美国银行贷款市场出现的三个警讯

2019/08/14 07:47
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如今,想在美国银行贷款市场上行走江湖的投资者可要小心一点了。尽管2019年前7个月美国银行贷款市场的回报表现强劲,截止到7月底,跟踪美国银行贷款市场走势的标准普尔LSTA杠杆贷款100指数年初以来的总回报为7.9%,这种强劲的走势不太可能持续下去。

Key Points

要点

  • Bank loans have floating coupon rates. Given the Federal Reserve’s recent shift toward easier monetary policies, income payments are unlikely to rise any time soon, while the risk of coupon rates falling further has risen.

    银行贷款支付的是浮动利率票息。考虑到美联储近期转向宽松的货币政策立场,银行贷款的票息收益不太可能在短期内出现上升,票息率进一步下跌的可能性在上升;

  • Price appreciation is limited. Bank loan prices are near their post-crisis peaks, so it’s unlikely they rise much further.

    银行贷款升值空间不大。银行贷款的市场价格已接近其2008年金融危机后的峰值,因此不太可能继续大幅走高;

  • The quality of loan covenants, which are meant to protect investors, continues to deteriorate. This trend could lead to sharp price declines if market conditions deteriorate.

    银行贷款合同附带的投资者保护条款对投资者权益的保护力度在持续下降,在市场状况出现恶化的情况下,这一趋势性的变化会导致银行贷款市场的行情出现大幅缩水。

Investors may want to tread carefully in the bank loan market today. Despite a strong performance through the first seven months of the year—the S&P/LSTA Leveraged Loan 100 Index has posted a year-to-date total return of 7.9% through the end of July—it’s unlikely that the strong pace of returns will continue. In fact, bank loan investors now face three headwinds: the potential for lower income payments, limited room for price appreciation and deteriorating covenant quality.

如今,想在美国银行贷款市场上行走江湖的投资者可要小心一点了。尽管2019年前7个月美国银行贷款市场的回报表现强劲,截止到7月底,跟踪美国银行贷款市场走势的标准普尔LSTA杠杆贷款100指数年初以来的总回报为7.9%,这种强劲的走势不太可能持续下去。实际上,银行贷款市场的投资者如今面临三个不利因素:票息收益有可能下降,价格上涨空间有限以及投资者保护力度的削弱。

What are bank loans?

什么是银行贷款?

Bank loans are a type of corporate debt. They are often called leveraged loans or senior loans, as well. They have a few key characteristics that differentiate them from traditional bonds:

银行贷款是公司债务的一种形式,通常也被称为杠杆贷款或优先级贷款,与传统的债券相比,银行贷款有几个特点:

  • Sub-investment-grade credit ratings. Bank loans tend to have sub-investment-grade credit ratings, also called “junk” or “high-yield” ratings. Junk ratings are those rated BB+ or below by Standard and Poor’s or Ba1 or below by Moody’s Investors Service. A sub-investment-grade rating means that the issuer generally has a greater risk of default, so bank loans should always be considered aggressive investments.

    信用评级低于投资级。银行贷款的信用评级一般低于投资级,因此其评级也被称为“垃圾债级”或“高收益债级”。垃圾债级别是指评级低于标准普尔公司的BB+级或穆迪公司的Ba1级,评级低于投资级意味着发行人的违约风险通常很高,因此银行贷款总被认为是一种激进型的投资。

  • Floating coupon rates. Bank loan coupon rates usually are based on a short-term reference rate plus a spread. The short-term reference rate is usually the three-month London Interbank Offered Rate, or LIBOR, although that will likely change in the future as LIBOR is set to be retired in a few years. The spread above LIBOR is meant as compensation for the lenders. Because bank loans come with increased risk—keep in mind that they’re junk-rated—investors demand higher yields in case the issuer cannot make timely interest or principal payments.

    浮动利率票息。银行贷款的票息通常是在短期参考利率的基础上加上一个点差。短期参考利率通常用的是3个月期限的伦敦银行间同业拆借利率,也就是LIBOR,尽管这一点有可能会发生变化,因为LIBOR将于数年后退出历史舞台。LIBOR之上的点差是对头寸出借方的补偿。因为银行贷款会带来高风险,别忘了银行贷款的评级是垃圾债级别的,投资者要求给予更高的收益率以补偿发行人无法及时清偿本息的风险。

  • Secured by the issuer’s assets. Bank loans are secured, or collateralized, by the issuer’s assets, like inventory, plant, property or equipment. They are senior in a firm’s capital structure, meaning they rank above an issuer’s traditional unsecured bonds. But don’t confuse “senior and secured” with “safe.” Bank loans still can, and do, default—just like traditional corporate bonds. In fact, the trailing 12-month loan default rate was 2.4% through June 2019, only slightly lower than the 3% default rate for U.S. high-yield corporate bonds, according to Moody’s.1

