introduction to fixed income - nccu
TRANSCRIPT
Fixed Income Department
Yuanta Securities
Phil Mai, Fixed Income Head
麥煦書資深副總經理
April 2017
Introduction to Fixed Income
2
債券市場簡介理論與實務
債券市場:利率政策對生活影響
Note: P:債券價格、C:每期之票面利息、M:債券到期之面額、YTM(Yield to maturity):到期殖利率。
美國利
率政策
全球
經濟
台灣
台灣是否升息?
美國升息一碼
美元強勢、日幣走弱
黃金價格下跌
美元存款利息變高
貸款利息變高
經濟好轉、股票高漲
川普經濟保護政策
台灣供應鏈受影響
新台幣兌美元匯率
國際油價
台灣物價漲幅
貨幣市場與資本市場
金融市場
貨幣市場
銀行同業拆款市場
國庫券
資本市場
短期票券市 場
股票市場
債券市場
商業本票
承兌匯票
可轉讓定期存單
一年以內
各種債券
政府公債
金融債券
公司債
政府公債
金融債券
公司債
債券市場交易及參與者
債券市場
發行市場
中央銀行、金融機構、發行公司
證券經紀商
次級市場
綜合證券商
集中市場
店頭市場
證券自營商
綜合證券商
信託投資公司
郵匯局,銀行、壽險,票券商、信合社,農漁會
公債交易商
買斷、賣斷附買回(RP)附賣回(RS)保證金交易衍生性商品交易
債券市場結構(1)
債券名稱 發行主體 代理機構
中央政府公債 中央政府中央銀行
中央公債交易商
地方政府公債
金融債券
市政府
銀行即票券商
省屬行庫/市銀行(證券承銷商)
證券承銷商或發行者自行銷售
集中市場
債券經紀商
債券自營商
店頭市場
債券經紀商
債券自營商
投
資
者
公司債券公開發行公司
股份有限公司
證券承銷商(私募時為銷售顧問)
債券市場結構(2)
債券名稱 發行主體 代理機構
金融資產證券 信託機構 證券承銷商
不動產證券
國際版債券
信託機構
銀行或公司
證券承銷商或發行者自行銷售
證券承銷商銷售
國際金融組織債券
ADB, EBRO, IADB
證券承銷商 集中市場
債券經紀商
債券自營商
店頭市場
債券經紀商
債券自營商
投
資
者
債券市場:理論與實務-債券基本條件(1)
Note: P:債券價格、C:每期之票面利息、M:債券到期之面額、YTM(Yield to maturity):到期殖利率。
債券基本條件• 發行人(Issuer)• 發行計劃(Issuance programme)• 公開說明書(Prospectus)• 信用評等(Issuer rating)• 貨幣單位(Currency)• 發行量(Issue size)• 發行價格(Issue price)• 發行日(Issue date)• 到期日(Maturity date)• 利率給付方式(Interest payment)• 掛牌交易所(Exchange listing)• 銷售限制(Selling restriction)• 準據法(Governing law)
理論 實務
債券基本條件
• 發行人(Issuer)
• 本金(Principal)
• 票面利率(Coupon Rate)
• 利息支付日(Coupon Payment Date)
• 到期日(Maturity Date)
債券評價
𝑃 =
𝑖=1
𝑛𝐶𝑖
1 + 𝑌𝑇𝑀 𝑖+
𝑀
1 + 𝑌𝑇𝑀 𝑛
債券市場:理論與實務-債券基本條件(2)
Source: 公開資訊觀測站、證券商業同業公會
債券市場:理論與實務-債券價格與殖利率(1)
Source: Bloomberg
• 票面利率 3.10%• 發行價格 99.594
理論 實務
• 到期殖利率 (YTM)與票面利率
(Coupon rate)關係
債券價格:平價
⁻ 票面利率=到期殖利率
債券價格:折價
⁻ 票面利率<到期殖利率
債券價格:溢價
⁻ 票面利率>到期殖利率
債券市場:理論與實務-債券價格與殖利率(2)
Source: Bloomberg
理論 實務
• 到期殖利率 (YTM)與票面利率
(Coupon rate)關係
債券價格:平價
⁻ 票面利率=到期殖利率
債券價格:折價
⁻ 票面利率<到期殖利率
債券價格:溢價
⁻ 票面利率>到期殖利率
債券市場:理論與實務-影響債券價格因素(1)
• 利率風險
市場利率變動時,債券價格隨之上漲或下跌
• 流動性風險
若債券流動性不佳,會影響其變現速度及價格
參與的交易商愈多或投資者愈多,則價差會愈小,流動性風險會愈低
• 匯率風險
投資外幣計價債券,需留意外幣之孳息及本金換算為本國貨幣時,因匯率改變而產生匯兌損失或收益之風險
• 違約風險
發行機構無力償還利息或本金風險
債券市場:理論與實務-影響債券價格因素(2)
Source: Bloomberg
債券市場簡介
Source:全民財經檢定
初級市場 次級市場
發行公司
輔導銷售券商
受託人 律師 會計師
還本付息機構集保公司 投資人
還本付息
契約
保證契約 輔導銷售契約
契約簽證
保證機構
信用評等機構
Broker
買家
賣家
• 定義:初級市場(Primary Market)是指資金需求者為籌集資金,出售有價證券給最初購買者之發行市場。主要功能為讓發行機構籌措資金。
• 實務運作狀況:
• 定義 : 次級市場 ( SecondaryMarket)是初級市場發行後之有價證券買賣的交易市場。次級市場的功能,在於讓投資者,可以賣出持有的有價證券以變現,改作其他用途。
• 實務運作狀況:
議價
議價
投資債券的策略
Note: Source: Taipei Exchange and Yuanta Securities as of March 2017
• 銀行
交易目的: 靈活操作
備供出售: 持有至到期日(Hold to maturity)
