精编[资本市场和金融机构].7资料.ppt

Ch 4 Securities Firms (Based on Saunders et al,2006)Outline1.Definition2.Quick Facts3.Dimensions of Investment Banking and Activities4.Balance Sheet5.Examples of Derivatives6.Regulations7.Venture Capital8.Conclusions盲晰钢匈雇踪那保描哑炙赦涯抑睦赁立撼耕邯金抄贫梗宰棱传盲喀搭谈臭资本市场和金融机构.7资本市场和金融机构.711.SecuritiesFirmsnAlso called investment dealers(Canada)Main functions:1.Help issuers raisefunds by selling debt,equity,and derivative securities directly toultimateinvestors(investment banking)2.Help investors in the trading of securities (broker/dealers)墅轴里舷谜厨周攒咨坊惑交宾艘亡闯瘸驾弗析启西谊耶漫冯哺坞揉恃倒妥资本市场和金融机构.7资本市场和金融机构.722.QuickFactsnThe Canadiansecuritiesindustry plays a key role in assisting corporations and governments to raise capitalnIn 2001 the securitiesdealeraffiliates of the sixmajor domestic banks and one major U.S.dealer,generated over 70 per cent of the industrys revenues.With the current financial meltdown it has decreased drastically.nSignificant growth in 1990s;at end of 2008 included 216 firms nToronto Stock Exchange(TSX)Equity exchange 1,541 listed stocks;Market capitalization C$1.3 trillion(March 2009)Approximately 300 firms are cross-listed in major U.S.exchanges(Nasdaq,NYSE,Amex).Currently,it is very costly to list and issue equity in the US to comply with corporate governance regulations such as the Sarbanes-Oxley Act enacted to avoid the occurrence of fraudulent firms,e.g.,Enron.那乎帐嚣舔端沽笑秧蝴委串侥赶亭珍踢含搓侯捎涌亚尤到质秦誓极普辜膏资本市场和金融机构.7资本市场和金融机构.73nMontreal Exchange(ME).Derivatives:stock index options,bond futures and stock options(e.g.161 options on stocks May 2009.n TSXVentureExchange:2,269 listings junior equity;market capitalization C$20.7 billion(March 2009).nCNSX.Canadian National Stock Exchange:48 issues with Market capitalization above C$1 billion)徘勒婉仟氟森徐哟氯庄阁牢浩导滦绞肺阳渍浆渴瞬癣占消备梁线左涣碳舍资本市场和金融机构.7资本市场和金融机构.74Toronto Stock Exchange Volume and Transactions(2004-2008)VolumeTransactions200440.3billion61.3million200555.264.2.7200685.782.02007118.696.12008182.9109.2CAGR16%CAGR46%娄帖良割掩绰淀忍胳窜揪驰廉宫轩棚旅退鞭膘数酱膨困都犯屎苇吱呕勃蚌资本市场和金融机构.7资本市场和金融机构.75Bankownershipofintegratedinvestmentdealers(ID)(Endof2003)nFirm(ID)MajorityownernBMO Nesbitt Burns IncBank of MontrealnCIBC World Markets Inc CIBCnNational Bank Financial IncNational Bank of CanadanRBC Capital MarketsRoyal Bank of CanadanScotia Capital IncThe Bank of Nova ScotianTD Securities IncTD Bank Financial GroupnThe Big Six(Canadian commercial banks)hold about a 70%of the securities-brokerage business.嫁匆酥搬读逢堵远点虹恕天再痰虽庄逻停患食卒烂才诺辣槐锗山湛权异吧资本市场和金融机构.7资本市场和金融机构.76Top Canadian Investment Firms,2004*2003,all others 2004男佐订遁能霸钥躲真西枪账争彤辉颅声筹托里折娠邦胖罩酗迪谈埔状剑军资本市场和金融机构.7资本市场和金融机构.773.Dimensions of Investment Banking(1)Integrated firmsnBroker/dealersnUnderwritingnServices to other FIs(2)Institutional firmsnInvestment services provided primarily to other FIs(3)Retail firmsnInvestment advisors/brokers for retail customersnDiscount broker.nFull-service broker(itmayinvolvediscretiononinvestorswealthmanagement)身柔大撬而酝褐倘缝圣前匝琅尖瘪狼镁儡拐护堡嘿戒轮袁函楼咎营烘契谰资本市场和金融机构.7资本市场和金融机构.78nGiving AdviceWhen to offer?At what price?nUnderwritingSyndicatenMarketing OutcomesFully subscribed UndersubscribedOversubscribedActivities(1).Underwriting IPOs,SEOs,Private placements,commercial paper of private firms,government debt n Types of Underwritinga)Firm commitment(Bought deals in Canada)b)Best Effortsn Filing Documents Registration statement(Co.information to regulatory authorities)Prospectus(Information to investors-summary)到裁葬盲河螺痒敛铁蛀谅蔑署徊谱踌高辖姥惊谅窝辫钝拌茫睁魂写抬拷冕资本市场和金融机构.7资本市场和金融机构.79Example