目录
一、外文文献译文（1）
2008：狂乱之旅………………………………………………………………………1 二、外文文献原文（1）
2008: A Wild Ride……………………………………………………………………6 三、外文文献译文（2）
2008年下半年场外衍生产品市场活动……………………………………………13 四、外文文献原文（2）
OTC derivatives market activity in the second half of 2008…………………………16
2008：狂乱之旅
对全球期货和期权行业而言，2008年是惊心动魄的一年。一些主要的市场参与者，有些甚至曾经是市场上规模最大的公司之一，现在已经消失；同时，市场参与者面临的交易对手信用风险加剧，市场状况令人担忧。特别是在2008年9月雷曼兄弟宣布破产后，市场波动加剧，流动性随之降低，期货和期权市场上一些全球交易规模最大和最富盛名的交易品种的交易量也产生了毋庸置疑的下跌。
尽管市场动荡不安，但期货和期权交易量的总趋势仍然是向上增长的。美国期货业协会追踪的遍布全球的69个交易所交易的期货及期权的总交易量同比上涨13.7%。虽然美国处于信用危机的风暴中心，受创最为严重，但是美国交易所2008年期货和期权交易量仍然同比增长14.0%，欧洲和亚洲的交易量增加得更快。
毫无疑问，交易量在多年高速增长后，增速已逐步放缓。2008年全球期货和期权交易量同比增长13.7%，远低于2007年30.9%和2006年18.9%的增幅。 The Big Chill After shooting upward for several years, the growth in global futures and options trading decelerated sharply in 2008. 更重要的是，相对温和的数据掩盖了不同类别交易品种交易量变化趋势的差异性。以美国为例，美国期货市场的交易量仅仅同比增长了4.4%。与此截然相反的是，尽管市场波动异常剧烈，美国期权交易所的交易量仍然同比大涨25.1%。
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商品衍生产品和股票衍生产品的交易量增速喜人，但是，信用危机重挫了利率衍生产品。就全球而言，利率衍生产品交易量同比下跌14.4%，这是利率衍生产品的交易量多年来第一次下降。
长期利率期货品种受创最为严重。10年期美国中期国债期货交易量同比下跌26.5%；欧洲债券期货交易量同比下跌23.8%；日本政府债券期货同比下跌21.5%。短期利率期货品种的交易量有涨有跌，Euribor期货交易量略有上升，欧洲美元期货交易量略有下降，而欧洲日元期货交易量剧减42.6%。
全球范围利率衍生产品总交易量的下降，很大一部分归因于墨西哥银行间利率期货交易量的大幅下跌。2007年交易量世界排名第七的墨西哥银行间利率期货的交易量在2008年大跌73.8%，只成交了5790万份合约。但是，我们认为，墨西哥银行间利率期货交易量的暴跌，是因为市场参与者更加倾向于持有标的资产规模较大的合约，而不是全球金融动荡造成的。
2007年9月，墨西哥衍生产品交易所推出10年期互换期货作为墨西哥银行间利率期货的替代产品，使市场参与者能够更加方便地进行较大规模的利率套期保值。该合约标的资产的规模是墨西哥银行间利率期货的1000倍，2008年的成交量为17.1万份合约。Mexder的官员估计，如果考虑到合约标的资产的规模差异，2008年利率期货的有效交易量和2007年持平。
有趣的是，墨西哥衍生产品交易所的10年期政府债券合约也在迅猛发展，2008年的交易量飙升154 %，达到300万份合约。墨西哥衍生产品交易所的Cete 91天合约的交易量同比上涨45.3%，达到410万份合约。虽然这种规模的交易量，从全球角度来看仍然是微不足道的，但是我们很高兴能够看到，在传统的发达世界的金融中心以外，一个健康的利率衍生产品市场正在蓬勃发展。 雷曼兄弟破产后
在我们过去点评全球交易量趋势的文章里，我们通常以年为基准进行讨论。但是，今年显然有两个截然不同的阶段。在去年9月份雷曼兄弟破产前后，欧美主要期货和期权市场的市场走势截然不同。雷曼兄弟破产后，整个衍生产品市场大幅波动，2008年的最后数月，某些衍生产品品种的流动性大大低于我们的预期。
芝加哥商品交易所集团受到的影响尤为明显。我们以纽约商品交易所为例，
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在2008年的最后数月，芝加哥商品交易所和芝加哥期货交易所的交易量明显大幅下跌，第四季度相对第三季度下降了22%。正常情况下，衍生产品交易量在年底都会下降，但2008年显然是另有原因。
真正可怕的是，在2008年年底，衰退似乎在加剧。欧洲美元期货的交易量在2008年11月和12月同比下降45.9%。10年期美国国债期货交易量同比跌幅更加惊人，高达65%。 我们由衷期望这只是周期性衰退而已，但是直到2009年我们才可能确认这一点。
期货行业的运行方式决定我们很难明确区分来自各种不同类型企业的期货和期权的交易量。每个交易所都有自己的方式跟踪客户信息，并确认他们的身份，但是它们并不一定能够知道谁是最终客户。
对冲基金的衍生产品交易量下降得最快。对冲基金25强2008第四季度的交易量环比下降32%，而交易所整体交易量仅下降22%。众所周知，2008年是对冲基金经历过的最困难的几年之一，许多基金被迫缩减其交易规模，以降低财务杠杆，减少损失，并满足客户的赎回要求。
另一个有趣的发现是，传统的客户，如养老基金，交易量下降得最少。这些客户交易的目的主要是对冲市场风险，而不是投机获利，所以它们的交易量仅下跌13%。
