第二讲投资银行的资产负债表

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

minguo992002@TEL/p>

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NewMerrillLynchin20092008MerrillLynchannouncesaplantoreduceitsriskexposuresby$11.1billion,includingasubstantialsaleofU.S.collateraldebtobligationscomprisedofasset-backedsecurities.

BankofAmericaCorporationagreestoacquireMerrillLynchinanall-stocktransactionthatcreatesacompanyunrivaledinitsbreadthoffinancialservicesandglobalreach.

2009MerrillLynchofficiallybecomesawhollyownedsubsidiaryofBankofAmerica.

FollowingthecombinationwithMerrillLynch,BankofAmericahasbecome:Thelargestbrokerageintheworld,withmorethan20,000advisorsand$2.5trillioninclientassetsAleadingproviderofglobalcorporateandinvestmentbankingservices,includingcommerciallending,globalhigh-yielddebt,globalequityandglobalM&AAgloballeaderinwealthmanagement,privatebankingandretailbrokerageAgloballeaderininvestmentmanagement,withapproximately50percentownershipinBlackRock,whichhas$1.4trillioninassetsundermanagement,inadditiontothe$589billioninassetsundermanagementwithBankofAmericaasofJune30,2008一、美林集团公司架构美林公司是一家拥有多个附属和联营公司的控股公司,统称为美林集团.有几十家左右经营各种投资银行业务的子公司，除美国本土外，业务遍布全球：亚洲与太平洋、欧洲中东及非洲区、拉美区，加拿大区。两大业务事业部,GMI和GWM.美林集团部分设于美国本土及国外的重要附属公司分别隶属于以上事业部.。美林主要的控股子公司MerrillLynch&Co.,Inc.("ML&Co.")andsubsidiaries("MerrillLynch")providesinvestment,financing,insurance,andrelatedservicestoindividualsandinstitutionsonaglobalbasisthroughitsbroker,dealer,banking,insurance,andotherfinancialservicessubsidiaries.Itsprincipalsubsidiariesinclude:

MerrillLynch,Pierce,Fenner&SmithIncorporated("MLPF&S"),aU.S.-basedbroker-dealerinsecuritiesandfuturescommissionmerchant;MerrillLynchInternational("MLI"),aU.K.-basedbroker-dealerinsecuritiesanddealerinequityandcreditderivatives;MerrillLynchGovernmentSecuritiesInc.("MLGSI"),aU.S.-baseddealerinU.S.Governmentsecurities;MerrillLynchCapitalServices,Inc.,(MLCS),aU.S.-baseddealerininterestrate,currency,andderivatives;MerrillLynch

derivativesProductsAG(MLDP)MerrillLynchInvestmentManagers,LP,aU.S.-basedassetmanagementcompany;MerrillLynchInvestmentManagersLimited,aU.K.-basedassetmanagementcompany;MerrillLynchBankUSA("MLBUSA"),aU.S.-basedFDIC-insureddepository;MerrillLynchBank&TrustCo.("MLB&T"),aU.S.-basedFDIC-insureddepository;MerrillLynchInternationalBankLimited("MLIB"),aIreland-basedbank;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(21·7%)回购协议(23.1%)借入证券(13·1%)借出证券(5·5%)交易资产(23.o%)交易负债(12.1%)应收项(12.4%)应付项(13.0%)合计：70·2％53·7％2、Non-Trading-RelatedAssets(2007)（其它资产）：现金及现金等同6·3％其它证券投资8·1％贷款、票据与抵押9·3％固定资产与商誉0·8％3、Non-Trading-RelatedLiabilities(其它负债与资本）：商业票据与短期借贷2·4％存款10.2％长期借贷26.1％资本金3·1％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：58.99％44.52％

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,meetcustomers'needsandearnresidualinterestratespreads.MerrillLynchalsoengagesinsecuritiesfinancingforcustomersmarginlending.

TradingAssetsandLiabilities

TradingAssetsandLiabilitiesconsistofcashinstruments(suchassecurities)andderivativeinstrumentsusedfortradingpurposesorformanagingriskexposuresinotherTradinginventory.Tradinginventoryprincipallyrepresentssecuritiespurchased("long"positions),securitiessoldbutnotyetpurchased("short"positions),andwillthereforebeobligatedtopurchaseonthefuturedate.Thesepositionsareprimarilytheresultofmarket-making,hedging,andproprietaryactivities.

OtherReceivablesandPayablesCustomerReceivablesandPayables

Customersecuritiesandcommoditiestransactionsarerecordedonasettlementdatebasis.Receivablesfromandpayablestocustomersincludeamountsdueoncashandmargintransactions.BrokersandDealersReceivablesandPayables

ReceivablesfrombrokersanddealersincludeamountsreceivableforsecuritiesnotdeliveredbyMerrillLynchtoapurchaserbythesettlementdate("failstodeliver"),depositsforsecuritiesborrowed,margindeposits,commissions,andnetreceivablesarisingfromunsettledtrades.PayablestobrokersanddealersincludeamountspayableforsecuritiesnotreceivedbyMerrillLynchfromasellerbythesettlementdate("failstoreceive"),depositsreceivedforsecuritiesloaned,andnetpayablesarisingfromunsettledtrades.

