量分布更为平均据Tabb集团估计，对于金融衍生产品的全球名义价值成交量，场内交易和场外交易基本持平来源:Tabb集团 全球风险转移市场（2010年11月）全球风险转移市场名义价值总额-2010名义价值成交量-2010场外交易金融衍生产品场内交易
13、金融衍生产品Turnover is more evenly split partially based on the nature of the underlying productsSome exchange traded contracts need to be rolled every quarter which will increase turnover when compared to longer termed OTC contractsHigh velocity trading strategies on exchange traded products also increa
14、ses trading volume in comparison to OTCSource:Tabb Group The Global Risk Transfer Market(Nov 2010)根据根据交易产品交易产品性质，性质，名义价值交易量更为平均分布名义价值交易量更为平均分布与期限较长的场外交易合约相比，有些场内交易合约需要每季度进行展期，这会增加交易量。与场外交易相比，场内交易产品的快速交易策略也会增加交易量。来源:Tabb集团 全球风险转移市场（2010年11月）万亿美元场内交易场外交易名义价值总额名义价值成交量成交频率Customization in the OTC market
15、s leads to a wide range of product uses within each categoryAsset ClassesProducts ClassificationsProducts offered by inter-dealer brokersInterest RatesForward Rate AgreementsSwapsOptionsIR,Overnight Index,Inflation and Basis Swaps,Options,Repos,Mortgage-Backed Securities,FXOutright forwardsFX swapCu
16、rrency swapCurrency optionForwards,swaps,options,Non-Deliverable Forwards(NDFs),EquitiesForwardSwapOptionIndividual Equities,Equity Indexes,ADRsCommoditiesForward SwapOptionCrude and Refined,Natural Gas,Electricity,Coal,Emissions,Biofuels,Weather,Precious and Base Metals,coffee,sugar,cocoa,cotton,co
17、rn,soybeans,palm oil,livestock,iron ore and steel,freightCredit/Credit Default Swaps(CDS)SwapsOptionsSingle Name CDSMulti-name CDSIndex productsCorporate Bonds,CDS,Emerging Market Bonds,Eurobonds由于由于OTC市场的合约可以自由定制，每个交易类别中都有很多产品市场的合约可以自由定制，每个交易类别中都有很多产品资产类别资产类别产品类别产品类别同业经纪商提供的产品同业经纪商提供的产品利率远期利率协议互换期权
18、利率、隔夜指数、通胀和基差互换、期权、回购债券协议、按揭证券外汇直接远期合约外汇互换货币互换货币期权远期合约、互换、期权、无本金交割远期合约股票远期合约互换期权个股、股指、美国存托凭证商品远期合约 互换期权原油和成品油、天然气、电力、煤炭、排放、生物燃料、天气、贵金属和基本金属、咖啡、糖、可可豆、棉花、玉米、大豆、棕榈油、牲畜、铁矿石和钢、货运信用/信用违约互换(CDS)互换期权单一卖家信用违约互换多重卖家信用违约互换指数产品公司债券、信用违约互换、新兴市场债券、欧元债券There is a wide array of participation in OTC derivatives mark
19、etsThe BIS divides the market participants into three categories,each highlighting a different user segment and profile.Participation by each type of entity will vary by asset class EntityParticipantsUse of OTC DerivativesReporting DealersCommercial and Investment BanksSecurities housesInter-dealer
20、brokersTrading for clients(serving as a broker)Hedging riskProfit making opportunitiesOther Financial InstitutionsBanksMutual FundsPension FundsHedge FundsInsurance Companies Central BanksHedging riskProfit making opportunitiesFacilitating global operationsNon-Financial customersCorporationsGovernme
21、ntsHedging riskFacilitating ongoing global operationsOTC 金融衍生产品市场的参与者类别众多金融衍生产品市场的参与者类别众多国际清算银行将OTC市场参与者划分为三大类别，每个类别都有着特定的用户群体和背景。根据交易资产的不同，各个类型实体参与OTC市场的形式也不同。实体实体参与者参与者OTC 金融衍生产品的使用金融衍生产品的使用报告交易商商业和投资银行证券交易所中间经纪商为客户达成交易(承担经纪商职责)防范风险获取利润其他金融机构银行共同基金养老基金对冲基金保险公司央行防范风险获取利润便于全球运营非金融客户企业政府机构防范风险便于连续全球运
