当前位置:首页 >> 学科竞赛 >>

厦门全国工商联石油业商会2013年会暨福建省油气商会


Oil Product Risk Management and OTC Derivatives Market

成品油风险管理与场外衍生品市场
黄杰夫 2013年11月24日

Safe Harbor
Forward-Looking Statements This presentation may contain “f

orward-looking statements” made pursuant to the safe harbor provisions of the Private Securities Litigation Reform Act of 1995. Statements regarding our business that are not historical facts are forward-looking statements that involve risks, uncertainties and assumptions that are difficult to predict. These statements are not guarantees of future performance and actual outcomes and results may differ materially from what is expressed or implied in any forward-looking statement. For a discussion of certain risks and uncertainties that could cause actual results to differ from those contained in the forward-looking statements see our filings with the Securities and Exchange Commission (the "SEC"), including, but not limited to, the "Risk Factors" in our Annual Report on Form 10-K for the year ended December 31, 2011, as filed with the SEC on February 8, 2012 and our Quarterly Report on Form 10-Q for the quarter ended June 30, 2012, as filed with the SEC on August 1, 2012. SEC filings are also available in the Investors & Media section of our website. All forward-looking statements in this presentation are based on information known to us on the date hereof, and we undertake no obligation to publicly update any forward-looking

statements.

Commodity OTC Market Introduction
Outline

? ? ? ?

ICE Overview Risk Management in Derivatives Market
? ? OTC market vs. Futures Market - Differences OTC market vs. Futures Market – Interactions

OTC Energy Market ICE Commodity OTC Market
? ? ? Participants, Geography, Transparency ICE Singapore Oil Product Contracts Credit Management System Two Ways to Trade: OTC Bilateral vs. Cleared Central Clearing and Transparency in OTC Markets Reasons WebICE

? ?

ICE Commodity OTC Execution
? ? ?

ICE’s Swaps to Futures Transition

?

ICE Commodity OTC Service & Technology
?

ICE Overview
IntercontinentalExchange (NYSE: ICE) is the leading network of regulated exchanges and clearing houses for financial and commodity markets.

TRADE EXECUTION
1/3 of global cash trading, more than any exchange group globally Host to more than 50% of the world’s traded crude and refined oil futures
contract volume

Global benchmarks in interest rates, energy, ags, FX & equity indexes

CENTRAL CLEARING
6+ million futures and OTC contracts cleared daily 1st to offer clearing in the OTC energy and credit markets The world’s leading clearer of energy futures & credit default swaps

LISTINGS LEADERSHIP
Home to 90% of the DJI and 78% of S&P 500 2012 global leader raising $36.9 billion in capital via 120 IPOs 53% market share in technology IPOs through Q3 2013
4

Global Financial Markets Infrastructure

5

A Story of Growth and Innovation
Euronext is formed from the merger of the Amsterdam, Brussels, Paris and Portugal stock exchanges to support growth of the European Union financial markets NYSE and Archipelago merge, creating NYSE Arca and forming the publicly owned, forprofit NYSE Group NYSE Group merges with Euronext, creating NYSE Euronext, the first transAtlantic stock exchange group ICE acquires majority stake in APX Endex and launches ICE Endex, a continental European energy exchange

New York brokers establish the New York Stock & Exchange Board (NYS&EB) renting rooms at 40 Wall Street

ICE expands into energy futures by acquiring the International Petroleum Exchange

NYSE Euronext acquires the American Stock Exchange (Amex)

1817 1792
Twenty-four brokers sign the Buttonwood Agreement outside of 68 Wall Street in New York to begin trading securities

2000 1982
The London International Financial Futures and Options Exchange (LIFFE) is established to trade futures and options contracts linked to short term interest rates

2001 2000 2002

2006
2007

2007
2008

2008 2009
ICE launches two CDS clearing houses, quickly becoming the global leader

2009 2013 Intercontinental Exchange acquires NYSE Euronext to create the premier financial markets operator

Intercontinenta lExchange is formed to develop a transparent marketplace for OTC energy markets

ICE introduces industry's first cleared OTC energy contracts; LIFFE is acquired by Euronext

ICE acquires New York Board of Trade and Winnipeg Commodity Exchange; exclusive license for U.S. Russell Indexes

ICE launches ICE Clear Europe, UK’s first new clearing house in a century; acquires Creditex and YellowJacket

6

Risk Management in Derivatives Market
OTC Markets vs. Futures Markets - Differences

? Futures Market: Standardization
? Standard grades or differentials to marker grades ? Standard delivery points or cash settlement procedures ? Standard sizes and fixed delivery schedules

? OTC Market: Customization
? Customized by size, location, grade, and time and place of delivery or cash settlement ? A wide variety of contract customization in terms of swaps, differential and spread trades and options
? “exotic options” - such as average-price or Asian options, barrier options, spread options and swing options - and conform far more closely to the needs of cash market players than American- and European-style options commonly traded on exchanges.

