FICC的白话解读.docx

一Monday, August 13, 2012FICC是什麼?消息傳來, 投行業務因為FICC業務呆滯而收入大跌. FICC究竟是什麼呢?做投行的一個基本要求是將簡單事情複雜化。很多行外人第一次收到投資銀行家名片，看見名片上的職銜，都會摸不着頭腦，感覺是位高權重，但真正做甚麼卻是丈二金剛。二十多年前, 我初進交易室工作時，大部分的交易室仍被稱為Treasury（資金部），這是商業銀行的傳統，交易室的主要工作是安排和運用銀行的資金，炒賣和在同業市場開價並不是重點。過了一段時間, 很多投資銀行都將產品業務包括交易室稱為Markets，為壯聲勢甚至升格至Global Markets（環球市場部），如果再加上負責客戶關係的行業分工（統稱Banking），便成了Global Banking and Markets（GBM）, 我工作過的部門就包括GBM. 近年交易室的生意已經不再局限於外匯和利率，很多都加入了包括原材料和貴金屬的商品，便出現了FICC這名稱，FICC其實是代表利率（Fixed Income）、外匯（Currencies）和商品（Commodities）。 股票業務的性質和規管和其他金融產品有顯著分別, 所以一般另外歸類.絕大部分的商業機構都是以賺錢多少定英雄，投行亦不例外，金融海嘯前，全球經濟長時間處於低息環境，有利交易室活動，不少交易室的主管亦因此上位，成了投行業務的領導人，甚至進身成為整個銀行的總裁，順手沾來的例子包括匯豐的歐智華、德銀的Anshu Jain、高盛的Lloyd Blankfein和剛被迫退的巴克萊Bob Diamond。什麼是好的利潤? 什麼是壞的利潤? 什麼是好的生意? 什麼是壞的生意? 是不是高利潤的就是好生意? 帶著道德有色眼睛的, 常常說做生意需要看長線, 不可急功近利. 持平地看, 衡量一般生意的好壞, 最客觀的就是將生意的所有未來現金折現加起來, 亦即是金融學101的贴现现金流(Discounted Cashflow), 只要採納適當的折現現金流(Discount Rate); 風險愈大, 折現率就愈高, 亦即是現值愈低, 得出來的結果應該是最客觀的. 不因為年期長而愛, 亦不因為年期短而惡.二华尔街“FICC”的金色年华行将逝去 虽然许多西方国家的经济已经回到了金融危机之前的水平，但是证券收益却没有重新找回危机前的光环。“FICC”，也就是所谓的固定收益证券(Fix Income，FI)、货币（Currency）和商品（Commodity），统称。然而，FICC的光辉正在慢慢褪去。在近年，华尔街投行的FICC业务利润不断下滑，这不禁令大佬们开始重新思考他们的商业模式。由于监管力度更为严苛，加之全球利率环境步入拐点，投资者均不看好FICC利润能够突破在2008年一前一后的“双子峰”。投行的业务一般分成两块。第一块包括新股承销公司兼并和收购服务，这也是投行的传统业务。第二块就是FICC投资。据Freeman研究数据显示，FICC仍然要占到投行整体利润的70%。比如，去年高盛集团FICC业务产生了该公司72%的利润，在2010年，这一比例为82%。摩根士丹利在这项数据上录得70%，2003年时这一数据为82%。巴克莱资本是顶级投行中最大受害者。去年，巴克莱银行资产交易收入同比下降41%。此后他们立即宣布裁员7千人。当然，巴克莱银行确实属于极端个例。摩根士丹利去年FICC业务利润就增长了35%。但是这掩盖投行整体FICC业务的不理想。今年一季度，投行FICC业务利润再度下滑。10大行（巴克莱银行，摩根士丹利，摩根大通，高盛集团，美国银行，花旗集团，瑞银集团，德意志银行，法国巴黎银行和瑞士信贷）FICC利润为241.8亿美元，低于去年同期的280亿美元以及前年同期的300亿美元。FICC业务下滑与周期性因素不无关系。近年全球经济步入失速周期，以美联储为主的世界主要央行纷纷推出宽松措施刺激经济。但与此同时，刺激措施直接导致市场利率普遍下滑，FICC业务也因此受到影响。但是，更令他们担忧的是，这一种转变更像是结构上的转变，而非简单的周期性波动。巴克莱首席执行官在上周四接受CNBC采访时表示：“我们在去年所看到的各种压力很明显是由结构性以及周期性因素造成的。”瑞士隆奥银行在绝对收益债券部门主管Grant Peterkin也表示：“收益已经不再。这个世界从2007,2008年就开始了改变。”在过去几年中，美国当局加大了投行投资业务的监管力度，限制银行进入高风险投资领域。同时，当局的经济刺激政策涵盖许多限制市场波动的条款，直接导致利用高抛低吸创造利润的FICC业务盈利空间收缩。三Bond tradingFICC and thinThe engine of investment banking is splutteringIN AN open-plan office big enough to house a football field, scores of traders peer into the unearthly glow of trading terminals stacked two or three high and dozens in a row, buying and selling bonds and currencies. Flags poke out above the terminals, to denote which countrys financial instruments are changing hands. It is an awkward reminder of the former docks outside the windows, which bear names such as Canada Wharf or West India Quay, after the places from which they used to welcome ships.Just as Londons docksonce the worlds busiestemptied when the tides of trade lapped new shores, the dealing rooms of the worlds biggest international financial market are being hollowed out. The buying and selling of bonds (“fixed income” in the argot), currencies and commodities have been the main source of profits for investment banks in recent years. Now FICC, as these activities are known collectively, is in retreat.In 2009 the worlds big investment banks earned nearly $142 billion from FICC63% of their total revenue, according to Coalition, a data firm. By last year that had halved to nearly $74 billion, accounting for slightly less than half of revenue (see chart). In 2013 alone revenues from FICC fell by almost 20%. And the precipitous descent is continuing. On April 11th JPMorgan Chase, the worlds largest investment bank by revenue, posted a 21% fall in income from FICC in the first three months of 2014 compared with a year earlier. Days later Citigroup, another large American