22、营In Interest Rates the majority of notional outstanding is in the hands of Financial InstitutionsBrokers continue to see some fluctuation in notional,especially as they compress contracts to reduce risk$134,483$159,222$157,348$139,146$293,490$354,281$309,363$315,213$37,286$39,737$37,406$39,659$-$100
23、,000$200,000$300,000$400,000$500,000$600,000 H2 2010H1 2011H2 2011H1 2012Notional Amounts Outstanding-IRNotional Amount Outstanding(in USD billions)With Reporting DealersWith Other Financial InstitutionsWith non-Financial customers29%29%31%28%63%64%61%64%8%7%7%8%0%20%40%60%80%100%H2 2010H1 2011H2 20
24、11H1 2012Notional Amounts Outstanding-IRWith Reporting DealersWith Other Financial InstitutionsWith non-Financial customersAs overall notional shows some fluctuation,the percentage held by financial institutions remains steady利率金融衍生产品的大部分名义价值总额掌握在金融机构手中利率金融衍生产品的大部分名义价值总额掌握在金融机构手中经纪商持有的名义价值总额继续波动，当其减
25、少合约以降低风险时，尤其如此$134,483$159,222$157,348$139,146$293,490$354,281$309,363$315,213$37,286$39,737$37,406$39,659$-$100,000$200,000$300,000$400,000$500,000$600,000 H2 2010H1 2011H2 2011H1 2012Notional Amounts Outstanding-IR名义价值总额（十亿美元）名义价值总额（十亿美元）With Reporting DealersWith Other Financial InstitutionsWith
26、non-Financial customers利率产品名义价值总额报告交易商非金融客户其他金融机构29%29%31%28%63%64%61%64%8%7%7%8%0%20%40%60%80%100%H2 2010H1 2011H2 2011H1 2012Notional Amounts Outstanding-IRWith Reporting DealersWith Other Financial InstitutionsWith non-Financial customers利率产品名义价值总额报告交易商非金融客户其他金融机构尽管总体名义价值总额出现波动，金融机构持有的份额依然保持稳定Whi
27、le in FX the notional outstanding is split between the dealers and other institutionsThe overall notional outstanding in FX continues to show slight gains.Reporting dealers are driving a large part of overall FX growth$21,956$26,170$27,953$29,484$25,636$28,854$25,916$27,538$10,204$9,675$9,480$9,623$
28、-$10,000$20,000$30,000$40,000$50,000$60,000$70,000 H2 2010H1 2011H2 2011H1 2012Notional amount outstanding(in USD billions)With Reporting DealersWith Other Financial InstitutionsWith non-Financial customers38%40%44%44%44%45%41%41%18%15%15%14%0%20%40%60%80%100%H2 2010H1 2011H2 2011H1 2012Notional Amo
29、unts OutstandingWith Reporting DealersWith Other Financial InstitutionsWith non-Financial customersSource:Bank of International Settlements(BIS)OTC derivatives statistics at end of June-2012The distribution of outstanding amounts is more evenly distributed than in Interest Rates.外汇金融衍生产品的名义价值总额主要掌握在
30、交易商和其他机构手外汇金融衍生产品的名义价值总额主要掌握在交易商和其他机构手中中外汇金融衍生产品的整体名义价值总额继续小幅增长。报告交易商为这种增长势头贡献较大$21,956$26,170$27,953$29,484$25,636$28,854$25,916$27,538$10,204$9,675$9,480$9,623$-$10,000$20,000$30,000$40,000$50,000$60,000$70,000 H2 2010H1 2011H2 2011H1 2012名义价值总额（十亿美元）名义价值总额（十亿美元）With Reporting DealersWith Other Fi
31、nancial InstitutionsWith non-Financial customers报告交易商非金融客户其他金融机构38%40%44%44%44%45%41%41%18%15%15%14%0%20%40%60%80%100%H2 2010H1 2011H2 2011H1 2012Notional Amounts OutstandingWith Reporting DealersWith Other Financial InstitutionsWith non-Financial customers报告交易商非金融客户其他金融机构外汇名义价值总额来源：来源：国际清算银行(BIS)OT
