目前外汇交易的主要方式是各种衍生品的OTC交易，而不是中央市场的电子化交易。而且这个趋势越来越明显。BIS在最新的季报中根据三年调查数据估算了衍生品交易规模。他们是从美元债务的角度来看这个事情，也就是说，外汇互换、货币互换、远期合约等牵涉到货币交换本金的交易，在BIS看来，本质上是一种美元债务。比如，我用人民币做对美元的3个月外汇互换。交易的形式是我现在获得了以人民币抵押的美元贷款，但是3个月以后，我将还回等额美元，赎回抵押人民币（实际操作中是同时完成了这两次交易，第二笔交易是根据远期报价来完成的）。这里面的关键定价因子就是互换报价，这个报价一般用远期价格来体现，而远期价格的基础是利率差异来决定的。也有真实交易中远端汇率按照第一笔交易的汇率来决定的。因为是双边定价，所以定价的方式其实是非常灵活多变的。

这种交易的风险是，远端交易时候，美元的流动性有可能出现严重问题。如果交易无法完成，也就是融入美元的一方到时无法筹集到足够的美元支付给交易对手，那么就会出现事实上的违约。下面就是BIS估算的规模和我的评论。

The 2022 Survey also confirmed the trend towards greater fragmentation in FX trading. This trend stemmed from bilateral forms of electronic execution replacing the “visible” trading on electronic limit order books. One driver is dealers’ continued success in attracting trades to their proprietary platforms, which typically offer low trading costs. Another is dealers’ increased capacity to manage inventory risk by matching offsetting customer trades and through trading with related parties. While it has not hampered market functioning so far, the fragmentation can impair price formation and undermine network synergies inherent to transparent markets. In the extreme, the available information may be simply insufficient for proper analyses of market conditions and financial vulnerabilities.

A key source of vulnerability is the dollar borrowing embedded in foreign exchange markets. Unlike most other types of derivatives, FX swaps, forwards and currency swaps involve the exchange of principal, and thus give rise to payment obligations equal to the full amount of the contract. Globally, dollar obligations amounted to over $80 trillion in mid-2022. Importantly, since these obligations are reported off-balance sheet, standard debt statistics fail to capture them. Such dollar debt is, in this sense, “missing”.

The feature by Borio et al (2022) shows that the magnitude of missing dollar obligations is staggering. Among non-banks, those outside the United States had an estimated $26 trillion in off-balance sheet obligations at en