2008年的波动率同比增加大约83%，市场更加动荡。信用危机在9月份降临后，2008年最后4个月的波动率相对于前8个月增加85%左右。令人惊讶的是波动率变化方向的一致性。在正常时期，人们将会预期一些市场的波动率上升，而另外一些市场波动率的下降。但是现在并非如此。没有一个市场2008年的波动率小于2007年。利率和股票指数产品是最不稳定的，玉米、大豆、原油和黄金期货波动率的增幅都在50%以上。
市场波动率的上升必然会对流动性造成负面影响。前几年，交易量增加，同时波动率减少，于是期货的交易成本显著降低。我们以欧洲美元期货、10年期美国中期国债期货和电子迷你型标准普尔500指数期货为例。在2008年的最后4个月，这些市场上的标准合约的交易成本急剧上升。而且，欧洲美元期货市场和10年期美国中期国债期货市场的交易量减少，委托簿深度——流动性的一个关键指标急剧下降。
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我们可以将委托簿深度定义为最优的5个买入价或者卖出价的限价指令交易数量的平均数。也就是说，如果最优的五个买入价有4000手合约，最优的五个卖出价有3000手合约，我们将称委托簿深度是这两个交易数量的平均，即3500手。
如果我们对这三个交易品种应用此方法，我们将看到，在2008年的最后4个月，利率衍生产品的流动性大幅下跌。对欧洲美元期货而言，在2008年头8个月，委托簿深度一般只有4000到5000手，在2008年最后4个月，仅仅只有1000至2000手。10年期美国中期国债期货的下降幅度更为明显，委托簿深度在8月为6000多手，雷曼兄弟破产时下降到2000手，在2008年年底仅仅只有400手。
但是，电子迷你型标准普尔500指数期货的流动性从来没有下降过。虽然股指期货的交易成本大幅上升，但是对电子迷你型标准普尔500指数期货的需求居高不下，委托簿深度没有受到加剧的波动率的影响。2008年9月，委托簿深度短暂地位于2000手以下，10月低于3000手，从那时起，委托簿深度反弹到并且基本上保持在2008年第一季度的同一水平。
虽然在利率衍生产品市场上，流动性和市场深度的损失已经十分明显，但是在国债期货的衍生产品市场，如国债期货掉期市场，流动性和市场深度的损失是灾难性的。
一般来说，国债期货掉期市场是全球最具流动性的市场之一。波动率很低，交易极为活跃。例如，2008年6-9月最活跃的3天委托簿深度均超过20000手。2008年9-12月委托簿深度甚至更深，在最活跃的一天，委托簿深度甚至超过50000手。随后，雷曼兄弟破产，信用市场崩溃，带来的影响不仅仅是价格和利率的大幅波动，也同时造成了金融市场流动性的蒸发。不仅银行不再互相借贷，就连全球最具流动性和交易最为活跃的金融市场之一——回购协议市场也停止运行。最终，通常可以使期货市场产生合理价格和流动性的现金和期货套利也不再运作。投资者不再进行现金和期货套利，国债期货掉期市场的流动性也就不复存在，即使是在2008年12月-2009年3月交易最活跃的3天，委托簿深度也不到3000手。展望2009年回首2008年，交易量的变化趋势扑朔迷离。而且，看起来，如果我们更为深入地挖掘数据，我们很可能会变得更加困惑。
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利率期货市场的交易数据是否暗示着我们应该预测今年期货和期权的的交易量将会大幅下跌？或者说高速增长的新兴市场，如中国和印度将成为衍生产品市场发展的主要推动力？2009年，股票指数衍生产品能否保持2008年令人难以置信的增长速度，或者随着波动逐渐恢复正常，交易量将下降？既然现在交易对手信用风险已经受到大家的重视，那么从OTC市场流向交易所的衍生产品交易量将会有多少？
毫无疑问，相对于2008年，2009年的交易量必将不太乐观。2008年1月，衍生市场的活跃程度令人难以置信，美国各交易所各交易品种的交易量都屡创新高。7月的交易量更是夸张，9月达到顶点，交易量为空前的19亿份合约。但是，由于去杠杆化和流动性的枯竭，2009年的交易量要恢复到2008年9月的水平需要经过一段相当长的时间。
然而，眼下最重要的是要正确地、客观地、全面地认识和理解这一切。虽然相比两三年前，交易环境显著恶化，但是，如果我们将目光转移到本世纪初，我们会发现，当时的买/卖差价比现在更大，也就是说，即使是当下的期货市场，也比以前更加有效率。效率的提升，一部分来自我们谈论多年的电子交易技术的进步，这些进步是不太可能消失或者倒退的。期货市场仍然在非常有效地履行价格发现的核心职能。因此，我们有理由期望，金融危机终将过去，现在离场的这些市场参与者终将会回来，期货和期权市场始终为商业的正常运行提供着套期保值工具。未来一切都会变好，一切都只是时间问题。
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2008: A Wild Ride
Global Futures and Options Volume Rises 13.7%, But Credit Crisis Damages Liquidity in the Core Markets by Galen Burghardt and Will Acworth.
