“Sell first, ask questions later.”

别问那么多，先卖了再说。

The $1.2-trillion US leveraged loan market is starting to get downgrade-indigestion. So far this year through October 11, of the 1,460 leveraged loans in the S&P/LSTA Index, 282 issues were downgraded, already exceeding the 244 downgrades for the entire year of 2018, and blowing past the 33 downgrades in 2017, according to LCD of S&P Global Market Intelligence.

标准普尔全球市场杠杆贷款数据库发布的数据显示，在总值为1.2万亿美元的美国杠杆贷款市场上信用降级事件开始变得层出不穷了。从年初到10月11日，在标准普尔LSTA杠杆贷款指数所跟踪的1460笔杠杆贷款中有282笔遭到信用降级，超过2018年全年244笔的降级记录，更是大幅超过2017年33笔的降级记录。

On a rolling three-month basis, the ratio of downgrades-to-upgrades spiked to 4.9, by far the highest ratio since the Financial Crisis. In the chart below via LCD, a value greater than 1 (horizontal green line) means downgrades exceed upgrades. A value blow 1 means upgrades exceed downgrades.

如果以每三个月作为一个统计期进行滚动计算，最近三个月的信用级别调降与调升个案之间的比率猛增至4.9倍，创下自2008年金融危机以来的最高纪录。下图来自标准普尔全球市场杠杆贷款数据库，比率超过1也就是与横轴平行的绿线就意味着信用降级的案件数量超过了评级调升，反之，比率低于1就意味着信用降级的案件数量少于评级调升。

Collateralized Loan Obligations get cold feet.

抵押贷款凭证市场遇冷

The hot-button issue at the moment with leveraged loans is a one-step downgrade from B-, or a 2-step downgrade from B (“highly speculative”), to triple-C (“substantial risk,” see my cheat sheet for corporate bond and loan credit ratings by ratings agency).

当前杠杆贷款市场的热点话题是原评级为B-或B级（即所谓的高度投机性）的杠杆贷款分别被调降1或2级就将跌至CCC级（即具有“明显的风险”）。

It’s a hot-button issue because managers of Collateralized Loan Obligations (CLOs) currently purchase about three-quarters of the leveraged loans that banks are syndicating and hold about 55% to 60% of all leveraged loans outstanding, according to LCD. But CLOs have limits as to how much in CCC-or-below-rated loans they can hold.

这个问题之所以会成为焦点是因为标准普尔全球市场杠杆贷款数据库的统计显示，当前抵押贷款凭证的管理机构买走了商业银行发起的杠杆贷款中的四分之三，并持有全部未到期的杠杆贷款中的约55%至60%，但是抵押贷款凭证在持仓CCC级及以下评级的杠杆贷款方面受到一些限制。

The majority of CLOs limit their holdings of triple-C or below rated loans to 7.5% of their portfolio. This not a hard limit, but it triggers some mark-to-market rules and other factors. According estimates by Wells Fargo analysts cited by LCD, a CLO could hold up to 12% of its portfolio in these loans before triggering some of the requirement.

大多数的抵押贷款凭证在总头寸中所持仓的CCC级及以下评级的杠杆贷款的占比不能超过7.5%，这不是一条硬杠，但会触发一些与盯市估值有关的限制规定。标准普尔全球市场杠杆贷款数据库引述美国富国银行的分析师的观点认为，有几个因素会导致抵押贷款凭证的总头寸中持仓CCC级及以下评级杠杆贷款的比率在触发某些限制条款前达到12%。

According to LCD, the median share of these loans within US CLOs is currently 4.1%, meaning half of the CLO’s already have over 4.1% of these loans in their portfolio, and they need to keep some room available when their single-B rated loans get downgraded to triple-C.

大多数的抵押贷款凭证在总头寸中所持仓的CCC级及以下评级的杠杆贷款的占比不能超过7.5%。标准普尔全球市场杠杆贷款数据库的统计显示，当前在美国的抵押贷款凭证中CCC级及以下评级的杠杆贷款的占比均值为4.1%，说明有一半的抵押贷款凭证在投资组合中投资CCC级及以下评级杠杆贷款的比率已经大于4.1%，需要留有一些余地以备有一些当前为B级的杠杆贷款未来会被降至CCC级。

So when loans are downgraded to triple-C, and the CLO buckets for loans with this rating are full, then suddenly buyers are difficult to find, and funding threatens to dry up for these companies, which can push them into bankruptcy. In addition, banks can get stuck with leveraged loans. Both of which are already happening.