bank, announced an 18% decline.The latest drops are all the more surprising since the first quarter of the year tends to be particularly profitable for banks. Moreover, the quarter ought to have been especially lucrative this year given the brisk pace of corporate-bond issuance as creditworthy companies tried to lock in low borrowing rates. The disappointing numbers are rekindling an argument within the industry over whether FICCs decline is merely cyclical or the start of a long-term slump in the profitability of banks trading businesses.The trend towards falling trading revenues is a global one, afflicting New York and Hong Kong too. But it is being felt most acutely in London, which is home to the bulk of European investment banking. Analysts expect Europes big banks to report even sharper drops in trading income than their American rivals. Huw van Steenis, an analyst at Morgan Stanley, reckons Europes leading investment banks gave up about five percentage points of market share in FICC to the three leading American banks last year. They may lose another three points this year.At least some of the forces at work are cyclical. Central banks strenuous efforts to keep long-term interest rates low are depressing bond trading. There is little reason to buy or sell bonds if the interest rates that determine their price are low and stable. Trading volumes may pick up again as central banks slow and eventually halt their bond-buying, particularly if the retreat from “quantitative easing” leads to jumps in interest rates. (Such a jump could at first inflict losses on banks as the bonds they own fall in price.)Yet deeper trends also appear to be at work. The most important is the growing weight of regulation. Banks everywhere are now required to hold more capital to underpin their trading. The Swiss rules are especially demanding, to the detriment of the two biggest Swiss banks, Credit Suisse and UBS. Many countries are restricting banks trading on their own account, instead of on behalf of clients; America has banned it outright. There is also a global push to shift derivative-trading to central clearing houses.Estimates vary as to how much of the sting of these regulations is yet to be felt. Analysts at Citigroup, for instance, reckon that about two-thirds of the impact has already been absorbed, leaving revenues to decline by another 6-7%. Others predict that they still have twice as far to fall. It is probably safe to side with the pessimists. This is partly because bankers and analysts tend to underestimate the harm that regulation will inflict on revenues. But it is also because regulators are likely to push the trading of more instruments onto exchanges, where margins are narrower, as a result of market-rigging scandals affecting currency trading and interest rates.The tides of finance have almost certainly turned. The real questions are how far they will retreat and how quickly the industry can adapt.四Fixed income, currencies and commodities固定收益，货币，大宗商品A FICC for your trouble你的FICC麻烦The beating heart of investment banking is ailing投资银行业跳动的心脏正在出毛病。May 11th 2013 |From the print edition “LOOK AT THAT,” barks a senior executive at one of the worlds biggest banks, stabbing his finger towards a blinking number on one of the six computer screens above his desk that shows the spread (or profit for banks) on trading dollars for yen. “Were already down to four decimal places. It cant get any narrower than that.” If relentlessly declining margins are a serious concern for banks in the equities business, they are even more of a worry in fixed income, currencies and commodities (FICC), which has become the bread and butter of investment banking over the past decade.