For the global futures and options industry, 2008 was a wild year. Several major market participants, including some of the largest players in the markets, vanished from the scene. Counterparty credit risk shot to the top of market user worries. Volatility skyrocketed and liquidity evaporated, especially after Lehman Brothers declared bankruptcy in September, and volume for some of the industry’s biggest and best-known contracts took a definite turn for the worse.
Despite all the turbulence, the overall growth trend was still positive. The total number of futures and options contracts traded on the 69 exchanges tracked by the Futures Industry Association rose 13.7% over 2007. Volume in the U.S., the epicenter of the credit crisis, rose 14.0% from 2007, and Europe and Asia did even better. But there was no question that the pace of growth, which had been so strong for so long, slowed down considerably. 2008’s global growth rate of 13.7% was a far cry from the 30.9% increase recorded in 2007 and the 18.9% increase in 2006. The Big Chill After shooting upward for several years, the growth in global futures and options trading decelerated sharply in 2008. 6
More importantly, the relatively benign overall numbers mask some sharp divergences among the different categories of products, especially in the U.S. Trading volume on the U.S. futures exchanges rose only 4.4% over 2007. What a contrast to the volume on the U.S. options exchanges, which shot up 25.1% on the back of an explosion in volatility.
Equity products across the board had a tremendous year, as did the commodity products, but the credit crisis put a big dent in the trading of interest rate products. On a global basis, interest rate volumes sank 14.4% relative to 2007, the first time in many years that we have had such a big setback.
Long-term interest rate futures were especially hard hit. Ten-year Treasury futures trading tumbled 26.5% from 2007; Euro bund futures fell 23.8%; and JGB futures slid 21.5%. Short-term interest rate products were mixed, with Euribor futures up slightly, Eurodollar futures down slightly, and Euroyen futures way down by 42.6%.
Part of the reason why the interest rate category was down on a worldwide basis was a staggering drop in the trading of TIIE futures, the Mexican short-term interest rate contract. Total volume in that contract, which last year ranked seventh largest among the world’s interest rate contracts, plunged 73.8% to 57.9 million. It appears, however, that this was more related to a market user preference for a larger contract size than to the global financial turmoil that affected interest rate trading in other countries.