Risk Management in Derivatives Market
OTC Markets vs. Futures Markets - Interactions

?

Differences between futures markets and OTC markets are not an either-or proposition. Each enhances the other. Traders can create combinations of futures and OTC positions to fix prices paid or received, float prices paid or received, or convert fixed prices or rates into floating prices or rates (or vice-versa).

?

The massive depth and liquidity of markets would not exist in a futuresonly or OTC-only world. It is the blending of both that makes futures and OTC markets a powerful and useful combination.

OTC Energy Market
The role OTC energy market plays in risk management
OTC Energy and Futures Open Interest
OTC OI (000)

ICE 1H12 Revenue Diversification

Futures OI (000)

60,000 50,000 40,000

OTC Credit 11%

Market Data/Other 12%

30,000 20,000 10,000 -

OTC Energy 31%

10,000 9,000 8,000 7,000 6,000 5,000 4,000 3,000 2,000 1,000 -

12% 3%

Soft/Ag Futures
OTC Energy ICE Futures

Index/FX Futures
4,000 3,500 3,000 2,500 2,000 1,500 1,000 500 0

Average Daily Volume

31%

Energy & Emissions Futures

Total Futures

OTC Energy

ICE OTC Market Development
Leadership & Innovation Prior to ICE, the OTC market was conducted via telephone by "voice brokers". The markets were fragmented and opaque in terms of access and market data.

?
?

?

?

?

ICE was formed in 2000 to provide a more efficient, transparent energy marketplace. Beginning by listing the most commonly traded OTC products on a widely distributed trading screen. By moving to electronically traded markets, standardizing the key OTC contracts across oil, gas and power markets. Then introducing clearing for its OTC contracts, which provided a way for positions to be collateralized and marked to market on a daily basis. Finally, with electronic trade execution and clearing, the market transparency and liquidity was greatly enhanced.

Increased demand for hedging & risk management tools

Central counterparty clearing

ICE OTC Market Drives

Access to electronic trading screen

Liquidity

Prudent regulation

ICE Commodity OTC Market
Open Participation & Global Footprint
ICE OTC market participants include many of the world’s largest energy companies, industrial firms, leading financial institutions and proprietary trading firms, as well as natural gas distribution companies and electric utilities. ICE's OTC Revenues in 2010
Canada
U.S.

Europe/UK Middle East

Singapore

Liquidity Providers 26%

Commercial Companies 52% Banks and Financial Institutions 22%

The geography for ICE's OTC markets spans the US, Canada, Singapore, Europe/UK and Middle East, with growing participation from China and other parts of Asia, subject to regulatory permissions.

* Some of the banks/financial institution business are transactions on behalf of commercials. So commercials/producers make up a substantial part of the OTC business.

Singapore Fuel Oil Mini Contracts
?
FUEL OIL MINI 180 CST SINGAPORE SWAP (100MT)
? ? monthly cash settled swap future based on the Platts daily assessment price for 180 CST Singapore Fuel Oil Floating Price: In respect of daily settlement, the Floating Price will be determined by ICE using price data from a number of sources including spot, forward and derivative markets for both physical and financial products Final Settlement Price: In respect of final settlement, the Floating Price will be a price in USD and cents per metric tonne based on the average of the mean of the high and low quotations appearing in the "Platts AsiaPacific/Arab Gulf Marketscan" under the heading "Asia Products" subheading "Singapore" and "FOB Singapore" for "HSFO 180 CST ($/mt)" for each business day (as specified below) in the determination period

?

?