“看看那个，我们已经算到四位小数了，差价已经小得不能再小了，”一个高管指着电脑屏幕上闪烁的数字喊道，他桌子上方的这台电脑显示着美元换日元的价差（银行的利润）。如果这样残酷地减少利润是银行对股票交易的重重担忧，那么他们会更加担心固定收益、货币和大宗商品（FICC），因为这是投资银行业在过去十年的奶油和面包。It is slightly misleading to think of FICC as a single business, since it consists of a disparate group of businesses ranging from trading low-risk government bonds to owning crude oil. What they all have in common is that they involve trading. For big banks, FICC revenues are dominated by trading government and corporate bonds and the currencies of the worlds main economies. In this respect FICC is the oldest business line in investment banking. The Rothschild family had built the worlds biggest bank in 1825 largely by lending money to governments.将FICC当做单独业务会有轻微的误导倾向，因为它是由许多不同的业务组合而成的，从低风险政府债券交易和持有原油等，但它们的共同点是都涉及交易。对大银行来说，FICC收入主要由政府和公司债券以及世界主要经济体货币的交易产生。在这方面，FICC是投资银行业开展最早的业务部门。罗斯柴尔德家族通过借钱给政府，在1825年建立了世纪最大的银行。Yet FICCs spectacular growth over the past two decades was fuelled mainly by the ballooning of bank balance-sheets that regulators unwittingly encouraged. An industry that as recently as 2000 earned twice as much revenue trading stocks as it did trading bonds ended the decade heavily dependent on FICC. Big capital-markets banks such as Citi, Deutsche Bank and Barclays now derive about two-thirds of their overall investment-banking income from this source. For Goldman Sachs, which is among the most respected banks in equities trading and advising on takeovers, FICC accounted for a mere 17% of its revenue in 1998, but a decade later it had become its largest and most profitable business, making up 35% of its revenues.然而，FICC在过去二十年间飞速增长主要得益于监管机构在无意间对银行资产负债平衡表膨胀的鼓励。最早在2000年，一个行业在股票交易上的收入是它做债券收入的两倍，结束了十年来严重依赖FICC的历史。现在大型资本市场银行，如花旗银行，德意志银行，巴克莱银行等，由该业务衍生而出的产品收入是投资银行业务收入的三分之二。高盛投资公司是在股权交易和收购咨询方面最受推崇的银行之一。1998年，它的FICC收入只占它收入的17%，然而十年之后却成为它规模最大、盈利最多的业务，达到收入的35%。Escalating debt and the expansion of bank balance-sheets have played a part in this, but so has complexity. Margins on the debt side of investment banking have generally held up much better than they have on the equities side mainly because debt markets are vastly more complicated. Large companies will typically issue a single class of shares, and any subsequent issues will usually be completely fungible with the ones already outstanding.虽然抬升债务和资产负债平衡表膨胀在这个过程中起了一定的作用，但事情要复杂得多。投资银行业债务领域的利润要比股权领域提高得要多，这是因为债务市场要更加复杂。一般情况下，大公司会发行单一种类股票，并且后续发行的股票通常完全可以同那些表现优秀的股票互换。Yet companies will often issue tens if not hundreds of different sorts of bonds, and even the simplest issue will differ from the previous one because interest rates will have changed and it will have a different maturity. This provides rich pickings for bond traders as buyers will often have to hunt around to find exactly the bond they want. Gal de Boissard, the head of fixed income and Europe, Middle East and Africa at Credit Suisse, points out that there are 38,000 different corporate-debt securities in America alone, only a few of which trade every day of the year. But pressures for simplification are rising. Investors and issuers want it in order to lower costs and improve liquidity, and regulators want to make sure they can clean up quickly if a large bank fails.但是，公司经常发行几十种甚至几百种不同的债券，甚至最单纯的债券发行都会因为利率变化和成熟度不同而产生差异。这就给债券交易员带来了丰厚的横财，买家经常要货比三家找自己确实想要的债券。Gal de Boissard是瑞士信贷固定受益以及欧洲、中东和亚洲部门的负责人，他指出单单美国就有38 000种不同的公司债务证券，其中只有一部分每天都进行交易。