In September 2007 Mexder introduced 10-year swap futures as an alternative to using large strips of the TIEE contracts as an interest rate hedge. Volume in the swap futures contract, which is 1,000 times larger in size than the TIEE, reached 171,000 in 2008. Mexder officials estimate that once the different sizes are taken into account, the level of trading activity in 2008 was effectively the same as in 2007, except that market users now have a more efficient size for their interest rate hedges.
Interestingly, Mexder’s 10-year government bond contract took off last year, with volume soaring 154% to 3.0 million contracts. And trading in the Cete 91 day contract rose 45.3% to 4.1 million. These are still minnows in global terms, but it is good to
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see a healthy interest rate complex beginning to take shape outside the traditional financial centers in the developed world.
In our past articles on global volume trends, we have typically looked at volume on an annual basis. This year, however, had two distinct phases, with the major futures and options markets in the U.S. and Europe taking on a very different tone after the Lehman collapse in September. Volatility surged across the entire marketplace and in certain products liquidity in the final part of the year was considerably less than what we have come to expect.
These effects were especially strong at the CME Group. If we take out the New York Mercantile Exchange to get a clearer picture of what happened in the financial arena, we can see that volume in the legacy CME and CBOT products really dropped off in the last part of the year, with fourth quarter volume down 22% from the third quarter. It’s not unusual to see a year-end slowdown, but this year there was clearly something else at work.
What is really scary is that the slump seemed to steepen at year-end. Eurodollar futures trading in November and December combined plunged 45.9% compared to November and December of 2007. Ten-year Treasury volume was down a stunning 65% during the same period. Hopefully this will turn out to be a cyclical downturn, but we probably will not know for sure until well into 2009.
Because of the way the futures industry works, it is difficult to get a clear view on how much volume comes from the various types of trading firms that participate in our markets. Each exchange has its own way of tracking the identity of its customers, and it may not always know who the end-customer is.
One observation is that hedge funds pulled back the most. The number of contracts traded by the top 25 hedge funds fell by 32% from the third to the fourth quarter, a much larger reduction than the exchange-wide decline of 22%. Hedge funds, as we all know, faced one of their most difficult years ever in 2008 and many were forced to wind down their trading activities in order to reduce leverage, exit losing strategies and meet redemption calls.
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It is also interesting to see that traditional customers such as pension funds pulled back the least. The amount of volume traded by these customers, which is more likely to be driven by a desire to hedge market risk, fell by only 13%. Volatility and Liquidity
As shown in the volatility comparisons table, 2008 was about 83% more volatile than 2007. And in the wake of the credit bombshells dropped in September, the last four months of 2008 were about 85% more volatile than the previous eight months. One of the astonishing things about these comparisons is the completeness of the sweep. In normal times, one can expect volatility to rise in some markets and fall in others. Not this time. Not one of the markets shown was less volatile in 2008 than it had been the previous year. Interest rate and equity index products were the most volatile, but even the commodity contracts were way above normal. Volatilities for wheat, soy, crude oil and gold were all above 50%.
The rise in market volatility definitely took its toll on liquidity. For several years, the combined effect of increases in trading volume and decreases in volatility was to reduce dramatically the costs of trading futures. As shown in the Index of Implied Bid/Ask Spreads chart, the costs of trading bottomed out in 2005 and took a sharp turn north in 2008. These index values are calculated simply as the ratio of price volatility to the square root of trading volume, a measure that is consistent with our understanding of the determinants of market liquidity.
In the three futures markets that we have chosen here--Eurodollars, 10-year Treasury notes, and the E-mini S&P 500--the cost of filling a typical large order increased dramatically during the last four months of the year. And in both of the interest rate markets, where trading volumes were falling, the depth of book--a key measure of liquidity--fell sharply as well.
One way of measuring this is to estimate the average number of contracts available at the best five bid or ask prices in the limit order book. That is, if one found 4,000 contracts at the best five bid prices, and 3,000 contracts at the best five ask spreads, we would report the average of these two, or 3,500.