因此如果杠杆贷款被降至CCC级以及抵押贷款凭证中能容纳此类评级债券的份额被耗尽，那么突然之间就会发现买家难寻了。CCC级杠杆贷款的发行企业有可能会遇到融资困难，并最终导致破产。此外，商业银行有可能在发起杠杆贷款后陷入转让不出去的窘境，如今这两种情况都已经发生了。

Leveraged loans are typically junk-rated loans issued by companies that have too much debt and not enough cash flow. Banks have no intention of hanging on to these loans. Instead, they plan to offload them to CLOs, loan funds, and other investors.

杠杆贷款的信用评级通常为垃圾债级别，发行人大多债务缠身且没有足够的现金流。商业银行不愿意把这些杠杆贷款留在手中，而是打算将其甩给抵押贷款凭证的管理机构、贷款基金和其他投资者。

But some banks are getting stuck with the loans.

但是有些商业银行手里的杠杆贷款甩不掉了

Investment banks – including Jeffries, UBS, Barclays, Deutsche Bank – have recently gotten stuck holding at least seven leveraged loans, totaling about $2 billion, sources told Bloomberg. These loans were used to fund acquisitions, including the leveraged buyout of Shutterfly by private-equity firm Apollo Global Management.

彭博资讯有消息来源透露，包括Jeffries、瑞士银行、巴克莱和德意志银行等在内的投行最近至少有7笔杠杆贷款转让不出去，总额约20亿美元。这些杠杆贷款发行的目的是为一些并购交易提供融资，其中包括私募基金阿波罗全球资本对Shutterfly的杠杆收购交易。

The banks could not off-load these loans for now and remain on the hook. While the amount is still relatively small, given the size of the leveraged loan market, this – and the stress showing up with single-B rated loans – is happening when yield-starved investors are otherwise still exuberant. Bloomberg:

如今商业银行卖不掉这些杠杆贷款，被套牢了。虽然与杠杆贷款市场的总量相比这些套牢的金额还不算大，但对高收益如饥似渴的投资者仍在盲目乐观之时，B类评级的杠杆贷款所面临的压力却正在凸现出来。彭博资讯报道，

Worries over a potential downturn have reduced demand for lower-rated loans at risk of downgrades, especially from collateralized loan obligations, which face limits on the amount of debt rated in the weakest CCC tier that they can own.

“对行情可能发生逆转的担忧导致对有降级风险的低评级杠杆贷款的需求出现下降，尤其是来自按揭贷款凭证的投资需求，因其对信用等级极低的CCC级杠杆贷款的持仓比率是受到限制的。”

So CLOs are crucial in getting these loans off the banks’ books. Now all eyes are on the single-B category (B+, B, B-) that makes up 56% of all US leveraged loans outstanding. Loans rated B- account for about 13% of US leveraged loans outstanding, nearly double from early 2017. They’re just one notch away from CCC+.

因此在将杠杆贷款从商业银行的账上转移出去方面，按揭贷款凭证的重要性是不言而喻的。如今所有的目光均盯着在整个美国杠杆贷款市场未到期余额中占比达56%的B类评级（包括B+, B, B-）的杠杆贷款，其中B-级的杠杆贷款占整个美国杠杆贷款市场未到期余额的比率为13%左右，几乎比2017年初的时候翻了一倍，B-级距CCC+级仅一步之遥。

Of the 282 downgrades this year so far, 27% were downgraded to B- and 15% were downgraded to CCC+. The chart below shows the distribution of downgrades in 2019 so far (orange bars) and in all of 2018 (blue bars). “D” stands for “default.” BB+ is one step below investment grade. Note this year’s surge in downgrades to B- and CCC+ compared to last year:

在今年以来被降级的282个案例中有27%被降至B- and15%被降至CCC+，下图中的橙线和蓝线所代表的分别是2019年迄今以及2018年的降级案例中调降后的信用级别分布情况。其中“D”级意味着“违约”，BB+级比投资级低一档，值得注意的是降级至B-和CCC+的案例与2018年相比出现大幅增加。

“Sell first, ask questions later,” that’s the current attitude in the market about loans rated B-, LCD says:

“别问那么多，先卖了再说”就是当前市场对于B-评级杠杆贷款的态度。标准普尔全球市场杠杆贷款数据库表示，

CLO managers, however, are not waiting for rating agencies to act. Instead, they’re looking to get out in front of any earnings miss, especially as managers find liquidity disappearing quickly on a number of names.