InterestandOtherReceivablesandPayables

Interestandotherreceivablesincludeinterestreceivableoncorporateandgovernmentalobligations,customerorotherreceivables,stockborrowedtransactions,receivablesfromcommissionsandfees,andincometaxes.Interestandotherpayablesincludeinterestpayableforstock-loanedtransactions,long-termborrowings,andamountspayableforemployeecompensationandbenefits,restructuringreserves,andincometaxes.CashandCashEquivalentsMerrillLynchdefinescashequivalentsasshort-term,highlyliquidsecuritiesandinterest-earningdepositswithoriginalmaturitiesof90daysorless,otherthanthoseusedfortradingpurposes.CashandSecuritiesSegregatedforRegulatoryPurposesorDepositedwithClearingOrganizationsItincludescashandsecuritiessegregatedincompliancewithfederalandotherregulationsandrepresentfundsdepositedbycustomersandfundsaccruingtocustomersasaresultoftradesorcontracts.AlsoincludedarefundssegregatedinaspecialreserveaccountforthebenefitofcustomersunderRule15c3-3oftheSecuritiesandExchangeCommission,aswellasfundssegregatedandheldinseparateaccountsinaccordancewithSection4d(2)andRegulation30.7oftheCommodityExchangeAct.

InvestmentSecurities

InvestmentsecuritiesontheConsolidatedBalanceSheetsincludeshighlyliquiddebtsecuritiesincludingthoseheldforliquiditymanagementpurposes,equitysecurities,theinvestmentportfolioforMerrillLynch'sU.S.banks,andinvestmentsofinsurancesubsidiaries.Loans,Notes,andMortgagesMerrillLynch'slendingandrelatedactivitiesincludeloanoriginations,syndications,andsecuritizations.Loanoriginationsincludecommercialandresidentialmortgages,loanstosmall-andmiddle-marketsbusinesses,andcreditextendedtoindividuals.SeparateAccountsAssetsandLiabilities

MerrillLynchmaintainsseparateaccountsrepresentingsegregatedfundsheldforpurposesoffundingvariablelifeandannuitycontracts.TheseparateaccountassetsarenotsubjecttogeneralclaimsofMerrillLynch.TheseaccountsandtherelatedliabilitiesarerecordedasseparateaccountsassetsandseparateaccountsliabilitiesontheConsolidatedBalanceSheets.EquipmentandFacilities

Equipmentandfacilitiesprimarilyconsistoftechnologyhardwareandsoftware,leaseholdimprovements,andownedfacilities.CommercialPaperandShort-andLong-TermBorrowings

MerrillLynch'sunsecuredgeneral-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PrincipaltransactionsPrincipaltransactionsrevenuesincludebothrealizedandunrealizedgainsandlossesontradingassetsandtradingliabilitiesandinvestmentsecuritiesclassifiedastradinginvestments.InvestmentbankingInvestmentbankingrevenuesincludeUnderwritingrevenuesrepresentfeesearnedfromtheunderwritingofdebtandequityandequity-linkedsecuritiesaswellasloansyndicationandcommitmentfeesStrategicadvisoryservicesrevenues,whichincludemergerandacquisitionandotheradvisoryfees,CommissionCommissionrevenuesincludescommission,mutualfundsdistributionfeesandcontingentdeferredsalechargerevenue,whichareallaccruedasearned.AssetmanagementandportfolioserviceAssetmanagementandportfolioservicefeesinclude:

Managementfeees:whichrepresentapercentageofclientassetsundermanagement.Accountfees:whichgenerallyreprsentafixedannualcharge.Performancefees:whichareearnedifinvestmentperformanceexceedspredeterminedlevels.2007花旗集团资产负债结构资产负债现金4.9％存款37·8％贷款35·6％其它借款30％证券融资交易12·5％证券融资交易13·9％交易资产24·6％交易负债8·3％应收项2·6％应付3·9％投资9·8％资本金5·2％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.MerrillLynchisoneoftheworld‘sleadingwealthmanagement,capitalmarketsandadvisorycompanies,withofficesin40countriesandterritoriesandtotalclientassetsofapproximately$2trillion.(2008年）MerrillLynchisoneoftheworld’spremierprovidersofwealthmanagement,securitiestradingandsales,corporatefinanceandinvestmentbankingservices(2009)CorporateSnapshot

Founded:1914(CharlesE.Merrill&Co)Employees:

64,200

2007NetRevenue:

$11.billionTotalClientAssets:Approx.$1.8trillionTotalStockholders'Equity$32bnFortune500:RankedNo.22StockSymbol:MERGlobalMarkets:

40countries

Asofquarter-end,Q42007.（2008年）MerrillLynchoffersabroadrangeofservicestoprivateclients,smallbusinesses,andinstitutionsandcorporations,organizingitsactivitiesintotwointerrelatedbusinesssegments-GlobalMarkets&InvestmentBankingGroup(GMI)

and

GlobalWealthManagement（GWM)。TheservicesprovidedbyMerrilLynchSecuritiesbrokerageandtrading

-Equities

-

Fixedincome

-MutualfundsInvestmentbanking

-Securitiesunderwriting

-Strategicadvisoryservices,including:

-Mergersandacquisitions

-Strategicvaluation

-Othercorporatefinanceandadvisoryactivities

Origination,brokerage,dealerandrelatedactivitiesin:

-Swaps

-Foreignexchange

-Options

-Forwards

-Futures

-OtherderivativesPrivateequityandotherprincipalinvestingactivitiesSecuritiesclearance,settlement,financingandservices,includingprimebrokerageInvestmentmanagementandinvestmentadvisoryservices

Wealthmanagementproductsandservices,includingfinancial,retirementandgenerationalplanning

Banking,trustandlendingservices,including:

-Mortgagelending

-Trust

-Commerciallending

-Deposit-taking

-Securities-basedlendingInsuranceandannuitiessalesandannuityunderwritingservices

Globalinvestmentresearchencompassing:

-Equities

-Foreignexchange

-FixedIncome

-Investmentstrategy

-Economicresearch

-CreditandEquity-linkedInvestmentadvisoryandrelatedrecordkeepingservices

BlackRock

MerrillLynchownsapproximatelyhalfofBlackRock,oneoftheworld'slargestpubliclytradedinvestmentmanagementcompanieswithmorethan$1trillioninassetsundermanagement.GoldmanSachsGoldmanSachsisaleadingglobalinvestmentbanking,securitiesandinvestmentmanagementfirmthatprovidesawiderangeofservicesworldwidetoasubstantialanddiversifiedclientbasethatincludescorporations,financialinstitutions,governmentsandhighnet-worthindividuals.

Weseektobetheadvisorofchoiceforourclientsandaleadingparticipantinglobalfinancialmarkets.Ourstrategyistogrowourthreecorebusinesses：InvestmentBanking,TradingandPrincipalInvestmentsandAssetManagementandSecuritiesServicesinmarketsthroughouttheworld.

InvestmentBanking

Weprovideabroadrangeofinvestmentbankingservicestoadiversegroupofcorporations,financialinstitutions,governmentsandindividuals.TradingandPrincipalInvestments

Wefacilitateclienttransactionswithadiversegroupofcorporations,financialinstitutions,governmentsandindividualsandtakeproprietarypositionsthroughmarketmaking,tradingandinvestinginfixedincomeandequityproducts,currencies,commoditiesandderivatives.Additionally,weengageinspecialistandmarketmakingactivitiesonequitiesandoptionsexchanges,andweclearclienttransactionsonmajorstock,optionsandfuturesexchangesworldwide.Inconnectionwithourmerchantbankingandotherinvestingactivities,wemakeprincipalinvestmentsdirectlyandthroughfundsthatweraiseandmanage.AssetManagementandSecuritiesServices

Weprovideinvestmentadvisoryandfinancialplanningservicesandofferinvestmentproductsacrossallmajorassetclassestoadiversegroupofinstitutionsandindividualsworldwide.Wealsoprovideprimebrokerageservices,financingservicesandsecuritieslendingservicestomutualfunds,pensionfunds,hedgefunds,foundationsandhigh-net-worthindividualsworldwide.TheservicesprovidedbyGoldmanSachs（2008）Advising

AssetAllocation

MergersandAcquisitionsFinancing

DebtFinancing

EquityCapitalMarkets

LendingInvesting

AssetManagement

MutualFunds

PrivateEquity

PrivateWealthManagement

SecuritisedDerivativesSecurities

ClearingServices

ExecutionServices

FundAdministration

Pensions,EndowmentsandFoundations

PrimeBrokerage

Products

SecuritiesLendingPrograms

TransitionServicesResearch

GlobalInvestmentResearchTheservicesprovidedbyGoldmanSachs（2009）Advising

AssetAllocation

EnvironmentalMarkets

MergersandAcquisitionsFinancing

BankLoans

DebtFinancing

EquityCapitalMarkets

LendingInvesting

AssetManagement

BankDeposits

ClosedEndedInvestments

MutualFunds

PrivateEquity

PrivateWealthManagement

SecuritisedDerivativesSecurities

ClearingServices

ExecutionServices

FundAdministration

Pensions,EndowmentsandFoundations

PrimeBrokerage

Products

SecuritiesLendingPrograms

TransitionServicesResearch

GlobalInvestmentResearch四、投资银行的性质及经营管理特点直接金融的投资银行SUDU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SUDU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