UBS Investor Day 2004 Fixed Income, Rates & Currencies. Michael Hutchins, Global Head of FIRC

Transcription

1 UBS Investor Day 24 Fixed Income, Rates & Currencies Michael Hutchins, Global Head of FIRC

2 Diversified group of businesses Fixed Income, Rates & Currencies Fixed Income Rates FX, Cash & Collateral Trading Principal Finance & Commercial Real Estate Calgary London Stamford New York Zurich Tokyo Hong Kong Singapore Sydney Principal trading locations 1

3 Regional revenue Estimated breakdown of the broadly defined Fixed Income market revenues by geography in 23 Europe Americas Asia Pacific Mercer Oliver Wyman 2

4 Growth & changing mix in the US securities market Outstanding US Debt Securities Government 2% MBS & ABS 4% Corporate 25% $2.6 trillion US$ trillion Government 41% MBS & ABS 26% Corporate 25% $4.5 trillion $7. trillion $3.6 trillion Note: Government Mortgage & Asset Backed Securities Corporate Agency BMA Excludes Municipals and Money Markets 3

5 Growth in the US Mortgage market US single family mortgage debt outstanding 8, 7, 6, US$ billion 5, 4, 3, 2, 1, Mortgage Backed Securities Non-securitized Mortgage debt Inside MBS & ABS 4

6 Growth in the Mortgage Backed Securities market Mortgage Backed Securities issuance 3 Mortgage Backed Securities trading volumes US$ billion US$ billion Monthly average Q Daily average Q4 Note: Inside MBS & ABS, BMA As of January 21, issuance includes private label jumbo and Alt-A and certain mortgage related ABS 5

7 Growth in the derivatives market Interest rate & cross-currency derivatives 16 Credit default swaps 4, 14 3,5 12 3, US$ trillion US$ billion 2,5 2, 1,5 4 1, 2 5 1H 2H 1H1 2H1 1H2 2H2 Notional outstanding 1H3 2H3 1H 2H 1H1 2H1 1H2 2H2 1H3 Notional outstanding 2H3 ISDA 6

8 Growth in the Repo market Repurchase & reverse repurchase agreements US 4, Europe 4, 3,5 3,5 3, 3, US$ billion 2,5 2, 1,5 Euro billion 2,5 2, 1,5 1, 1, 5 5 Note: H1 2H1 1H2 2H2 1H3 2H3 Ave. daily amount outstanding Ave. daily amount outstanding BMA, ISMA Note: As of Dec 31, 23 beginning Jul 31, 21 corporate securities are included in the US data 7

9 Credit markets Selected US credit spreads 1,6 1,4 1,2 1, yr AAA, BBB & B corporate spread data from UBS Credit Research. EMBI+ is the JPMorgan emerging markets index. 8 bp Dec-98 Mar-99 Jun-99 Sep-99 Dec-99 Mar- Jun- Sep- Dec- Mar-1 Jun-1 Sep-1 Dec-1 Mar-2 Jun-2 Sep-2 Dec-2 Mar-3 Jun-3 Sep-3 Dec-3 1yr AAA 1yr BBB 1yr B EMBI+

10 Interest rates markets Selected cash interest rates Bloomberg 9 Dec-98 Mar-99 Jun-99 Sep-99 Dec-99 Mar- Jun- Sep- Dec- Mar-1 Jun-1 Sep-1 Dec-1 Mar-2 Jun-2 % Sep-2 Dec-2 Mar-3 Jun-3 Sep-3 Dec-3 1yr UST 2yr UST 5yr Swiss 5yr Japan

11 Mortgage and interest rates derivatives markets Selected spreads US$ and Euro Swap spreads from Bloomberg. US$ Mortgage spreads per UBS Mortgage Research. 1 Dec-3 Dec-98 Mar-99 Jun-99 Sep-99 Dec-99 Mar- Jun- Sep- Dec- Mar-1 Jun-1 Sep-1 Dec-1 Mar-2 Jun-2 Sep-2 Dec-2 Mar-3 Jun-3 Sep-3 bp 1yr US$ Swap 1yr Euro Swap 3yr US$ Fixed Mortgage

12 Currency markets Selected currency exchange rates Bloomberg 11 Dec-98 Mar-99 Jun-99 Sep-99 Dec-99 Mar- Jun- Sep- Dec- Mar-1 Jun-1 Sep-1 Dec-1 Indexed to 1 Jan 1999 Mar-2 Jun-2 Sep-2 Dec-2 Mar-3 Jun-3 Sep-3 Dec-3 Euro/$ JPY/$ CHF/$

13 FIRC revenue growth 6, 5, 4, US$ m 3, 2, 1, Note: UBS Includes non-core book and excludes credit losses 12

14 Quarterly FIRC revenue 28% 86% 2,5 2, US$ m 1,5 1, 5 UBS Ave. Ave. 1 Ave. 2 1Q3 2Q3 3Q3 4Q3 1Q4 13

15 FIRC has become a significant component of. UBS Investment Bank revenue FY 2 FY 21 FY 22 FY 23 1Q 24 27% 45% 52% 54% 53% Note: UBS financial statements. Income defined as operating income before adjusted expected credit loss 14

16 Distribution of daily FIRC revenue 12 1 Number of days < (15) (15) to < to <15 15 to <3 3 to <45 45 to <6 6+ US$ million revenue "buckets" - Full year 23 UBS-IB Financial Control. The figures exclude adjustments for CDS hedging our credit exposures and other PSR adjustments. 15

