第二讲 投资银行的资产负债表.ppt

第二讲投资银行的资产负债表及其业务,任课教师：对外经济贸易大学金融学院郭敏教授minguo992002TEL一、MerrillLynch的公司架构二、MerrillLynch的资产负债表三、MerrillLynch的损益表四、投资银行的主要业务五、投资银行的性质及经营管理特点,NewMerrillLynchin2009,2008MerrillLynchannouncesaplantoreduceitsriskexposuresby$11.1billion,includingasubstantialsaleofU.S.collateraldebtobligationscomprisedofasset-backedsecurities.BankofAmericaCorporationagreestoacquireMerrillLynchinanall-stocktransactionthatcreatesacompanyunrivaledinitsbreadthoffinancialservicesandglobalreach.2009MerrillLynchofficiallybecomesawhollyownedsubsidiaryofBankofAmerica.,FollowingthecombinationwithMerrillLynch,BankofAmericahasbecome:Thelargestbrokerageintheworld,withmorethan20,000advisorsand$2.5trillioninclientassetsAleadingproviderofglobalcorporateandinvestmentbankingservices,includingcommerciallending,globalhigh-yielddebt,globalequityandglobalMMerrillLynchInvestmentManagersLimited,aU.K.-basedassetmanagementcompany;MerrillLynchBankUSA(MLBUSA),aU.S.-basedFDIC-insureddepository;MerrillLynchBank,MerrillLynchMortgageCapitalInc.(MLMCI)MerrillLynchJapanSecuritiesCo.,Ltd.,aJapan-basedbroker-dealer;(MLJS)MerrillLynchInsuranceGroup,Inc.,aU.S.-basedprovideroflifeinsuranceandannuityproducts.MLIBKPosition,Inc.,二、投资银行的资产负债表（以美林为例）,附件:美林2007年资产负债表资产负债所有内容由三大部分构成：1、Trading-RelatedAssetsandLiabilities2、Non-Trading-RelatedAssets3、Non-Trading-RelatedLiabilities,1、与证券交易直接相关的资产与负债项（Trading-RelatedAssetsandLiabilitiesin2007)资产负债重售协议(217%)回购协议(23.1%)借入证券(131%)借出证券(55%)交易资产(23.o%)交易负债(12.1%)应收项(12.4%)应付项(13.0%)合计：702537,2、Non-Trading-RelatedAssets(2007)（其它资产）：现金及现金等同63其它证券投资81贷款、票据与抵押93固定资产与商誉083、Non-Trading-RelatedLiabilities(其它负债与资本）：商业票据与短期借贷24存款10.2长期借贷26.1资本金31,与证券交易直接相关的资产与负债项（Trading-RelatedAssetsandLiabilitiesin2008)资产负债重售协议(13.97%)回购协议(13.88%)借入证券(5.25%)借出证券(3.66%)交易资产(26.31%)交易负债(13.40%)应收项(13.46%)应付项(13.54%)合计：58.9944.52,与证券交易直接相关的资产与负债：SecuritiesFinancingTransactions（包括重售与回购以及借入证券与借出证券）,MerrillLynchentersintosecuredborrowingandlendingtransactionsinordertofinancetradinginventorypositions,obtainsecuritiesforsettlement,meetcustomersneedsandearnresidualinterestratespreads.MerrillLynchalsoengagesinsecuritiesfinancingforcustomersmarginlending.,TradingAssetsandLiabilities,TradingAssetsandLiabilitiesconsistofcashinstruments(suchassecurities)andderivativeinstrumentsusedfortradingpurposesorformanagingriskexposuresinotherTradinginventory.Tradinginventoryprincipallyrepresentssecuritiespurchased(longpositions),securitiessoldbutnotyetpurchased(shortpositions),andwillthereforebeobligatedtopurchaseonthefuturedate.Thesepositionsareprimarilytheresultofmarket-making,hedging,andproprietaryactivities.,OtherReceivablesandPayables,CustomerReceivablesandPayablesCustomersecuritiesandcommoditiestransactionsarerecordedonasettlementdatebasis.Receivablesfromandpayablestocustomersincludeamountsdueoncashandmargintransactions.,BrokersandDealersReceivablesandPayablesReceivablesfrombrokersanddealersincludeamountsreceivableforsecuritiesnotdeliveredbyMerrillLynchtoapurchaserbythesettlementdate(failstodeliver),depositsforsecuritiesborrowed,margindeposits,commissions,andnetreceivablesarisingfromunsettledtrades.PayablestobrokersanddealersincludeamountspayableforsecuritiesnotreceivedbyMerrillLynchfromasellerbythesettlementdate(failstoreceive),depositsreceivedforsecuritiesloaned,andnetpayablesarisingfromunsettledtrades.,InterestandOtherReceivablesandPayablesInterestandotherreceivablesincludeinterestreceivableoncorporateandgovernmentalobligations,customerorotherreceivables,stockborrowedtransactions,receivablesfromcommissionsandfees,andincometaxes.Interestandotherpayablesincludeinterestpayableforstock-loanedtransactions,long-termborrowings,andamountspayableforemployeecompensationandbenefits,restructuringreserves,andincometaxes.,CashandCashEquivalents,MerrillLynchdefinescashequivalentsasshort-term,highlyliquidsecuritiesandinterest-earningdepositswithoriginalmaturitiesof90daysorless,otherthanthoseusedfortradingpurposes.,CashandSecuritiesSegregatedforRegulatoryPurposesorDepositedwithClearingOrganizations,Itincludescashandsecuritiessegregatedincompliancewithfederalandotherregulationsandrepresentfundsdepositedbycustomersandfundsaccruingtocustomersasaresultoftradesorcontracts.AlsoincludedarefundssegregatedinaspecialreserveaccountforthebenefitofcustomersunderRule15c3-3oftheSecuritiesandExchangeCommission,aswellasfundssegregatedandheldinseparateaccountsinaccordancewithSection4d(2)andRegulation30.7oftheCommodityExchangeAct.,InvestmentSecurities,InvestmentsecuritiesontheConsolidatedBalanceSheetsincludeshighlyliquiddebtsecuritiesincludingthoseheldforliquiditymanagementpurposes,equitysecurities,theinvestmentportfolioforMerrillLynchsU.S.banks,andinvestmentsofinsurancesubsidiaries.,Loans,Notes,andMortgages,MerrillLynchslendingandrelatedactivitiesincludeloanoriginations,syndications,andsecuritizations.Loanoriginationsincludecommercialandresidentialmortgages,loanstosmall-andmiddle-marketsbusinesses,andcreditextendedtoindividuals.,SeparateAccountsAssetsandLiabilities,MerrillLynchmaintainsseparateaccountsrepresentingsegregatedfundsheldforpurposesoffundingvariablelifeandannuitycontracts.TheseparateaccountassetsarenotsubjecttogeneralclaimsofMerrillLynch.TheseaccountsandtherelatedliabilitiesarerecordedasseparateaccountsassetsandseparateaccountsliabilitiesontheConsolidatedBalanceSheets.,EquipmentandFacilities,Equipmentandfacilitiesprimarilyconsistoftechnologyhardwareandsoftware,leaseholdimprovements,andownedfacilities.,CommercialPaperandShort-andLong-TermBorrowings,MerrillLynchsunsecuredgeneral-purposefundingisprincipallyobtainedfrommedium-termandlong-termborrowings.,Deposits,Savingsdepositsareinterest-bearingaccountsthathavenomaturityorexpirationdate,wherebythedepositorisnotrequiredbythedepositcontract,butmayatanytimeberequiredbythedepositoryinstitution,togivewrittennoticeofanintendedwithdrawalnotlessthansevendaysbeforewithdrawalismade.Timedepositsareaccountsthathaveastipulatedmaturityandinterestrate.Depositorsholdingtimedepositsmayrecovertheirfundspriortothestatedmaturitybutmaypayapenaltytodoso.,三、投资银行的损益表,见附件美林2007和2008年损益表除利息收入外，投行收入主要有以下几项,Principaltransactions,Principaltransactionsrevenuesincludebothrealizedandunrealizedgainsandlossesontradingassetsandtradingliabilitiesandinvestmentsecuritiesclassifiedastradinginvestments.,Investmentbanking,InvestmentbankingrevenuesincludeUnderwritingrevenuesrepresentfeesearnedfromtheunderwritingofdebtandequityandequity-linkedsecuritiesaswellasloansyndicationandcommitmentfeesStrategicadvisoryservicesrevenues,whichincludemergerandacquisitionandotheradvisoryfees,Commission,Commissionrevenuesincludescommission,mutualfundsdistributionfeesandcontingentdeferredsalechargerevenue,whichareallaccruedasearned.,Assetmanagementandportfolioservice,Assetmanagementandportfolioservicefeesinclude:Managementfeees:whichrepresentapercentageofclientassetsundermanagement.Accountfees:whichgenerallyreprsentafixedannualcharge.Performancefees:whichareearnedifinvestmentperformanceexceedspredeterminedlevels.,2007花旗集团资产负债结构,2007年花旗集团收入构成,四、投资银行的主要业务,证券发行与承销业务证券经纪与交易业务收购兼并业务基金管理业务风险与创业投资业务财务顾问与咨询业务项目融资业务金融衍生产品与创新业务研究开发与投资咨询业务资产证券化业务,MerrillLynch&Co.,Inc.,MerrillLynchisoneoftheworldsleadingwealthmanagement,capitalmarketsandadvisorycompanies,withofficesin40countriesandterritoriesandtotalclientassetsofapproximately$2trillion.(2008年）MerrillLynchisoneoftheworldspremierprovidersofwealthmanagement,securitiestradingandsales,corporatefinanceandinvestmentbankingservices(2009),CorporateSnapshotFounded:1914(CharlesE.Merrill&Co)Employees:64,2002007NetRevenue:$11.billionTotalClientAssets:Approx.$1.8trillionTotalStockholdersEquity$32bnFortune500:RankedNo.22StockSymbol:MERGlobalMarkets:40countriesAsofquarter-end,Q42007.（2008年）,MerrillLynchoffersabroadrangeofservicestoprivateclients,smallbusinesses,andinstitutionsandcorporations,organizingitsactivitiesintotwointerrelatedbusinesssegments-GlobalMarkets&InvestmentBankingGroup(GMI)andGlobalWealthManagement（GWM)。,TheservicesprovidedbyMerrilLynch,Securitiesbrokerageandtrading-Equities-Fixedincome-MutualfundsInvestmentbanking-Securitiesunderwriting-Strategicadvisoryservices,including:-Mergersandacquisitions-Strategicvaluation-Othercorporatefinanceandadvisoryactivities,Origination,brokerage,dealerandrelatedactivitiesin:-Swaps-Foreignexchange-Options-Forwards-Futures-Otherderivatives,PrivateequityandotherprincipalinvestingactivitiesSecuritiesclearance,settlement,financingandservices,includingprimebrokerageInvestmentmanagementandinvestmentadvisoryservicesWealthmanagementproductsandservices,includingfinancial,retirementandgenerationalplanning,Banking,trustandlendingservices,including:-Mortgagelending-Trust-Commerciallending-Deposit-taking-Securities-basedlendingInsuranceandannuitiessalesandannuityunderwritingservices,Globalinvestmentresearchencompassing:-Equities-Foreignexchange-FixedIncome-Investmentstrategy-Economicresearch-CreditandEquity-linkedInvestmentadvisoryandrelatedrecordkeepingservices,BlackRockMerrillLynchownsapproximatelyhalfofBlackRock,oneoftheworldslargestpubliclytradedinvestmentmanagementcompanieswithmorethan$1trillioninassetsundermanagement.,GoldmanSachs,GoldmanSachsisaleadingglobalinvestmentbanking,securitiesandinvestmentmanagementfirmthatprovidesawiderangeofservicesworldwidetoasubstantialanddiversifiedclientbasethatincludescorporations,financialinstitutions,governmentsandhighnet-worthindividuals.,Weseektobetheadvisorofchoiceforourclientsandaleadingparticipantinglobalfinancialmarkets.Ourstrategyistogrowourthreecorebusinesses：InvestmentBanking,TradingandPrincipalInvestmentsandAssetManagementandSecuritiesServicesinmarketsthroughouttheworld.,InvestmentBankingWeprovideabroadrangeofinvestmentbankingservicestoadiversegroupofcorporations,financialinstitutions,governmentsandindividuals.TradingandPrincipalInvestmentsWefacilitateclienttransactionswithadiversegroupofcorporations,financialinstitutions,governmentsandindividualsandtakeproprietarypositionsthroughmarketmaking,tradingandinvestinginfixedincomeandequityproducts,currencies,commoditiesandderivatives.Additionally,weengageinspecialistandmarketmakingactivitiesonequitiesandoptionsexchanges,andweclearclienttransactionsonmajorstock,optionsandfuturesexchangesworldwide.Inconnectionwithourmerchantbankingandotherinvestingactivities,wemakeprincipalinvestmentsdirectlyandthroughfundsthatweraiseandmanage.AssetManagementandSecuritiesServicesWeprovideinvestmentadvisoryandfinancialplanningservicesandofferinvestmentproductsacrossallmajorassetclassestoadiversegroupofinstitutionsandindividualsworldwide.Wealsoprovideprimebrokerageservices,financingservicesandsecuritieslendingservicestomutualfunds,pensionfunds,hedgefunds,foundationsandhigh-net-worthindividualsworldwide.,TheservicesprovidedbyGoldmanSachs（2008）,AdvisingAssetAllocationMergersandAcquisitionsFinancingDebtFinancingEquityCapitalMarketsLendingInvestingAssetManagementMutualFundsPrivateEquityPrivateWealthManagementSecuritisedDerivatives,SecuritiesClearingServicesExecutionServicesFundAdministrationPensions,EndowmentsandFoundationsPrimeBrokerageProductsSecuritiesLendingProgramsTransitionServicesResearchGlobalInvestmentResearch,TheservicesprovidedbyGoldmanSachs（2009）,AdvisingAssetAllocationEnvironmentalMarketsMergersandAcquisitionsFinancingBankLoansDebtFinancingEquityCapitalMarketsLendingInvestingAssetManagementBankDepositsClosedEndedInvestmentsMutualFundsPrivateEquityPrivateWealthManagementSecuritisedDerivatives,SecuritiesClearingServicesExecutionServicesFundAdministrationPensions,EndowmentsandFoundationsPrimeBrokerageProductsSecuritiesLendingProgramsTransitionServicesResearchGlobalInvestmentResearch,四、投资银行的性质及经营管理特点,直接金融的投资银行,SU,DU,直接金融机构投资银行,直接金融工具,直接金融工具,资金,资金,一次合约关系,间接金融中的商业银行,SU,DU,间接金融机构商业银行,资金,资金,间接金融工具,贷款合约,两次合约关系,商业银行是用资产转移机制解决跨时资源配置的矛盾。投资银行是用交易机制和价格信号机制解决跨时资源配置矛盾。,直接融资与间接融资,直接融资是资金供求双方不通过金融中介，在资本市场上直接实现资金融通的活动，资金关系是金融工具的买卖而不是借贷。常见的方式有发行股票融资等。间接融资是指资金供求双方通过金融中介，在货币市场上间接实现资金融通的活动，资金关系借贷而不是买卖。常见的方式有商业银行贷款等。,直接金融（投资银行）与间接金融（商业银行）功能差异,间接金融最重要功能之一是提供支付功能在融资上，股票市场融资功能是有限的，股市的规模对资本积累、生产率提高和经济增长的影响小于股市的流动性、效率和低交易成本的影响。在风险分担与管理上直接金融与间接金融分别在横向风险分担和跨期风险分担上各有优势。在提供多样化投资品上，直接金融具有优势,在资金配置上，股市对高风险资金配置，而银行对低风险资金配置在信息传递上存在公开信息与非公开信息的差异。在参与公司治理上，银行具有强监管作用，而股市是股东参与董事会的事前主动监管和市场性影响即通过价格信号有效，投资者对价格信号做出反映，通过影响投资者的决策，进而影响公司治理决策。,对投资银行性质的总结,投资银行是直接金融机构,即它是以资本交易为服务对象的在交易过程中对某些职能专业化的中介组织,因此它的产品是面向特定顾客的非格式化的咨询建议方案等智力化的价值增值产品,它与商业银行的最大区别是没有对社会的外部资产到内部资产的转化功能.,投资银行同时是从事证券经营与交易的金融机构,证券经营与交易既是它的手段也是它的目的.投资银行身处具有不平衡性不确定性的资本市场,高风险及以风险捕捉机会是其经营特征,经营原则除赢利性流动性安全性外,还有创新原则.,投资银行业是投资银行是高技术智力密集型行业。投资银行经营的支持手段除资金客户声