但是简化债券的压力正在增加，投资人和债券发行者想要通过简化来降低成本，提高偿债能力，监管部门想要确保他们能在银行失利时快速整顿。Cutting out the humans踢除旧业Innovations that have transformed equity markets, such as ETFs and electronic trading, are also making their way into debt markets. Goldman Sachs, UBS, Morgan Stanley, BlackRock and Bloomberg, a financial-data and news firm, are all experimenting with electronic bond-trading networks that try to match buyers and sellers. Primary dealers, who in the past had a virtual monopoly on the issue of new government bonds in America, are also being dislodged from their perch. The American government now sells about 20% of its debt through direct bids placed through a website according to calculations by Bloomberg. BlackRock has recently launched a series of fixed-income ETFs that will mature after a set number of years, like ordinary bonds. These will bundle together baskets of illiquid corporate bonds into liquid instruments that will pay out on a fixed date.ETF和电子交易等金融创新已经改变了股票市场，它们同样扩展到了债务市场。高盛投资（ Goldman Sachs），瑞士联合银行（UBS），摩根士丹利（ Morgan Stanley），黑石集团（BlackRock），彭博社（Bloomberg，金融数据和新闻公司），全都在实验电子债券交易网络，匹配买卖双方。过去在美国，初级市场交易商实际上垄断着政府新债券的发行，而现在也被赶下了高位。彭博社的计算表明，如今美国政府有20%债权直接在网站上竞价出售，黑石集团最近启动了一系列固定收益ETF，这些ETF会像普通证券一样在确定的年限成熟起来。这些措施会把非流动性公司债券绑进定期还债的流动性工具中。 There is also pressure on the profitability of banks derivatives businesses, another of FICCs traditional moneyspinners. The most far-reaching of these will be to force banks to move many of their derivative contracts with clients to central counterparties in a bid to reduce the systemic risk of a big bank blowing up. These rules threaten to erode the profitability of derivatives businesses as they make the cost of hedging clear for clients.FICC的另一项传统盈利项目银行衍生品业务盈利也会面临压力。其中影响深远的业务会迫使银行把它们和客户签订的衍生品合同变更到中心银行部门，减少大银行崩盘的系统风险。侵蚀衍生品业务为客户说清楚对冲成本时，这些规则预示着盈利被侵蚀。Together with the new rules on capital, liquidity and proprietary trading, these changes will hit banks revenue as well as their profitability. Deutsche Banks Mr Spick thinks revenue will drop by 6% this year and Mr Hintz at Bernstein reckons that the new rules may slash ROEs in trading businesses to 5-6% from their current level of 13-14%. Other analysts expect a more muted effect. Morgan Stanley and Oliver Wyman forecast in a recent report that the changes in derivatives markets will cause revenues to fall by just 3-5% in the period to 2015.在新的资本、流动资产和所有权交易规则下，这些变化会打击银行的收入和盈利。德意志银行（Deutsche Bank）斯比特认为今年银行的收入会下降6%，伯恩斯坦公司（Bernstein）欣茨估计新规可能使交易业务的净资产收益率从目前13-14%的水平猛降到5-6%。其它分析师认为其效应更加缓和。摩根士丹利（Morgan Stanley）和奥维咨询（Oliver Wyman）在最近的报告中预测，在截至2015年这段时期内，衍生品市场的变化将导致银行收入下降3-5%。What banks do best银行怎样做才好Not all of these changes will make lifer harder for banks. Centralised clearing and the simplification of derivatives may threaten to cut margins by as much as 40% in some of the most opaque parts of the business, but they may also increase trading volumes and will allow banks to shed much of the risk that they would previously have carried on their balance-sheets, freeing up capital.并不是所有变化都让银行的日子变艰难。虽然衍生品集中清算和简化或许会让最透明部分业务的盈利减少40%，但有可能增加其交易额，让银行摆脱维持在资产负债平衡表里的许多风险，进而腾出资本。That should enable many banks to turn back to their core role of intermediation and making markets for clients in illiquid securities, which they have neglected somewhat in the past few years. Corporate-bond inventories among primary dealers in America have fallen to below $60 billion, from $230 billion before the crisis, and almost all big European investment banks are shedding assets. As a result, hedge funds and other investors complain that they have found it more difficult to trade. “There is a lack of liquidity in stuff that used to trade like water,” says a senior manager at a big hedge fund.