“但是按揭贷款凭证的管理机构并没有坐等评级机构作出反应再出手，而是寻机在发行人发布盈利警讯之前就夺路而逃，尤其是在管理机构察觉某些杠杆贷款的发行人流动性迅速耗尽的情况下。”

Double-B rated loans “remain well bid,” according to LCD. The loans that are held by CLOs and that selling off are single-B, and they’re selling off out of fear of a downgrade to triple-C:

标准普尔全球市场杠杆贷款数据库表示，BB级的杠杆贷款“成交情况尚好”，按揭贷款凭证持有和转手卖掉的杠杆贷款是B类评级的，之所以会被卖掉是因为担心这些贷款会被降级至CCC级。

The portion of these loans that are trading for less than 90 cents on the dollar has reached 9.5% of all loans held by CLOs, up from 6.5% in August.
此类贷款中市场成交价低于面值90%的部分在按揭贷款凭证的杠杆贷款持仓总量中的占比为9.5%，高于8月份 6.5%的占比；
The portion of these loans trading for 80 cents on the dollar has doubled to 4%, from 2% in August.
此类贷款中市场成交价低于面值80%的部分在按揭贷款凭证的杠杆贷款持仓总量中的占比为4%，比8月份 2%的占比翻了一番。

For example, Deluxe Entertainment Services Group’s $782-million leveraged loan was trading at around 90 cents on the dollar in July. In August, a proposed spinoff and equity infusion didn’t pan out as planned, which led S&P to downgrade the loan from B- to CCC-. The loan plunged to a range between 36 and 40 cents on the dollar, according to LCD. Then this happened:

例如， Deluxe娱乐服务集团发行的7.82亿美元杠杆贷款在7月份的时候市场成交价为面值的90%左右，到了8月份，因原先计划的分拆和股权注入并未取得预期的进展，导致标准普尔评级公司将该公司的信用评级从B-降至CCC-，结果该公司杠杆贷款的市场成交价狂泻至面值的36-40%左右。

The credit is held by a number of CLO managers, many of whom were unwilling to participate in additional financing for the company following the downgrade, as they were hesitant to double down on additional CCC exposure at this stage.

有不少按揭贷款凭证的管理机构持有该公司的杠杆贷款，其中很多机构无意为降级后的该公司提供新的融资，因为不愿意在当前时点上增加CCC级杠杆贷款的持仓比率。

As these existing investors – the CLO managers – were not able or willing to provide additional financing needed to keep the company afloat, Deluxe filed for a pre-packaged Chapter 11 bankruptcy and then obtained a Debtor in Possession (DIP) loan. Its $782-million leveraged loan recently traded at about 5 cents on the dollar, according to LCD.

由于这些现有的投资者即按揭贷款凭证的管理机构不能或不愿意提供新的融资，因此Deluxe公司根据《美国破产法》第11章的规定申请破产保护，然后获得了“债务人持有控制权”的贷款融资。标准普尔全球市场杠杆贷款数据库的数据显示，该公司7.82亿美元的杠杆贷款最新的市场成交价约为面值的5%。

That’s how a downgrade from single-B to triple-C can push a company over the edge because it can get cut off from funding.

这就是B评级的公司被降级至CCC后陷入破产边缘的情形，因为降级会令企业得不到融资。

The industry is now wondering, with CLOs being limited as to the amount of triple-C loans they are willing to buy, who will buy them? There will be buyers, including funds set up specifically to buy distressed credits – if the price is low enough. But that price may be so low – and the yield so high – that it effectively cuts off the company from any funding and pushes it into bankruptcy court.

整个行业如今想搞清楚的是，随着按揭贷款凭证的管理机构愿意买进CCC级杠杆贷款的余地日益收窄，还有谁能够成为买家？如果价格足够低，买家还是有的，包括那些为投资不良信用债券而专门设立的基金。但是CCC级杠杆贷款的价格可能会跌到很低、收益率很高的程度，以至于发行人根本拿不到任何融资，并最终走上破产法庭。