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If we apply this approach to these three contracts, we see a very steep drop-off in liquidity in the last part of the year in the interest rate contracts. For Eurodollar futures, the depth of book was generally 4,000 to 5,000 contracts during the first eight months of the year, but only 1,000 to 2,000 contracts during the last four months. In Treasures, the drop was even more pronounced. The depth of book fell from over 6,000 in August to under 2,000 post Lehman and to just 400 at year-end.
Trading volume in the E-mini stock index futures never did fall, however. As a result, while the market impact of filling a stock index futures order went up substantially, the demand for trading these contracts remained high, and the depth of the book appears to have been unaffected by the increase in volatility. There was a brief plunge below 2,000 in September, a couple of dips below 3,000 in October, and from then on the depth of book stayed more or less at the same level as the first part of the year.
While the loss of liquidity and market depth was pronounced in the outright markets for interest rate contracts, it was almost catastrophic in the case of the spread market for Treasury futures. The market for the calendar roll appears briefly for a few days in the month preceding expiration. Once the roll is completed, the roll market packs up its tents and goes home until the next quarter. The accompanying Treasury Calendar Roll chart shows the average number of contracts (spreads) on the bid or offer for the first five bids or first five offers during the three most active days of this market.
Traditionally, this market is one of the most liquid on the planet. The volatility of the spread is low, and a trader usually can find tens of thousands of contracts on both the bid and the offer. For example, in the Jun08/Sep 08, the average number of spreads bid or offered was more than 20,000 during the most active three days. The Sep08/ Dec08 spread market was even deeper. One could find more than 50,000 contracts on the bid or offer during the most active day.
Then came the collapse of the credit market, which brought more than price and interest rate volatility. It also caused the term lending market to evaporate. Not only were banks not lending to one another, the term repo market, also one of the most
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liquid and actively traded financing markets in the world, stopped working as well. As a result, cash/futures arbitrage, which can usually be counted on to produce fair prices and liquid markets for the futures, dried up.
As the cash/futures arbitrage went away, so did the liquidity of the Treasury futures roll market. During the most active three days of the Dec08/Mar09 roll market, one was hard pressed to find as many as 1,000 spreads on either side of the market. Outlook for 2009
Looking back at 2008, it is astonishing just how complex the volume trends were. It seems almost as if the more closely we examine the data, the more confusing it gets.
Are we headed for a severe decline in trading volume this year, as the data from the interest rate futures sector seems to suggest? Or are we instead going to be carried forward by the huge growth in emerging markets such as China and India? Can we sustain the incredible growth of equity index products that we saw in 2008, or will volume in those products decline as volatility gradually normalizes? And how much volume will come into the industry from the over-the-counter markets, now that counterparty credit risk has grabbed everyone’s attention?
There is no question that the year-over-year comparisons are not going to look very good. January of 2008 was an incredibly active month, with all sorts of volume records set on the U.S. exchanges. July was even bigger, and then in September we hit an all-time record of 1.9 billion contracts traded. It is going to take a long time before we get back to that level of trading, given all the deleveraging that has taken place and the decline in liquidity.
It is important to keep this all in perspective, however. As the implied bid-ask spread chart shows, trading conditions have gotten significantly worse, but only compared to how things were two or three years ago. If we go back to the early part of the decade, the spreads were much wider, which is another way of saying that even now the futures markets are much more efficient than they used to be. Part of that comes from the advances in electronic trading that we have been talking about for so many years. Those advances are not likely to go away. And as the Eurodollar price
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discovery chart shows, the futures markets are still performing their core function in a very effective way. So there is good reason to expect that sooner or later those market participants who have pulled back from using these markets because of the financial crisis will eventually return for all the reasons they came in the first place. We just don’t know when.