of a bond underwritingRBC Capital Markets agrees to underwrite a 10-year$1 billion,4%annual coupon rate for BCE Inc on a firm commitment basis.RBC pays BCE on Thursday and plans to begin a public sale on Friday.What type of interest rate movement does the investment bank fear while holding these securities?Assume the current market interest rate is 4%.If the interest rate rise 0.05%,overnight determine:a)The current price of the bond on Thursday.b)The price at which it has to sell the bond(next day)if the interest rate rises 0.05 overnight?c)The impact on profits?d)Redo b and c if the market interest rate falls 5 basis points?纱绽住跪丑侮贩晒吗眯猫昨税鹰箕廓小戚操缄童墩摹络唬域犀吩袱身床屁资本市场和金融机构.7资本市场和金融机构.710(2).Marketmaking Maintaining a secondary market in the asset viaAgency transaction:Brokered on behalf of clients for a commission.Principal transaction:Take position in a transaction(change in its inventory of securities)They are called Specialists in the NYSE and Dealers in the NASDAQRegistered Traders in the TSXExampleofStockandElectronicBrokerage(See Fig.A)(3).MergersandAcquisitions(example Chrysler-Daimler)账驼斥榨攀蕉宏鉴秒绞承船罪小镐橇降磕示剿觉赢荷匆陷彩砧巧桔拼银杨资本市场和金融机构.7资本市场和金融机构.711InvestorBroker(Merrill Lynch)Commission orFloor BrokerMarket Maker(Specialist)Order 1OrderOrderShares 2SharesSharesCashCashCashFig.A Purchase of a Stock on the NYSETransaction settled in 3 days2.Internet trading.The trades goes directly to the Floor Broker1.From your broker 3峻静丽颇肿罚挪及契缚陀泌鸽来消暴脯挨拔芒志浴助污彭井撩筋溺舟牧渠资本市场和金融机构.7资本市场和金融机构.712(4).TradingPositiontrading Long and short positions(usually large blocks of securities)nPureArbitrage Riskless profit obtained by simultaneously buying and selling assets with same risk.(See Fig.B)nRiskArbitrage Usually involving the purchase(acquired)and(short)sale (acquirer)of companies shares involved in mergers if the deal goes through.绷废碉幸溺铂啃蒂叼戍枣帕牡席焉卡尾车茬莹昔仿泵术找笋钱纸叙主边帅资本市场和金融机构.7资本市场和金融机构.713180 daysS=106.00/$106,000,000Eurodollar rate=8.00%per annumDollar money market$1,000,000$1,040,000 1.04Start End Yen money market 108,120,000 1.02Euroyen rate=4.00%per annumFig.B Example of Pure Arbitrage:Covered Interest Arbitrage(CIA)F180=103.50/$(fair 103.96)(for each youll get$0.009662)ArbitragePotential$1,044,6551.Borrow$1 million and convert it to Yen(106/$)2.Invest in proceeds in Yen at 2%for 180 days.3.Simultaneously sell the future Yen proceeds 108,120,000 forward for dollars at the 180-day forward rate of F180=103.50/$108,120,000*0.0099662=$1,044,6554.Costs of funds in US dollars$1,040,000 Profit=$4,655 =4655/(1+.04)=$4,474 PRESENT VALUE荆夹润震报矽抢陀蚕闲岭戈笔雏素奖锡驻玻仍股凋遭藤迁懊跋自性帽淆端资本市场和金融机构.7资本市场和金融机构.714 Example of Program TradingnProgramtradingArbitrage opportunities between a cash market price(e.g.,the price of the stocks in the S&P/TSX 60)and the futures market price of that index via computerized programs.For example this would occur if the value of the actual futures market price is higher than its fair value.NumericalExample(seealsoFig.C)CurrentvalueofStocksintheS&P/TSX60=1,484pointsCurrentvalueofthefuturesmarketpriceoftheS&P/TSX60indexfor(cash)deliveryonemonthlater=1,527(vs.Theoretical valueof1,509).Strategy:BuytheSTOCKSintheS&P/TSX60at1,484(viaacomputerizedprogram)andSimultaneouslySELLTHEINDEXintheFUTURESmarketforcashdeliveryonemonthlaterRegardlessRegardlessRegardlessRegardless ofofwhatwilltheactualvalueoftheS&P/TSX60beattheendofonemonthProfit1,527-$1,484=43434343pointsor43/1,484=2.90%(minusT.Costsof0.5%)=2.4%ForexampleiftheS&P/TSX60attheendofthreemonthsis1,500thearbitrageurwillmake16pointsonthestocks(=1,500-1,484)and27pointsonthefuturesposition(1,527-1,500).such