優勢: 資金成本低廉
• 壽險
長期投資: 鎖定保單利率,打敗預定利率,避免利差損
優勢:資金部位龐大,具議價能力
• 證券商
交易目的: 靈活操作
備供出售: 持有至到期日(Hold to maturity)
附買回交易(Repo)養券賺利差
優勢: 交易操作積極、養券操作建立穩定獲利
資金成本的重要性
Note: Source: Taipei Exchange and Yuanta Securities as of March 2017
• 不同資金調度方式之優缺點
調度方式 優點 缺點
InternalFunding
• 時程快 • 資金成本貴
Repo • 資金調度靈活,可隨時購回• 使用公司最少資源• 無Mark to Market
• 外幣資金調度無透支額度• 需有券才能進行• 不同交易對手對券的品質要
求不一致• Hair cut無法補足資金缺口
FX Swap • 可規避匯率風險• 效果等同以A幣抵押借入B幣
• 放棄可能的外匯獲利• Mark to Market
17
元大證券、債券部簡介Yuanta Securities Fixed Income Department
Group Structure
Source: Yuanta Financial Holding Company as of February, 2017
18
In addition to securities, banking, and insurance, Yuanta Financial Holding Company also provides productsand services in futures, investment trust, investment consulting, venture capital, and asset management.
YuantaFinancial Holdings
YuantaBank
YuantaSecurities
YuantaFutures
Yuanta
Funds
Yuanta
Investment
Consulting
YuantaFinance
YuantaLife
Yuanta
Venture
Capital
Yuanta
Asset
Management
YuantaInternational
Leasing
YuantaSaving Bank (Philippines)
HanShinSaving Bank
YuantaInternational
Insurance Brokers
Yuanta Securities
Asia FinancialServices
Yuanta Securities
(UK)
Yuanta Securities
(HK)
Yuanta Securities
Holdings(BVI)
Yuanta Investment Consulting
(Beijing)
Yuanta Asia Investment
Yuanta Securities
Korea
Yuanta Securities Thailand
Yuanta Futures (HK)
Yuanta Finance(HK)
Yuanta International Investment
(HK)
PT Yuanta SekuritasIndonesia
Yuanta Investment
Management(Cayman)
Yuanta Investment
Yuanta Financial(HK)
Heng Xin Asia
Holdings
Shanghai Xinsheng
Investment Consulting
Yuanta Securities
(Cambodia)
100% 68.65%72.20%100% 100% 100% 100% 100% 100%
TW
KR
PH
CH
HK
ID
TH
54.2%
99.9%
99%
Yuanta Securities
Note: Yuanta Securities made an announcement to acquire KKTrade Sec. (Thailand) in April, 2016. The deal is still in the process of gaining approval from regulators in Taiwan and Thailand.
19
Taiwan
Korea
Philippines
China
Hong Kong
Indonesia
Thailand
Countries Coverage: Firms Acquired: Overseas Ownership:
2016
2000
2002
2004
2007
2011
2014
2015
1995 LargestLocal broker
Core PacificSec.
Sampo &Compass Sec.
Asia Sec.
Fuhwa FHC
Polaris
PT AmCapitalIndonesia
Tongyang Sec.Korea
KKTrade Sec. Thailand Hong Kong
Korea
⁻ 100 %
⁻ 53.4 %
Indonesia
Thailand
⁻ 99.0 %
⁻ 99.9 %
First Sec. Vietnam
⁻ 44.7 %
London Sales Office
China Rep. Office
Yuanta Securities’ Vision‾ Our Vision is to be a regional financial services firm while maintaining its
market-leading position in Taiwan.