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2008年下半年场外衍生工具市场活动
一、2008年下半年市场发展
2008年下半年金融危机导致柜台（场外交易）衍生工具总未平仓名义总额于1998年开始数据收集的第一次下降。2008年12月底的名义金额所有类型的场外交易合约为592.0万亿美元，较前6个月683.7万亿美元低13.4 ％ 。
面临着重大的价格下跌，商品和股票衍生产品市场的记录数量分别是66.5 ％和36.2 ％。在信贷市场的严重紧张的背景下再加上努力改善多边净额结算抵销合同，信用违约互换数量下降了26.9 ％ 。外汇及利率衍生工具市场记录了他们的第一次重大衰退。未兑现的金额外汇合约下跌了21.0 ％ ，而未付的款项的利息合约下跌8.6 ％ 。
总的市场价值，衡量成本的措施取代现有的所有合同，与名义金额相比，是一个更好地衡量市场风险。尽管未付款项下降，导致在2008年12月底重要的价格变动产生了显著更高的总市场价值，增加了66.5 ％ ，至33.9万亿美元。较高的市场价值也体现在总的信贷风险，增长29.7 ％至$ 5.0万亿美元。 1 .市场价值的利率产品几乎增加了一倍
在2008年下半年市场的场外利率衍生工具首次下跌后，在今年上半年记录的平均增长率上面。2008年12月底的名义金额这些文书下降到418.7万亿美元，， ，比前6个月低8.6 ％。尽管未平仓名义总额减少，利率下降导致了市场价值总值的利率衍生工具显著增加98.9 ％，至18.4万亿美元。
未偿付利率掉期下降8.0 ％ ，为328.1万亿美元。美元未偿付量和日元计价的利率掉期大致维持不变相对前一季度。与此相反，利率互换市场欧元（ -10.6 ％ ） ，英镑（ -24.2 ％ ） ，澳元（ -27.8 ％ ） ，加元（ -16.7 ％ ） ，瑞典克朗（ -21.2 ％ ）和瑞士法郎（ -6.9 ％ ）未付的款项均出现下降。 利率掉期市价总值-迄今为止最大的市场-增长105.7 ％ ，从8.1万亿美元到16.6万亿美元。最显着的增加发生在美元掉期市场，那里的总市值飙升201.2 ％ ，达到9.3万亿美元。
期权未偿付合约数量下降17.5 ％至51.3万亿美元。期权市场价值总值增加了51.3 ％ ，至17万亿美元。未偿付的金额远期利率协议（弗里亚斯） ，最小的利率衍生工具市场，保持稳定，39.3万亿美元，而弗里亚斯总未尝付市
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值增长74.4 ％ ，至1530亿美元。 2、信用违约互换合约量继续
信用违约互换未偿付合约下跌27.0 ％至41.9万亿美元，背景下信贷市场的严重紧张和多边净额结算的增加抵消了市场参与者的立场。这是在2008年上半年一个持续的出现发展。单名的合同下降了22.8 ％ ，至25.7万亿美元。多名合同，一类包括的信用违约互换指数和信用违约互换指数档，看到一个更加明显减少32.7 ％，至16.1万亿美元。
由于信贷市场的动荡，所以尽管较低未尝付量，总市场价值的CDS合同增加了78.2 ％ ，至5.7万亿美元。单名称合同总的市场价值增长95.6 ％ ，至3.7万亿美元和多名合同52.5 ％ ，至2.0万亿美元。2008年下半年更多地利用多边净额结算在也导致改变组成的合同类型。未兑现的金额多名称合同下跌32.7 ％至16.1万亿美元，而单名称合同22.8 ％的跌幅至25.7万亿美元属少量。
在2008年下半年对应的组成也发生了变化。尽管数额的信用违约互换报告交易商之间的合同下降24.4 ％ ，这是小于29.8 ％下降优秀经销商之间的合同和其他金融机构和47.7 ％的合同量下降，交易商之间和非金融机构。 事态发展的市场价值总额之间的不平衡反映对应下降悬而未决卷的不同细分市场。市场价值的报告经销商之间的合同增长了89.3 ％ ，至3.2万亿美元，占56.2 ％的总市场价值的杰出的信用违约互换合同。的市场价值之间的合同交易报告及其他金融机构增加了66.3 ％ ，而市场价值之间的合同交易和非金融机构的51.0 ％更高。
3 、全球经济下滑的外汇衍生产品
未平仓名义总额的外汇衍生工具减少了21.0 ％ ，至四十九万八点零亿美元。总的市场价值上升了73.2 ％ ，至3.9万亿美元 。卷的远期和外汇掉期交易，占总数近一半的外汇衍生品场外交易方面的名义金额下降了23.1 ％ ，而选择量下降28.8 ％ 。与此相反，大量的优秀货币互换看到一个更为温和的收缩9.7 ％ 。美元和欧元仍然是最重要的交易货币，其次是日元和英镑。 4、商品衍生工具市场减少了三分之二
在2008年下半年，未兑现的金额商品衍生品场外交易，下跌了66.5 ％至
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4.4万亿美元。在2008年底合同承包金收缩了39.2 ％ ，至0.4万亿美元，而其他商品衍生物下跌68.0 ％至 4.0万亿美元。在2008年下半年持续下跌的商品价格也对总市场价值的商品合同有重大影响，下降了56.8 ％至 1.0万亿美元。
5、股票衍生产品市场反映大幅下跌数量和价格
在2008年下半年场外股票衍生产品交易市场减少了36.2 ％至6.5万亿美元，2008年上半年从20.1 ％的增加量远低于近年来的一个显着变化的速度。下降的未付款项也表现了合同类型同样的相对规模的，反映了较低的未平仓合约和股票价格明显下降，未尝付股票衍生产品的市场价值总值温和下降2.8 ％ 。这一变化主
要归因于期权的市场价值总值，这约占未平仓名义总额四分之三，它的市场价值下降10.1 ％到0.8万亿美元，而期货和掉期总市值增加了19.5 ％ ， 至0.3万亿美元。 6 危机后利率衍生工具市场略高度集中
在2008年下半年在所有市场集中度略有增加，。据赫个别经销商以芬德尔指数为基础计算的答复，美元和英镑利率衍生工具所有类型的合同均有所增长，尽管是相对较低的水平。在这两种情况下交易商和非记者之间的合同的集中程度增加较为明显。集中程度在交易商之间的市场也略有增加。弗里亚斯日元的赫芬德尔指数伴随着集中程度更加显着的交易商间市场也上升了。
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OTC derivatives market activity in the second half of 2008
I. Market developments in the second half of 2008