that 16+27=43points朽悯骇蚤防谤搔搂堤衔舀迄蝉吊宁鼠裹殿口湘盈瓦中友尔惭鹃义从涯寓撼资本市场和金融机构.7资本市场和金融机构.715Example of Program TradingFig.CTodayValue of S&P/TSX end of one month =1,500 or 1,450 Buy stocks of S&P/TSX 60 at 1,484 points Sell one-month Index futures contract at 1,527(Theoretical value of 1,509 points)Sell stocks of S&P/TSX at 1,500Profit=?Receive cash for the sale of Index Futures Contract=1,527Profit=?TOTAL=One month later Net return(%)=Gross Return Transaction Costs=43/1,484 0.005=0.024 or 2.4%Strategy谁宿攒艘胜茹紧籽佰驮债耐城甜稳序佑钻蟹茄挥丫栋康偶炯轰河鹊蒲燥透资本市场和金融机构.7资本市场和金融机构.716(5).Cash Management and Banking ServicesnFacilitate clients to invest in sharesBorrowing on marginOnline access to banking and investment accountsnPrivate banking:Investment advice and financial planning to wealthy individuals6.InvestingnManagement of mutual funds and pension fundsnInvesting on their own behalf7.OtherServiceFunctionsClearance,and settlement services,Research and Advisory Services告许园烷倍浩淮鉴毕嘉惭缺菏肛栓撬腺成街寄曝氦埋蛊咱蒙藕枫递盘之锄资本市场和金融机构.7资本市场和金融机构.7174.TypicalBalanceSheetofsecuritiesfirms(2004)AssetsCash,Marketablesecurities,andreceivables-includingreversereposLiabilitiesReposTradingliabilities(mostlyborrowingsecuritiesforshortselling)LongTermborrowingEquity(Approx50%ofassets)CommonsharesContributedSurplusRetainedearningsOff-Balance-SheetactivitiesDerivativesandCreditsubstitutes赌敢陨青督须褥影修稀札氨眠潜纺盖员英总札逛棚译晓馆箕吓颈茎备亚秒资本市场和金融机构.7资本市场和金融机构.7185.ExampleofDerivativesnForwardContractItisacommitmenttodaytotransactinthefuture.Purchase or sale of a specific commodity or financial asset at a currentspecifiedprice,with delivery and settlement at a specified future date.nFuturesContractIt is a standardized forward contract traded in a standardized forward market called FuturesMarket.Standards:Contract size,delivery dates,prices,conditions of delivery(e.g.in commodities)0Sale of bonds currently held at the specified price of$200 million for delivery at the end of the year 1Deliver bonds and receive$200 million遏渣箍秩靳作瑟连辣镐蛙碍革捍牟明哼谁灾劫扰牟溺忍大斜休挂雨纹茶援资本市场和金融机构.7资本市场和金融机构.719 Example Derivatives:HedgingnAssume an investment bank(IB)has a position in a bond maturing at the end of 2010 of$210 Million.nThe marketexpectedinterest rate in 2010 is 5%nIt promised to invest$200 million in a venture capital investment at the end of 2009 with the proceeds of the bond sale.nHowever,the bankexpects the interest rate will increase in 1 percent to 6%.This will decrease the value of the bond to less than$200.nWhat should the Investment bank do?A:?ProcedureDetermine the value of the bonds at the end of 2010 with i=5%If the interest rate increases to 6%(1%increase)what is the value of the bonds?Sell the bonds where?唾焚结楼痈虎柿永涛抠屈陡灼寡派畏衡到默乎鳃妈更蕴十陆日诣六洒满奶资本市场和金融机构.7资本市场和金融机构.720Hedging:Bond Example End 2010(maturity date)End 2009(Deliver bonds and invest promised$200 million in venture project)$210Market ExpectedInterest rate=5%?Today(Sell$200 million of bonds through a futures contract)IB ExpectedInterest rate=6%If IB does not hedge via a futures contract and the interest rate increases to 6%,what would be the value of the bonds at the end of 2009?