32、C 金融衍生产品 统计（截至2012年6月底）外汇金融衍生产品的名义价值总额的持有者分布情况与利率产品相比较更为平均Collateral outstanding and exposure from OTC derivatives continues to rise$924$1,470$2,649$2,150$1,984$2,459$1,335$2,126$3,957$3,151$2,934$3,652$0$1,000$2,000$3,000$4,000$5,000200620072008200920102011USD billionsTotal Collateral Outstanding f
33、or Non-Cleared OTC TransactionsReportedEstimated$2,032$2,036$2,672$3,256$3,859$5,005$3,744$3,521$3,578$3,480$2,971$3,912$-$1,000$2,000$3,000$4,000$5,000$6,000 H1 2006H2 2006H1 2007H2 2007H1 2008H2 2008H1 2009H2 2009H1 2010H2 2010H1 2011H2 2011USD BillionsGross Exposure of OTC DerivativesSource:ISDA
34、Margin Survey 2012Gross Exposure reflects the net mark-to-market value of counterparty exposures,taking into account the benefits of close-out netting,but before taking into account the effect of collateral in reducing risk exposure.Collateral continues to grow back towards its record highs in 2008.
35、Since 1999 the amount of collateral outstanding has grown at a compound rate of 24%OTC金融衍生产品的流通担保品金融衍生产品的流通担保品和风险敞口继续增长和风险敞口继续增长$924$1,470$2,649$2,150$1,984$2,459$1,335$2,126$3,957$3,151$2,934$3,652$0$1,000$2,000$3,000$4,000$5,000200620072008200920102011十亿美元十亿美元未结算未结算OTC交易的总流通担保品交易的总流通担保品ReportedEst
36、imated报告值估计值$2,032$2,036$2,672$3,256$3,859$5,005$3,744$3,521$3,578$3,480$2,971$3,912$-$1,000$2,000$3,000$4,000$5,000$6,000 H1 2006H2 2006H1 2007H2 2007H1 2008H2 2008H1 2009H2 2009H1 2010H2 2010H1 2011H2 2011USD BillionsGross Exposure of OTC DerivativesSource:ISDA Margin Survey 2012总敞口反映了对手风险的盯市净值，在考
37、虑担保品降低风险敞口的效果之前，将终止净额结算的益处考虑在内。自从2008年创下历史高点后，担保品继续增长。自1999年起，流通担保品总额一直以复合增长率24%的速度增长。Collateral is most used for credit derivatives and least used for Commodities and FXSource:ISDA Margin Survey 2012A wide range of collateral is used with cash and government securities being the most popular for no
38、n-Cleared transactions担保品主要用于信用金融衍生产品，在商品和外汇金融衍生产品中担保品主要用于信用金融衍生产品，在商品和外汇金融衍生产品中应用最少应用最少Source:ISDA Margin Survey 2012很多担保品形式为现金和政府证券，这在非结算交易中应用最为普遍Summary Current Conditions Demand for OTC products continues to rise,trading is split across multiple asset classes and products The majority of notiona
39、l outstanding is in OTC derivatives but turnover appears to be more evenly split between OTC and exchange traded derivatives Collateral needs are growing even as markets prepare for centralized clearing Collateral continues to take many forms but cash remains king总结总结 当前市场环境当前市场环境 金融衍生产品需求不断增长，交易类型按
40、照各种交易资产类别和产品划分 金融衍生产品的大部分名义价值总额处在OTC市场中，但名义价值成交量分布更为平均 随着市场向集中化结算发展，担保品需求稳步增长 担保品形式越来越丰富，但是现金仍旧是主要形式Market Structure市场结构市场结构OTC Trades are bilaterally conducted with the assistance of brokersEnd User Client(1)Brokering Bank/Inter-dealer BrokerBrokering Bank/Inter-dealer BrokerEnd User Client(2)Voice