The financial crisis in the second half of 2008 resulted in the first ever decline in the total notional amounts outstanding of over-the-counter (OTC) derivatives since data collection began in 1998. Notional amounts of all types of OTC contracts stood at $592.0 trillion at the end of December 2008, 13.4% lower than their total of $683.7 trillion six months before (Graph 1, left-hand panel, and Table 1).
Facing significant price drops, markets for commodity and equity derivatives recorded volumes which were 66.5% and 36.2% lower, respectively. Against a background of severely strained credit markets combined with efforts to improve multilateral netting of offsetting contracts, credit default swap (CDS) volumes decreased by 26.9%. Foreign exchange and interest rate derivatives markets recorded their first significant downturns. Amounts outstanding of foreign exchange contracts fell by 21.0%, while amounts outstanding of interest rate contracts slid by 8.6%.
Gross market values, which measure the cost of replacing all existing contracts, represent a better measure of market risk than notional amounts. Despite the drop in amounts outstanding, significant price movements resulted in notably higher gross market values, which increased by 66.5% to $33.9 trillion at the end of December 2008 (Graph 1, right-hand panel). The higher market values were also reflected in gross credit exposures, which grew 29.7% to $5.0 trillion. 1. Market value of interest rate products almost double
In the second half of 2008 the market for OTC interest rate derivatives declined for the first time, after recording an above average rate of growth in the first half of the year. Notional amounts of these instruments fell to $418.7 trillion at the end of December 2008, 8.6% lower than six months before (Graph 2 and Table 3). Despite the decrease in notional amounts outstanding, declining interest rates resulted in a notable 98.9% increase in the gross market value of interest rate derivatives, to $18.4 trillion.
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The amount outstanding of interest rate swaps decreased 8.0% to $328.1 trillion. Outstanding volumes of US dollar- and yen-denominated interest rate swaps remained virtually unchanged relative to the previous quarter. In contrast, interest rate swap markets denominated in euros (–10.6%), sterling (–24.2%), Australian dollars (–27.8%), Canadian dollars (–16.7%), Swedish kronor (–21.2%) and Swiss francs (–6.9%) all saw declines in the amounts outstanding.
The gross market value for interest rate swaps – the largest market by far – grew 105.7%, from $8.1 trillion to $16.6 trillion. The most significant increase took place in the US dollar swap market, where the gross market value surged 201.2% to $9.3 trillion.