Widened Leadership Gap_Yuanta Securities
Note: The statistics of brokerage, margin financing, and financial products of ASO are as of January 2017.Source: Taipei Exchange and Yuanta SecuritiesExchange rate: USD/TWD: 30.425
20
Profit Fixed Income(Mkt. share)AssetUnit: US$ million
19,127
10,415
4,680 3,334 3,232
YuantaSec.
KGI Sec. SinoPacSec.
Masterlink FubonSec.
3Q16
1.8x 4.1x 5.7x 5.9x
24.4%
No. 1
Domestic bond and debenture Underwriting
(Mkt. share)
48.3%
No. 1
Financial products of ASO
(Mkt. share)
15.9%
No. 1
Margin financing (Mkt. share)
10.7%
No. 1
Brokerage(Mkt. share)
Unit: US$ million
207
63 38
15
80
YuantaSec.
KGI Sec. SinoPacSec.
Masterlink FubonSec.
3Q16
3.2 x 5.4x 13x 2.5x 24.4%
16.7%
11.7%8.8% 8.6%
YuantaSec.
KGI Sec. SinoPac. Masterlink FubonSec.
2016
1.4 x 2.0x 2.7x 2.8x
Fixed Income Department
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Business Divisions
Trading
Diversified portfolio ⁻ USD, RMB, AUD,
TWD and othercurrencies bonds
Sales Structure
Underwriting/Sales⁻ Domestic Bond⁻ Formosa Bond⁻ Brokerage⁻ Private placement
Structure products⁻ Range accrual ⁻ Index ETF⁻ Commodity derivatives
Cross-RegionRM
DCM FI Sales
Bond FuturesCommodities
Domestic Bond
Foreign Bond
FX IRSConvertible
Bond
Principal Guarantee
Note
ASO/ASW CLN/ELN
Repo
Life as a Trader
• Watch out for the financial and global markets anytime.
• Watch out for Credit spread tighten and widen.
• Read many rating and research reports.
Open(Taipei Time)Sydney 06:00 AM
Open(Taipei Time)Tokyo 07:00 AM
Open(Taipei Time)Frankfurt 02:00 PM
Open(Taipei Time)London 03:00 PM
Open(Taipei Time)New York 08:00 PM
Open(Taipei Time)Hong Kong 09:00 AM
Life as a Trader
• Watch out for the financial and global markets anytime.
• Watch out for Credit spread tighten and widen.
• Read many rating and research reports.
Source: Bloomberg
Life as a Broker
Source: Bloomberg
• Communicate with traders and clients to obtain quotes from both parties.
• Respond to clients very quickly.
• Spread is the most important thing.
Life as a Sales
Source: 1) Basel III Handbook 2012, Accenture. 2) Morgan Stanley 4Q16 Fixed Income Investor Update.
• Watch out for the market information anytime and seek the potential cases.
• Develop and maintain the relationship with clients at work and in daily life.
• Study the latest regulations, including the bond issuance and regulatory requirements for banks.
Basel III capital requirements
Leading Position in the Domestic Bond Market(1)
Note: 1) The domestic bond and debenture underwriting is defined as the underwriting amount. 2) Structure notes include 100% principal and non-principal guarantee notes.Source: Taipei Exchange and Yuanta Securities as of March 2017
26
Domestic bond and debenture UnderwritingUnit: TWD million
70,310
58,200
11,700 900 400 - 750 1,800 2,900
-
20,000
40,000
60,000
80,000
Yuanta Sec. Masterlink KGI Sec. CTBC TCS Capital Fubon Sec.
2015 2016 2017
Our leading position in 2015
Our leading position in 2016
Asset Swap (Option)
31,062
-
7,000
14,000
21,000
28,000
35,000
Yuanta Sec. KGI Sec. Masterlink SinoPac Sec. ConcordSec.2016
Unit: TWD million
Abundant Market Experiences: We keep forefront in the field of the domestic underwriting, structure products,convertible bond, and asset swap.
Derivatives Trading Volume in 2016: The large trading volume shows our capacity in the OTC market. We are aprofessional financial firm to provide a comprehensive line of products for our clients.
Structure Notes
175,817
-
40,000
80,000
120,000
160,000
200,000
Yuanta Sec. KGI Sec. Masterlink Fubon Sec. PresidentSec.2016
Unit: TWD million
Leading Position in the Domestic Bond Market(2)
Note: 1) The domestic bond and debenture underwriting is defined as the underwriting amount. 2) Structure notes include 100% principal and non-principal guarantee notes.Source: Taipei Exchange and Yuanta Securities as of March 2017
27
Domestic Bond and Debenture Underwriting in 2017Unit: TWD million
30,760
13,750
8,350 5,940 5,000 4,750 3,910
- 5,000
10,000 15,000 20,000 25,000 30,000 35,000
Yuanta Sec. Masterlink Capital KGI Sec. CathayUnited Bank
Fubon Sec. SinoPac Sec.