农腥饭定来缴晌珊标庶囚娠斜鸥尿能迢麦道梁始透磅罚粹清售哭笼叁亡朴资本市场和金融机构.7资本市场和金融机构.7216.RegulationsFederal and provincially regulatedOntario Securities Commission(OSC)Licensing/monitoringReviewer prospectus and other filingsInvestigates violations(e.g.,insider trading)Canadian Securities Administrators(13)Pressure to form a single national securities regulator.International Organization of Securities CommissionCoordination of securities markets at the intl level逻敛诞洗球末屈絮枢峨偿壹尽贸薪坍舀材件抿缀璃看凤漓夸滇瞧袭鞋勺亢资本市场和金融机构.7资本市场和金融机构.722nSelf-Regulatory Organizations Toronto Stock Exchange(TSX),Montreal Exchange(ME);www.m-x.caInvestment Industry Regulatory Organization of Canada.“National self-regulatory organization which oversees all investment dealers and trading activity on debt and equity marketplaces in Canada”www.iiroc.ca城由贼矾挽喜帘坚易杂扯妊袖渗舌殿圭瓮悦趁庐糊缺筒土抗铭甜夏缺构纽资本市场和金融机构.7资本市场和金融机构.723nTenlargeststockexchangesbymarketcapitalizationofdomesticcompaniesMarketcapitalizationofdomesticcompaniesatFeb.2005Exchange(billionsofU.S.dollars)nNewYorkStockExchange11,329nTheNasdaqStockMarket2,844nTokyoStockExchange*2,953nLondonStockExchange2,460nEuronext(Paris,Amsterdam,Brussels and Lisbon stock exchanges,and LIFFE)2,076nDeutscheBrse1,079nTorontoStockExchange889nItalianExchange527nSWXSwissExchange(jointlywiththeDeutscheBoerseitownsEurextheworldlargestfuturesandoptionsexchangeJan2005)727nHongKongExchangesandClearingLimited715*Stockmarketdownbyover70%formitshighin1989(NationalPost,5Jan05)Source:WorldFederationofExchanges.留缄己励嘶唐慈婪庇茬汤德烈坝扛谓党命漏巡枪搓拍舜喝泌服耀嘻倦候剖资本市场和金融机构.7资本市场和金融机构.724Ten largest stock exchanges by market capitalization of domestic companies ExchangeUSD bnUSD bn%Change%Change end-2008end-2007In USDIn local currency1NYSEEuronext(US)9,20915,651-41.2%-41.2%2TokyoStockExchangeGroup3,1164,331-28.1%-41.4%3NASDAQOMX2,3964,014-40.3%-40.3%4NYSEEuronext(Europe)2,1024,223-50.2%-47.8%5LondonStockExchange1,8683,852-51.5%-33.4%6ShanghaiStockExchange1,4253,694-61.4%-64.0%7HongKongExchanges1,3292,654-49.9%-50.2%8DeutscheBrse1,1112,105-47.2%-44.6%9TMXGroup1,0332,187-52.7%-41.8%10BMESpanishExchanges9481,781-46.8%-44.1%Source:World Federation of Exchanges.不予嘲勒渭酌尊凑捅忠谓冻琴命佃握秩陡宗住盂妹寂胆贮朋迪佃瘁锻适痢资本市场和金融机构.7资本市场和金融机构.7257.Venture CapitalRiskcapital provided by outside investors to young,private firms(entrepreneurs)with superior growth potential.Why no bank loans?Mostly hightech sector(E.g.,Apple computer,Cisco Systems,Genetech,Microsoft,Netscape,Sun Microsystems,Dell.Others:Staples and Starbucks)Venture capitalists invest in the form of subordinated debt,convertible debt,preferred shares and equity.Seatontheboard.Involved in advice,monitoring and control of strategic company decisions腰婴岿罕卖巢赛艺渭钢石雷甥菠苇巧波换浓雕矿抓似辛巍磷坦垛瓶廊拥量资本市场和金融机构.7资本市场和金融机构.726Expected realizedreturn within 5-10 years usually trough an IPO(up to 4 times original investment)20%annualreturn on a 20-year average period U.S.Venture capitalist may be a department of Investment bank,subsidiary of bank,independent FI,Institutional venture capitalist Obtainthemoney usually from pension funds,corporations,wealthy individuals.AngelCapital.Initial capital for an entrepreneur to start a business虽啼拌碘狡冀镀絮孜俄魂知撵廉趟喷坛萍吠卓启亢缉氓躲暗舞忽乌傅浸罪资本市场和金融机构.7资本市场和金融机构.7278.ConclusionsnInvestment banks are financial institutions which main function is help issuers raisefunds(primarymarket)toultimateinvestors.It helps investors to trade securities(brokerage)in the stock market(secondary market).nMost Canadian investment banks are owned by the largest 6 Canadian banks.nCurrently,many investments banks are settling with securities regulators for their involvement in failed corporations such as Enron,WorldCom,ParmalatnThe market capitalization of companies listed in the TSX represents about 3%of the total market worldwide.抑躯岩萄捻蛊酷先计住晾作蛰抛宏爸孕厘挠份跋贴尿魔嘘曾胞裂勤背赚瑰资本市场和金融机构.7资本市场和金融机构.728