Outstanding volumes of options contracts declined 17.5% to $51.3 trillion. The gross market value of options grew by 51.3% to $1.7 trillion. The amounts outstanding of forward rate agreements (FRAs), the smallest of the interest rate derivative segments, remained stable at $39.3 trillion, while the gross market value of outstanding FRAs grew 74.4% to $153 billion.
2. Credit default swap volumes continue to contract
The volume of outstanding CDS contracts fell 27.0% to $41.9 trillion against a background of severely strained credit markets and increased multilateral netting of offsetting positions by market participants. This was a continuation of the developments seen in the first half of 2008 (Graph 1 and Table 4). Single-name contracts declined by 22.8% to $25.7 trillion while multi-name contracts, a category that includes CDS indices and CDS index tranches, saw a more pronounced decrease of 32.7%, to $16.1 trillion.
Despite the lower outstanding volumes, the gross market value for CDS contracts increased by 78.2% to $5.7 trillion as a result of the credit market turmoil. Gross market values grew 95.6% to $3.7 trillion for single-name contracts and 52.5% to $2.0 trillion for multi-name contracts. Greater use of multilateral netting during the second half of 2008 also resulted in a change in composition across contract types (Graph 3, left-hand panel). Amounts outstanding of multi-name contracts fell 32.7% to $16.1 trillion, while the 22.8% decline in single-name contracts to $25.7 trillion was
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somewhat smaller.
The composition across counterparties also changed during the second half of 2008 (Graph 3, centre panel). Although the amount of CDS contracts between reporting dealers declined 24.4%, this was smaller than the 29.8% decrease in outstanding contracts between dealers and other financial institutions and the 47.7% drop in contract volumes between dealers and non-financial institutions.
Developments in gross market values across counterparties reflected the uneven declines in the outstanding volumes for the different market segments (Graph 3, right-hand panel). The market value of contracts between reporting dealers grew by 89.3% to $3.2 trillion, representing 56.2% of the total market value of outstanding CDS contracts. The market value of contracts between reporting dealers and other financial institutions increased by 66.3%, while the market value of contracts between dealers and non-financial institutions was 51.0% higher. 3. Global downturn in FX derivatives
Notional amounts outstanding of foreign exchange derivatives decreased by 21.0% to $49.8 trillion. Gross market values rose by 73.2% to $3.9 trillion (Table 2). Volumes of forwards and forex swaps, which account for almost half of total OTC FX derivatives in terms of notional amounts, declined by 23.1%, while options volumes fell 28.8%. In contrast, outstanding volumes of currency swaps saw a more moderate contraction of 9.7%. The US dollar and the euro remained the most important vehicle currencies, followed by the yen and sterling.
4. Commodity derivatives markets decline by two thirds
Amounts outstanding of OTC commodity derivatives fell by a solid 66.5% in the second half of 2008 to $4.4 trillion. Contracts on gold contracted by 39.2%, to $0.4 trillion at the end of 2008, while other commodity derivatives slid by 68.0% to $4.0 trillion. The continued decreases in commodity prices during the second half of 2008 also had a substantial impact on the gross market value of commodity contracts, which fell by 56.8% to $1.0 trillion.
5. Equity derivatives markets reflect sharply lower volumes and prices
In the second half of 2008 positions in OTC equity derivatives decreased by 36.2% to
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$6.5 trillion, well below the levels seen in recent years and a notable change of pace from the 20.1% increase in the first half of 2008. The decline in outstanding amounts was of the same relative size across contract types.
Reflecting lower outstanding positions and significantly decreased equity prices, the gross market values of outstanding equity derivatives declined a moderate 2.8%. This change was driven mainly by the gross market value of options, which account for around three quarters of all notional amounts outstanding. The market value of options fell 10.1% to $0.8 trillion, while the gross market value of forwards and swaps increased by 19.5% to $0.3 trillion.
6. Slightly higher concentration in interest rate derivatives markets after crisis Concentration in increased slightly across all markets in the second half of 2008. According to the Herfindahl indices calculated on the basis of responses from individual dealers, interest rate derivatives in US dollars and sterling saw growth across all contract types, albeit from relatively low levels. In both cases the increases in concentration were more noticeable for contracts between dealers and non-reporters. Concentration did, however, also increase slightly in inter-dealer markets. Herfindahl indices also rose for FRAs in Japanese yen, with the higher concentration being more noticeable in the inter-dealer market.
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