    已发行人的资产为抵押担保。银行贷款是用发行人自有资产进行抵押或担保的,资产包括库存、产房、地皮或设备。在借款企业的资本结构中银行贷款处于优先级的位置上,也就是说在清算的时候银行贷款的清偿顺序比发行人所发的传统形式的无担保公司债要靠前。但请不要把“优先级和有担保”与“安全可靠”混为一谈,银行贷款仍有可能也确实会像传统的公司债一样违约。实际上根据穆迪公司的统计,在截止到2019年6月末的过去12个月里银行贷款的违约率为2.4%,只略低于美国高收益公司债市场3%的违约率。

Three warning signs for the bank loan market

美国银行贷款市场的三个警讯

Risks are rising in the corporate bond market—and that includes bank loans. Slowing corporate profit growth, global growth concerns, and the slope of the yield curve are all risks that could to lead to lower corporate bond prices. However, we see three risks that are specific to bank loans:

美国公司债市场的风险正在上升,其中也包括银行贷款市场。美国公司的利润增速在下降,对全球经济增长前景的担忧以及美国国债收益率曲线的形态等风险均有可能导致美国公司债市场的行情出现下跌。但是,我们看到有三个风险是美国银行贷款市场所独有的:

1. Income payment trajectory. Federal Reserve policies can drive the direction of bank loan coupon rates, as three-month LIBOR is highly correlated with the federal funds rate. As the Fed began to shift its policy stance and hint that rate hikes might shift to rate cuts, three-month LIBOR dropped.

票息收益的波动方向。美联储的货币政策会决定美国银行贷款票息率的走势,因为3个月 LIBOR与联邦基金利率的走势高度相关。因联储货币政策立场开始转向并暗示将从加息转向降息,3个月 LIBOR的水平出现下跌。

The Fed cut its benchmark interest rate at its July 30-31, 2019, meeting. While the statement and Fed Chair Jerome Powell’s remarks during a press conference that followed were a bit ambiguous about the future path of monetary policy, markets are still pricing in more cuts. According to Bloomberg, there’s a 100% probability of a cut at the September meeting, and the fed funds futures market is still pricing in three to four more cuts by the end of 2020.2

在7月30-31日的例会上联储降低了其指标利率的水平,虽然联储会议的声明及联储主席鲍威尔随后在新闻发布会上的讲话对未来的货币政策演变路径给予了比较含混的说法,但市场还是在报价中预期将有更多的降息。据彭博资讯报道,市场认为联储在9月份的例会上降息的概率为100%,联邦基金利率市场仍预期到2020年底之前联储还会降息三到四次。

Given market expectations, as well as Fed projections from its June meeting, it’s unlikely that LIBOR rates will move higher anytime soon, with a greater risk of rates falling. That means bank loan coupon payments are likely to fall further.

考虑到市场当前的预期情况以及美联储在其6月份例会上所做的货币政策预期,LIBOR利率的水平不太可能在短期内出现上升,而是有很大的可能性出现下降,这就意味着美国银行贷款市场的票息水平可能会进一步下行。

The reference rate for bank loan coupons may continue to fall

Source: Bloomberg, using weekly data as of 7/31/2019. ICE LIBOR USD 3 Month (US0003M Index).

2. Limited price appreciation. Bank loan prices are high and there’s little room for prices to rise much further. The average price of the S&P/LSTA U.S. Leveraged Loan 100 Index closed July at $98.2, not far off the 10-year high of $99.2.

价格上涨空间有限。当前银行贷款的价格很高,几乎没有继续上升的空间。跟踪美国银行贷款市场走势的标准普尔LSTA杠杆贷款100指数7月底的收盘价在98.2美元,与其10年来的最高点99.2美元相距不远。

It’s rare for bank loan prices to rise above $100 par value due to limited call protection—the last time the average price of the index rose above $100 was in June 2007. If a security is “callable,” as bank loans are, they can be redeemed by the issuer before the stated maturity date. Most bank loans have very limited call protection, meaning they can be redeemed and refinanced relatively quickly. That limited call protection generally puts a cap on how high prices may rise. If prices rise high enough, an issuer likely will just refinance the loan with a new loan with a lower spread.

由于发行人主动赎回条款的有限保障,每百元面值的银行贷款的市场价升破100美元的可能性极其罕见,该指数的均价上一次升破100美元是在2007年6月份。如果一只债券是“发行人可主动赎回的”,银行贷款就是如此,那么这只债券会在原定的到期日之前被发行人提前赎回。大多数银行贷款会提供非常有限的发行人主动赎回保障,意味着这些贷款会被迅速地赎回和再融资。有限的发行人主动赎回保障通常会限制银行贷款价格上升的空间,如果银行贷款价格升得足够高,发行人有可能会发行一笔点差更低的新贷款再融资原先叙做的银行贷款业务。

Given the high price of the index, it’s unlikely that prices will rise much further. Through the end of the year, income payments, not price appreciation, should be a key driver of total returns.