FUEL OIL MINI 380 CST SINGAPORE SWAP (100MT)
? ? A monthly cash settled mini future based on the Platts daily assessment price for 380 CST Singapore Fuel Oil. Floating Price: In respect of daily settlement, the Floating Price will be determined by ICE using price data from a number of sources including spot, forward and derivative markets for both physical and financial products Final Settlement Price: In respect of final settlement, the Floating Price will be a price in USD and cents per metric tonne based on the average of the mean of the high and low quotations appearing in the "Platts AsiaPacific/Arab Gulf Marketscan" under the heading "Asia Products" subheading "Singapore" and "FOB Singapore" for "HSFO 380 CST ($/mt)" for each business day (as specified below) in the determination period. *Examples listed here have been transferred to swap futures in October 2012

?

Singapore Gasoline Oil Mini Contracts
?
GASOLINE OUTRIGHT SINGAPORE MOGAS 92 UNLEADED (PLATTS) MINI FUTURE (100 BARRELS)
? A monthly cash settled mini future based on the Platts daily assessment price for Singapore Mogas Gasoline 92 unleaded Final Settlement Price: In respect of final settlement, the Floating Price will be a price in USD and cents per barrel based on the average of the mean of the high and low quotations appearing in the "Platts AsiaPacific/Arab Gulf Marketscan" under the heading "Asia Products" subheading "Singapore" and "FOB Singapore" for "Gasoline 92 unleaded" for each business day (as specified below) in the determination period.

?

?

GASOLINE OUTRIGHT SINGAPORE MOGAS 95 UNLEADED (PLATTS) MINI FUTURE (100 BARRELS)
?
?

A monthly cash settled mini future based on the Platts daily assessment price for Singapore Mogas Gasoline 95 unleaded Final Settlement Price: In respect of final settlement, the Floating Price will be a price in USD and cents per barrel based on the average of the mean of the high and low quotations appearing in the "Platts AsiaPacific/Arab Gulf Marketscan" under the heading "Asia Products" subheading "Singapore" and "FOB Singapore" for "Gasoline 95 unleaded" for each business day (as specified below) in the determination period.

?

GASOLINE OUTRIGHT SINGAPORE MOGAS 97 UNLEADED (PLATTS) MINI FUTURE (100 BARRELS)
? ? A monthly cash settled mini future based on the Platts daily assessment price for Singapore Mogas Gasoline 97 unleaded Final Settlement Price: In respect of final settlement, the Floating Price will be a price in USD and cents per barrel based on the average of the mean of the high and low quotations appearing in the "Platts AsiaPacific/Arab Gulf Marketscan" under the heading "Asia Products" subheading "Singapore" and "FOB Singapore" for "Gasoline 97 unleaded" for each business day (as specified below) in the determination period.

ICE Commodity OTC Markets
Open Participation & Global Footprint

? ?

Trading screens are distributed worldwide A balanced mix of commercial and noncommercial traders and of liquidity providers and takers with long- and short-side price risks.
? ICE Energy OTC market’s participants: energy companies, financial institutions, utilities, refiners and chemical and transportation companies. Eligibility is based on asset levels, ability to absorb risk or ability to make or take delivery of a given commodity (referring Commodity Exchange Act )

? ? ?

Parties qualified as eligible commercial entities are eligible to participate
?

Financial institutions that provide risk-management or hedging services to commercial participants in the industry may qualify to participate. Before making a transaction, applicants must execute ICE’s standard Participant Agreement.
? Standard Participant Agreement governs the terms and conditions of the participant’s relationship with ICE and grants a non-exclusive, non-transferable, revocable license to access the ICE platform.

ICE Commodity OTC Markets
Transparency

? ? ?

?

Trading in our OTC energy markets is largely conducted on the ICE screen All posted quotes are live The actual price of a commodity is established via competitive, or market based, bids and offers on the ICE screen. Offering numerous features to manage order and trade books
? holding and resuming orders, canceling, custom sorts and modification with fast in-line trading.

? ?

Each transaction is encrypted Completed trades are archived and protected by the system firewall

ICE Commodity OTC Markets
Credit Management System

? ? ?

The credit management system allows credit and risk managers from all registered companies to specify and pre-clear credit for trading. The system is one of the exchange’s most robust and sophisticated facilities. In addition to bilateral credit, it supports clearing for more than 120 contracts through ICE Clear Europe. In conjunction with ICE’s comprehensive credit risk management system, traders can manage bilateral and cleared credit settings, including:
? ? ? ? ? ? ? ? Manage bilateral credit settings by market type or company Track all credit changes via a change log Single-click account request for all clearing firms on ICE Detailed view of accounts Simple assignment of accounts to traders with detailed account views Retrieval and export of current-day and historical settlement reports for all ICE cleared products OTC Bilateral, allowing participants to manage counterparty credit directly. OTC Cleared, reducing bilateral credit exposure while improving capital efficiency and increasing market liquidity.