Our leading position in 2017
Domestic bond and debenture Underwriting in 2017: While facing the challenging market in the first quarter, westill keep the leading position in the bond market.
The largest underwriting volumes in the Taiwan’s bondmarket: Our team was awarded as the best arranger.
Amounts in 2017
94,310
30,760
-
20,000
40,000
60,000
80,000
100,000
Total Yuanta Sec. Masterlink Capital KGI Sec.
Unit: TWD million
28,040
1.1 x
33% 30%
⁻ Top Bank Arranger - Investors'Choice for Primary Issues in AsianCurrency Bonds -Corporate Bonds.
⁻ No.1forTopBanks intheSecondaryMarket in Asian Currency Bonds –Corporate Bonds.
⁻ Best Domestic Debt House inTaiwan.
⁻ No. 1 for Best in Sales Trading inTaiwan
Fast Tracks in the Formosa Bond Market
Note: 1) Formosa Bond is a bond issued in Taiwan and denominated in other non-NTD. 2) The underwriting amount for Yuanta Securities is defined as the participation amount. Source: Taipei Exchange, and exchange rate: USD/CNY=6.9450 as of Dec. 30, 2016
28
Fast Accumulation of Formosa Bond Issuance
Formosa Bond Market: With the deregulation of the 45% cap on the foreign investments for insurancecompanies, the Formosa bond has been blooming since 2014.
Yuanta Securities: We underwrite and distribute the Formosa bond for our clients with a market uptrend.Therefore, we has demonstrated a sustained track record in this market.
-
20,000
40,000
60,000
80,000
100,000
1Q14 2Q14 3Q14 4Q14 1Q15 2Q15 3Q15 4Q15 1Q16 2Q16 3Q16 4Q16
Unit: US$ million
Fast Tracks of Formosa Bond Underwriting for Yuanta SecuritiesUnit: US$ million
-
5,000
10,000
15,000
20,000
25,000
30,000
1Q14 2Q14 3Q14 4Q14 1Q15 2Q15 3Q15 4Q15 1Q16 2Q16 3Q16 4Q16
Highlight of the Formosa Bond Market
Note: The issue entity of JPMorgan is JPMorgan Chase & Co.Source: Bloomberg/Taipei Exchange/Yuanta Securities as of March.
29
S&P AA+ S&P A- S&P BBB+S&P BBB+ S&P AA
Issuer Issue Date Amount Currency Tenor CouponCall
period
Verizon 2017/02/10 1,475 USD 30 4.950% NC3*1Apple Inc. 2017/03/03 1,000 USD 30 4.300% NC3*1Comcast 2017/03/14 1,005 USD 30 4.450% NC3*1
Pfizer 2017/03/17 1,065 USD 30 4.200% NC3*1AT&T 2017/03/21 1,430 USD 30 5.500% NC3*6m
S&P A- S&P BBB+ S&P A-S&P A S&P BBB+
Issuer Issue Date Amount Currency Tenor CouponCall
period
HSBC Holdings 2016/09/08 2000 USD 20 4.000% BulletJPMorgan 2017/02/09 600 USD 30 0%(IRR4.43%) NC5*1
Goldman Sachs 2017/02/09 600 USD 30 0%(IRR4.63%) NC3*1Deutsche Bank 2017/02/09 600 USD 30 0%(IRR5.70%) NC5*1
SMFG 2017/03/02 470 USD 30 4.30% NC10*5
Corporate: Formosa bond market isa strong funding platform for issuers.
Financial: Holding company starts issuing the TLAC in the Formosa market.
USA Corporate
Non-USA Corporate
⁻ The demands of the corporatebonds remain strong, based ontoo much investment infinancial debenture and the 10%ceiling of a issuer’s net worth.
⁻ OutstandingUSD 18,532 million
⁻ OutstandingUSD 9,096 million
⁻ Investors are more familiar tothe regulation of TLAC thanbefore. Issuers also have thedemands of fund-raising for theTLAC requirement.
⁻ When applying for the listing onthe TPEx, Issuers have toprovide the TLAC statement.
Unit: mm
Unit: mm
Track Records in the Formosa Bond Market
Note: For classification, Formosa bond underwriting is categorized into the bond denominated in CNY.Source: Taipei Exchange and The Asset, 2016.
30
Formosa Bond Underwriting US Dollar Bond Underwriting
USD 2016
44 Underwriting Cases
USD2017
12 Underwriting Cases
AUD 2016
1 Underwriting Cases Top Bank Arranger -Investors' Choice for Primary
Issues in Asian Currency Bonds -Corporate Bonds
CNY2016
5 Underwriting Cases