41、 Brokering/Electronic Platform/Exchange/SEFA trade negotiated between two parties,either directly or through the use of intermediariesTrading can be done via voice brokering,Electronic platform or ExchangeExample:End User Client(1)wants to exchange fixed interest rate payments for floating interest
42、rate payments.The Client contacts its broker.The broker looks for an acceptable deal either via voice,electronic platform or exchange.A deal is found with End User Client(2)through its broker.The brokers agree to enter an Interest Rate S exchange Client(1)s fixed rate payments with Client(2)s floati
43、ng payments.Terms to be negotiated would include the floating rate,the currencies of payment,and the duration of the swap.Fixed rateFixed rateFixed rateFixed rateFloating rateFloating rateFloating rateFloating rateOTC交易通过经纪商的协调双边执行交易通过经纪商的协调双边执行终端客户(1)经纪银行/同业经纪商经纪银行/同业经纪商终端客户(2)传统经纪/电子平台/交易所/互换执行设施S
44、EF双方经过协商，直接执行或通过中间商执行的交易交易可以通过传统经纪程序、电子平台和交易所完成例子:终端客户(1)想将固定利率支付换成浮动利率支付。客户和他的经纪商签约。经纪商通过传统经纪方式、电子平台或者交易所寻找客户可接受的交易，最终通过终端客户(2)的经纪商找到了客户(2)，双方的经纪商协商了一个利率互换合约，将客户(1)的固定利率支付和客户(2)的浮动利率支付进行互换。合约条款可以双方协商，包括浮动利率、支付币种互换持续期限。固定利率固定利率固定利率固定利率浮动利率浮动利率浮动利率浮动利率Each participant in the OTC market has different
45、needs and capabilitiesEnd User ClientBrokering Bank/Inter-dealer BrokerVoice Brokering/Electronic Platform/Exchange/S Facility(SEF)Role Performing price discovery Market making activities Client Execution Trading for its own accountsExamplesInter-dealer brokers ICAP,Tullett Prebon,Tradition,BGC Part
46、ners,GFI GroupBrokering Banks JP Morgan,Goldman Sachs,CitigroupRole Provide a venue for price discovery and trade execution If trade is voice brokered this is performed by bank/brokerExamplesExchanges CME Group,ICE,Eurex,Euronext-LiffeElectronic Platforms EBS(ICAP),i-S)SEFs rules not final yetRole H
47、edge risk Trade for profit Facilitate ongoing business operations Liquidity/Cash Flow ManagementExamplesGlobal,commercial,regional banks;Corporations;Other financial companies hedge funds,mutual funds,insurance companies;Governments OTC市场不同类型参与者有不同的需求和能力市场不同类型参与者有不同的需求和能力终端客户经纪银行/同业经纪商传统经纪/电子平台/交易所/
48、互换执行设施(SEF)角色角色 执行价格发现 做市商做市活动 客户执行 自有账户交易例子例子交易商经纪公司 ICAP,Tullett Prebon,Tradition,BGC Partners,GFI Group经纪银行 JP Morgan,Goldman Sachs,Citigroup角色角色 提供价格发现和交易执行的场地 传统经纪交易通过银行或经纪人执行例子例子交易所 CME Group,ICE,Eurex,Euronext-Liffe电子平台 EBS(ICAP),i-Swap电子平台(属于ICAP公司)SEFs 还没有最终规则角色角色 风险防护 交易收益 促进持续商业运营 流动性/现金流
49、管理例子例子全球，商业，区域性银行;公司;其他金融公司 对冲基金,共同基金,保险公司;政府部门Brokers and Exchanges have evolved differently in regards to OTC but common themes existAlthough ICE and ICAP have evolved differently there are common themes that their evolution exhibits:Creating and leverage communities for brokers/clientsUtilize mar
50、ket support and partnership to facilitate growthBundle trading with other services:clearing,information,prime brokerage,etc.Facilitate increased trading by improving on market design,execution and/or transparencyPost Enron Electronic platform for trading of OTC Crude/Refined,natural gas,power and Em