ICE Commodity OTC Execution
Two Ways to Trade OTC on ICE

BILATERAL OTC TRANSACTION

In bilateral markets, participants maintain direct credit lines with one another 1. Parties must have existing industry standard/ defined contract 2. Participants may pre-approve eligible counter-parties through credit filter 3. Prices on the WebICE screen are color coded - White prices eligible for execution, red prices not eligible

ICE Commodity OTC Execution
Two Ways to Trade OTC on ICE
In 2002, ICE created the concept of clearing energy swaps based on our recognition of the important role that clearing plays in reducing counterparty risk and increasing efficiency.

CLEARED OTC TRANSACTION

? ? ? ? ? ?

Use of financial intermediary (i.e., FCM) to bridge credit gap Eliminate counterparty exposure Credit/risk management consolidation for efficiency More counterparties/liquidity available Block trading available Daily mark-to-market

In cleared markets, participants need only establish an account with their FCM.

ICE Commodity OTC Execution
Clearing Benefits

?

Reduced counterparty credit risk
? risk mutualized by clearing member & clearing houses risk mutualized by clearing member & clearing houses frees up bilateral credit lines for non-cleared trades unlike bilateral trades, original counterparties remain anonymous from trade to delivery capital efficiency across multi-market (OTC/futures) position through cross margining available straight-through processing and post-trade management ensures trades are automatically confirmed and routed to back office departments and risk management systems daily mark to market

?
? ? ? ? ?

Increased trading opportunities
? ? ? ? ? ? ?

More efficient use of capital Maintains anonymity Multilateral netting Streamlined front - and back-office operations

Increased market transparency

ICE OTC Execution
Central Clearing and Transparency in OTC Markets

Historically, OTC markets presented two drawbacks compared to futures markets: central clearing and transparency.

? Central clearing
? In which a clearing house such as ICE Clear Europe? takes the opposite side of each trader’s position and guarantees the trade, reduces counterparty credit risk of a centrally cleared market to the credit protection offered by the clearing house.

? Transparency
? The ability of interested parties to see what transactions have been executed at a given price, is a vital information-signaling mechanism essential for attracting liquidity to a market. ? Markets with central clearing and price transparency seldom are abandoned in a crisis; the same cannot be said for OTC markets without these attributes.

ICE OTC Clearing
Clearing House Structure

?
? ?

Each ICE clearing house has an independent board of directors and extensive risk management operations. To trade OTC cleared contracts participants must either be a member of ICE Clear Europe or have an account relationship with a Futures Commission Merchant (FCM) or other General Clearing member There are currently 40 FCMs clearing transactions in ICE OTC markets

ICE Commodity OTC Clearing
Settlements & Prices

?

?

ICE settlement committee monitors all ICE OTC trading activity during a set settlement window Settlement prices primarily determined by ICE volume-weighted trade prices occurring during settlement window
? ? In the absence of a traded price, midpoints of the best bids and offers that are posted during the settlement window are the primary considerations for settlement If there is not a two-sided market during the settlement window, 1-sided bids or offers are used to set a floor or ceiling for the settlement price

?

Occasionally ICE trading activity during settlement window may not be sufficient for determining settlement prices in one or more months
? ? ? ICE settlement committee determines a settlement price based on a combination of the best available ICE trading activity, spread relationships and the best available market information Forward curves from the previous day and current day are used to provide additional reference points as appropriate

ICE Commodity OTC Clearing
Margining for Cleared Trades
Margining insures adequate collateral is posted by Clearing Members, providing protection to all Members of the Clearing House in the event of a member default.

?

Clearing Houses collect member initial, variation and intra-day margin
? ? Initial margin is collected when the position is established Amount is determined using SPAN methodology which takes account of current and expected volatility, among other metrics Positions are marked-to-market at least once per day and variation margin is collected or paid daily Guaranty fund (funded by clearing member and, in some instances, by ICE) Insurance Powers of assessment

?

ICE’s clearing houses have additional financial backstops, including:
? ? ? ?

In the event of default, the clearing house inherits the defaulting member’s positions and proceeds to manage positions in an orderly manner including close-out or transfer

?