鉴于标准普尔LSTA杠杆贷款100指数正处于高价,因此银行贷款的价格不太可能继续大幅上涨。到今年年底前,票息收益而不是价格的增值部分才是银行贷款总回报中最主要的贡献因素。

Leveraged loan prices are near a 10-year high

杠杆贷款的价格接近10年来的最高点

Source: Bloomberg, using weekly data as of 7/31/2019. S&P/LSTA U.S. Leveraged Loan 100 Index (SPBDLLB Index). Past performance is no guarantee of future results.
 

3. Deteriorating covenant quality. A bond covenant is a set of terms, defined in the bond’s prospectus, which outlines what the issuing firm can or can’t do with regard to its business. Lately, loans simply haven’t included many covenants that can help protect investors. Moody’s Investors Service tracks loan covenants, and its “Covenant Quality Indicator” remains near its all-time weakest level.3 Without strict covenants, firms can engage in riskier business practices, like taking on more debt or even selling profitable parts of the business (for a one-time gain), essentially removing a potentially stable provider of cash flows that can be used to repay its debts.

投资者保护力度的恶化。债券保护条款是债券发行说明书中所规定的一系列条款,列明发行企业在经营方面能做什么和不能做什么。近一时期,新发行的银行贷款并没有包含很多有助于保护投资者权益的条款。穆迪投资者服务公司跟踪研究了银行贷款的投资者保护条款,其编制的“投资者保护效力指标”当前仍处于历史最低点附近。由于没有严格的投资者保护条款的制约,发行企业可采取高风险的经营手段,比如介入更多的债务,甚至卖掉具有很高盈利潜力的业务以获取一次性的高收益,这样做实际上有可能失去能带来稳定现金流从而可用来偿还债务的业务。

Deteriorating covenants can have a negative impact when we begin to see a rise in corporate defaults. Because the absence of covenants allows firms to engage in more risky business activities, there may be less value in a given company if it were to default, leading to lower recovery rates. (Recovery is the amount that a bondholder ultimately receives from holding a defaulted bond or loan.)

投资者保护力度的削弱在公司违约率上升之时可能会带来负面影响。因为投资者保护条款的缺失会让企业从事高风险的经营活动,如果一家发行了银行贷款的企业即将出现违约,该公司的价值将降低,并导致投资回收率降低,投资回收是指债券持有者最终从一笔违约的债券或贷款中清算收回的资金。

While our discussion above pointed to limited upside in prices, this trend in covenant quality could actually lead to sharp price declines. If growth slows and corporate earnings deteriorate, corporate defaults may rise and loan prices may fall sharply.

一方面我们以上的讨论倾向于认为银行贷款市场的价格上升空间不大,另一方面投资者保护力度的变化实际上有可能导致银行贷款的价格出现下跌。如果美国经济增速出现放缓同时公司盈利状况出现恶化,发行人违约的案例可能会增加同时贷款的价格可能会大幅下挫。

What to do now

现在应怎么办?

Bank loan returns going forward are unlikely to match their strong year-to-date total returns, and we see a greater risk of price declines. While the higher yields they offer might seem tempting in a low-interest-rate world, those higher yields are accompanied by higher risks. And with the shift in Federal Reserve policy, bank loan coupon payments may continue to decline.

展望未来,银行贷款市场的回报率不太可能与年初至今的强劲回报相匹配,同时我们认为其价格下跌的风险比较大。虽然在低利率的市场环境中银行贷款市场所提供的高收益率似乎看上起挺美,但高收益伴随着高风险。随着美联储的货币政策出现转向,银行贷款市场的票息收益可能会大幅下行。

Keep in mind that bank loans are aggressive investments regardless of the economic or interest-rate outlook. Their prices can be volatile and are subject to sharp drops, a key consideration when making an investment decision. With interest rates trending lower and a greater likelihood of price declines, we suggest investors take a cautious approach, and we would not suggest adding to positions today.

记住一点:不管经济或利率的前景如何,银行贷款都是一种激进型的投资,其价格会剧烈波动并有可能大幅下跌,在做投资决策的时候这是需要考量的关键点。随着利率水平趋势性向下以及价格下跌的可能性提高,我们建议投资者应持谨慎态度,当前不建议增加仓位。

Source: Moody’s, “June 2019 Default Report,” July 9, 2019.

2 Source: Bloomberg, as of 8/2/2019. World Interest Rate Probability (WIRP).

Moody’s Investors Service, “North American Covenant Quality Indicator, CQI, flirts with record worst as volume surpasses long-term average,” July 9, 2019.

译者  王为

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