17 Distribution of daily FIRC revenue < (15) (15) to < to <15 15 to <3 Number of days 3 to <45 45 to <6 6+ US$ million revenue "buckets" - First quarter 24 UBS-IB Financial Control. The figures exclude adjustments for CDS hedging our credit exposures and other PSR adjustments. 16

18 Credit risk management within UBS IB 12 CHF billion Gross banking products exposure 1 Net banking products exposure 2 Credit hedges & other CRM 3 UBS Notes: 1 Gross exposure excludes money market deposits and cash collateral deposits 2 Bars can not be totalled as net exposure is set to zero in case of over-hedging 3 CRM = Credit Risk Mitigants include cash collateral and unfunded risk participations 17

19 Diversified group of businesses Fixed Income, Rates & Currencies Fixed Income Rates FX, Cash & Collateral Trading Principal Finance & Commercial Real Estate Calgary London Stamford New York Zurich Tokyo Hong Kong Singapore Sydney Principal trading locations 18

20 Fixed Income Fixed Income, Rates & Currencies Fixed Income Rates FX, Cash & Collateral Trading Principal Finance & Commercial Real Estate Debt Capital Markets Investment Grade Emerging Markets Global Syndicated Finance Credit Derivatives High Yield Credit Exposure Management Distressed Debt Loan Trading 1 st Financial Institutions Bond house, IFR 23 1 st Global Emerging Markets Bond house, IFR 23 1 st Swiss Franc Bond house, IFR 23 US Fixed Income Sales & 3 rd Trading, Institutional Investor 23 1 st Asian Bond house, IFR 23 1 st Best Support in Secondary Market, Euroweek 24 Note: The above illustrates selected business lines but is not all inclusive 19

21 Fixed Income Fixed Income, Rates & Currencies Fixed Income Rates FX, Cash & Collateral Trading Principal Finance & Commercial Real Estate FY 23 revenue 1Q 24 revenue Fixed Income 22% Fixed Income 29% UBS 2

22 Rates Fixed Income, Rates & Currencies Fixed Income Rates FX, Cash & Collateral Trading Principal Finance & Commercial Real Estate Rates Derivatives Residential Mortgages Government Bonds Energy Trading Asset Backed Securities Credit Exposure Management 1 st Overall MBS Trading, Bondweek 23 1 st Euro/US$ Cross-Currency Swaps, Risk 23 In 4 categories for MBS 1 st Research, Institutional Investor 23 1 st European Government Bond strategy, Extel 23 21

23 Rates Fixed Income, Rates & Currencies Mortgages league table position Rank Fixed Income Rates FX, Cash & Collateral Trading 1Q 24 Mortgages league tables Global MBS Mkt Share 1. UBS 12.9% 2. Lehman Brothers 1.3% 3. Bear Stearns 9.8% All US MBS Principal Finance & Commercial Real Estate Mkt Share 1. UBS 15.8% 2. Lehman Brothers 11.2% 3. Bear Stearns 11.% Global MBS Agency MBS Whole Loans Mkt Share All US MBS Thomson Financial Whole Loans 1. UBS 19.1% 2. Bear Stearns 17.7% 3. Bank of America 12.1% 22

24 Rates Fixed Income, Rates & Currencies Fixed Income Rates FX, Cash & Collateral Trading Principal Finance & Commercial Real Estate FY 23 revenue 1Q 24 revenue Rates 27% Rates 3% UBS 23

25 FX, Cash & Collateral Trading Fixed Income, Rates & Currencies Fixed Income Rates FX, Cash & Collateral Trading Principal Finance & Commercial Real Estate Foreign Exchange Money Markets Repo Precious Metals 1 st World s Best FX house, Euromoney 23 1 st FX House of the Year, The Banker 22 & 23 1 st Best Bank Electronic FX, Euromoney.com 23 1 st FX Bank, FX Week 23 1 st FX Derivatives & Repo, Risk 23 1 st Bank for Repo, Institutional Investor 23 Note: The above illustrates selected business lines but is not all inclusive 24

26 FX, Cash & Collateral Trading Fixed Income, Rates & Currencies Fixed Income Rates FX, Cash & Collateral Trading Principal Finance & Commercial Real Estate FX market share 14% 12% 11.% 11.5% 12.4% UBS Deutsche Bank 1% Citigroup 8% 6% 4% 5.% JP Morgan 2% 3.6% Goldman Sachs % Euromoney 25

27 FX, Cash & Collateral Trading Fixed Income, Rates & Currencies Fixed Income Rates FX, Cash & Collateral Trading Principal Finance & Commercial Real Estate FY 23 revenue 1Q 24 revenue FXCCT 27% FXCCT 23% UBS 26

28 Principal Finance & Commercial Real Estate Fixed Income Fixed Income, Rates & Currencies Rates FX, Cash & Collateral Trading Principal Finance & Commercial Real Estate FY 23 revenue PF & CRE 24% 1Q 24 revenue PF & CRE 18% UBS 27

29 Diversification of revenue Fixed Income, Rates & Currencies FY 23 revenue 1Q 24 revenue PF & CRE 24% Fixed Income 22% PF & CRE 18% Fixed Income 29% FXCCT 27% Rates 27% FXCCT 23% Rates 3% UBS 28

30 29 UBS Investor Day 24 Fixed Income, Rates & Currencies Michael Hutchins, Global Head of FIRC