ICE does not have customer risk at the clearinghouse, but has contributed over $100MM to the guaranty funds, which now exceed $6 billion.

ICE’s Clearing Houses and their predecessor companies have never experienced a default requiring the use of guaranty funds or assets of the clearing house

ICE Commodity OTC Products
OTC Energy
ICE OTC Energy Markets: 1H12
?OTC energy revenues of $224MM, +11% y/y
o
o

OTC Energy ADC
+12% y/y $1,762 $1,578 $1,374

Record OTC Energy Average Daily Commissions (ADC) of $1.8MM, +12% y/y July 2012 OTC Energy ADC of $1.4MM

?OTC energy volumes of 270MM contracts, +39%

y/y
?OTC Energy OI 62MM contracts at 6/30/12, +44%

y/y
?Total new product revenue of $26MM in 1H12

following a strong year of $38MM in 2011; 101 new cleared OTC energy contracts introduced
?OTC energy volume up more than two-fold since

(In 000) OTC Energy Contracts Traded % Cleared OTC Energy Average Daily Comm OTC Transaction & Clearing Fees Natural Gas Power Global Oil Other OTC Total OTC Energy Revenues Credit Total OTC Revenues

1H12 270,130 97% $1,762

1H11 195,034 96% $1,580

y/y % 39% 12%

2007
?Key products include refined oil products, natural

gas, power, NGLs and emissions contracts

$142,914 $44,433 $28,822 $7,778 $223,947 $75,924 $299,871

$124,958 $46,790 $21,991 $7,521 $201,260 $80,149 $281,409

14% -5% 31% 3% 11% -5% 7%

ICE’s Swaps to Futures Transition
Reason to Transition

ICE announced to transfer all cleared energy OTC swaps and options to futures by October 15th 2012.

? ? ?

Due to the Dodd-Frank Act, all ICE Cleared OTC Energy products would be classified as "Swaps" for US regulatory purposes. This would have required that all such Swaps cleared on behalf of US Customers were cleared through an FCM Clearing Member of ICE Clear Europe. Once implemented, these laws and regulations are likely to increase the cost and complexity for swaps market participants relative to futures markets participants.

ICE Commodity OTC Service & Technology
WebICE Trading Platform

? One of the ways traders can access ICE’s OTC markets is through ?
WebICE?, a Java-based electronic trading platform available via the Internet. WebICE features include:
? Single-click order entry and trading functionality ? Seamless integration from Excel formulas into WebICE via ICEMaker? (discussed below) ? Position Keeper, which tracks daily trading activity and provides real-time profit & loss numbers ? A fully configurable trading screen to maximize the desktop area based on each trader’s needs and preferences WebICE is designed with the needs of the trader in mind, which means setting up a trading environment with controls and restrictions outside of the parameters of the trading day.
? For example, prices can be color-coded as white for “can trade” or red for “cannot trade.” A counterparty filter can be established by risk managers and compliance departments, and preferences can be established between bilateral or cleared trades. Trading exposures can be limited by total dollars and by tenor of the trade.

?

Thank you!

Jeff Huang
Email: Jeff. Huang@theICE.com


相关文章:
第十五届投洽会投资项目对接会安排表
全国工商联石油业商会加油设 备专业委员会、 福建省油气商会 投洽会走进本届主宾...商请厦门市留学人员管理中心等 会展中心 3 号馆 M 厅 留学人员项目对接会 9...
全国工商联石油业商会每日国内国际石油市场行情
全国工商联石油业商会每日国内国际石油市场行情 大连 343,100 341,500 410,000 兰州 211,900 211,900 200,000 福建 182,500 131,400 240,000 锦州 138,700...
关于成立XX市石油业商会的申请
油气资源丰富,境内有大型炼化 企业 13 家,溶剂油炼化企业 50 余家,年实现加工...全国已成立的国家级商会——全国工商联石油业商会; 省级 石油业商会(协会)有:...
全国成品油仓储企业http
//www.scxgjt.com/home.asp 厦门金海顺石油有限...//www.cccpi.org/ 全国工商联直属会员商会 http:...//202.204.193.250/cpcic/ 中国油气管道网 http...
更多相关标签:
福建省油气商会 | 全国工商联新能源商会 | 全国工商联环境商会 | 全国工商联石油业商会 | 全国工商联医药业商会 | 全国工商联厨具业商会 | 全国工商联纸业商会 | 全国工商联汽摩配商会 |