这样，银行就有能力重现回到其中心角色，充当中介，帮客户操作流通证券，而银行在过去几十年里都忽视了这方面工作。美国初级交易市场中的公司债券库存在金融危机前有2300亿美元，现在已经下降到600亿美元以下，几乎所有欧洲投资银行都在削减资产。结果，对冲基金和其他投资人抱怨交变得更加困难。某个大型对冲基金高级经理人说：“这些原本可以像水流一样进行交易的项目缺少了流动性。”Investors appetite for liquidity should benefit firms that are willing to offer a price for a security, even if there is no immediate buyer, and to guarantee to provide a security at a fixed price, even if there is no immediate seller. “There is a reason that market-making exists,” says Citis Mr Ybarra. “If it didnt and people sat down to invent something to make markets work better, the thing they would invent is banks.”投资人对流动资产的胃口让某些公司受益，这些公司愿意在没有直接买方的情况下提供债券报价，并且还能够在没有直接买方的条件下保证证券有固定价格。花旗集团（Citi）亚巴拉（Ybarra）说：“做市的存在是有原因的。如果不做市而人们坐等投资某些项目来让市场更好地运行，那么他们要做的就是创立银行。”Those banks that have capital should in time be able to benefit as weaker banks fall by the wayside. Yet there will also be increased competition from other financial players. Some of the task of providing liquidity has shifted to specialist market-makers and high-frequency traders. However, they generally take only intra-day risk and are unwilling to accept large blocks of securities that may be on their books for days or weeks. That may open up opportunities for hedge funds and other new providers of liquidity to step in if margins are attractive enough.当实力偏弱的银行半途而废时，这些掌握资本的银行应该有能力及时获利。然而，其他金融参与者也会增加竞争。部分提供流动资产的任务转移到专业做市商和高频交易人，但是他们通常只会承担日内风险，不愿意接受可能在其账簿停留数日或数周的大笔证券。这有可能为对冲基金以及其他新型流动资产提供人开拓机遇，在利润足够诱人的情况下介入这类市场。The advantages of scale are already evident in the growing dominance of the biggest banks. Concentration on the debt side of the business is increasing even more rapidly than in equities. Mr Spick reckons that within three years the five biggest banks will control more than 55% of total revenue, up from less than a third in 2008. “Trading is becoming a game of attrition as weaker players shrink capacity,” says Mr Hintz. “Decisions to call it quits appear to be accelerating.” Most banks are being forced to cut back and shut businesses in those areas where they do not have scale. That is offering ample opportunity for the biggest banks to grow bigger still.规模优势已经在最大银行不断增强的支配力中表现得相当明显，银行对该业务债务项目的关注度要比对股本项目提升得快很多。斯比特估计，三年之内五家最大银行将掌握超过55%的总体收入，而在2008年只有不到三分之一。欣茨说：“弱势参与者能力降低，交易活动就会成了消耗游戏。越来越多的银行决定不会参与其中。”绝大多数银行被迫减少并停掉那些没有业务规模优势的项目。这也为最大的银行提供了优越的发展机会来变得更为强大。四港交所未来三年将拓展FICC业务查看本文热度 据香港信报1月14日报道，港交所(00388.HK)行政总裁李小加将于15日公布港交所第五个“三年计划”，其发展方向将是深化FICC业务(定息收益、利率、货币及商品产品)，减少依赖现货市场；同时利用商品为突破口，达到与内地互联互通，从而带动现有业务的发展。2010年初，李小加就职港交所以来，首项任务便是制订战略规划2010-2012，以“全方位配合人民币国际化”为目标，主要围绕现货市场的发展引入多项改革。2012年初，李小加声言重新发展商品业务，半年后宣布收购伦敦金属交易所(LME)，确立了多元资产交易所的雏形。报道称，李小加即将公布的港交所战略规划2013-2015，将在人民币国际化的基础上，从纵向、横向多领域展开新一轮改革。纵向是指包括交易平台和结算所，港交所于2000年成立时，已属于垂直整合的交易所(vertical silo)。未来三年将透过场外衍生产品结算所，把场外交易产品，引入港交所进行结算，强化纵向的功能。而横向是指产品种类，除一直依赖的股本证券外，将拓展FICC业务。LME收归旗下之后，将是港交所商品平台的旗舰，日后计划引入更多切合内地需要的商品类别，例如焦煤、农产品，以及人民币计价的商品期货；同时，继简化予机构投资者的人民币债券上市程序、推出人民币外汇期货后，港交所将研究人民币利率产品，亦不排除推出人民币兑其它货币的期货合约。港交所曾指出，从内地的角度，商品有实际“走出去”的需要，在可控的情况可驳通这管道，让内地投资者在亚洲时区交易，为离岸人民币(CNH)提供最大的支持，亦有助刺激现货市场的需求。五FICC业务将爆发式增长2013年3月3日，中国证监会公布了证券公司债务融资工具管理暂行规定（征求意见稿），在对现有证券公司债券、次级债有关规定进行细化的同时，允许证券公司按照规定发行收益凭证这一新的融资工具。暂行规定重点对收益凭证作了规定，具体包括：收益凭证可以公开发行，也可以非公开发行，还可以向单一客户定向发行；证券公司可以根据自身和客户的需求，自行约定收益凭证的期限；收益凭证可以在证券交易所、证券公司柜台市场、机构间报价与转让系统以及中国证监会认可的其他场所发行、转让。 点评：申银万国孙婷3月4日在从券商到投行，证券公司衍生对冲业务负债渠道放松中表示，