譯者 王為
文中黑字部分為原文，藍字部分為譯文，紅字部分為譯者註釋或補充說明
BKLN: High Yield Senior Loans May Be Headed For A Reckoning
by Harrison Schwartz from seekingalpha.com
Summary
要點
Investors generally like senior loans because they pay a floating rate and usually deliver 5%+ returns.
投資者一般對槓桿貸款印象不錯，因為槓桿貸款是浮動利率計息， 收益率通常會達到5%以上
The Invesco Senior Loan ETF recently crashed 25% and has almost entirely rebounded since.
Invesco公司管理的跟蹤美國槓桿貸款市場走勢的交易所交易基金BKLN近期大跌了25%，其後幾乎收復了全部失地
Many of the companies the fund is lending to are unprofitable, have high debt, and have significant refinancing needs this year.
BKLN持倉的很多槓桿貸款的發行人盈利能力差，負債水平高，且年內借新換舊的壓力較大
Despite the Federal Reserve stimulus, many of the loans in the fund have significant downgrade risk.
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儘管美聯儲出臺了貨幣政策方面的刺激舉措，BKLN持倉的很多槓桿貸款大概率地會被信用降級
After experiencing extreme declines, the high yield credit market has nearly returned to all-time highs. This has largely been due to immense central bank stimulus, as detailed in the article "SLQD: Taking A Closer Look At The Federal Reserve Backstop".
在經歷了極端的下跌行情後，美國高收益債市場幾乎重回歷史高位。反彈很大程度上受益於美聯儲大力度的貨幣刺激，我在題為"SLQD: Taking A Closer Look At TheFederal Reserve Backstop"的文章中一一列舉了這些具體的措施。
One fund that experienced an extreme drop and an equally extreme recovery is the Invesco Senior Loan ETF (BKLN). As you can see below, the usually stable fund lost about 25% of its value and saw its dividend yield spike to 7% before almost fully reversing:
BKLN也經歷了驚心動魄的大起大落。如下圖所示，這隻價格走勢通常比較平穩的交易所交易基金在幾乎完全收復失地之前最低曾跌去差不多25%，分紅率相應地升至7%。
Data by YCharts 圖表信息來源：YCharts
BKLN invests in senior loans which are predominately non-investment grade loans that pay a floating yield. Currently, this is about 4.9% above LIBOR, as the fund has a yield-to-maturity of 6.1% and LIBOR is 1.2%.
BKLN基金主要投資於信用評級低於投資級的浮動利率計息的槓桿貸款，其當前的利率水平相當於在LIBOR的基礎上加4.9%，其到期收益率為6.1%，而LIBOR為1.2%。
Quite frankly, I do not believe now is a good time to buy BKLN. The economic situation continues to worsen, and the fund is no longer trading at a significant discount to offset these risks.
老實講，我認為當前並不是買入BKLN的好機會。美國的濟還在繼續惡化，這隻基金的市場價相對於淨值的貼水幅度也不像前期那麼大，不足以抵消經濟下滑的風險。
The Federal Reserve is looking to backstop the corporate bond market, including those with ratings as low as BB-. However, this will not include senior loans. Of course, it will provide liquidity to companies to ensure that they can repay their loans, but BKLN is unlikely to be bought up by the Federal Reserve anytime soon.
美聯儲正致力於為美國的公司債市場保駕護航，其中也包括那些評級低到BB-的公司債，但其購債範圍不包括槓桿貸款。當然了，美聯儲會提供流動性支持以確保美國企業能按時償還貸款，但BKLN近期無望被美聯儲大口吃進。
Importantly,these loans are usually lower-risk, since they are at the top of a company's capital structure. This means equity, preferred equity, and bonds usually must default before senior loans. That said, they are not immune to downgrade risk,which is extremely substantial today. Let's take a closer look at BKLN to see if it can safely weather this storm.
更重要的是，對發行人自身來講這些槓桿貸款的風險通常還算比較低的，因為槓桿貸款在發行人的資本構成中處於最高的層級。這就意味著一家上市公司在違約槓桿貸款之前通常會先違約普通股股權、優先股和公司債，話雖如此，但槓桿貸款仍無法在發行人的信用評級被調降的時候獨善其身。下面研究一下BKLN來看看該基金能否扛得住當前的市場衝擊。
BKLN's High Downgrade Risk Exposure
BKLN持倉的槓桿貸款有相當高的降級風險
Overall,the credit rating of BKLN's holdings is pretty heavily skewed toward the lower end of the B-scale. This means they are nearly all considered non-investment grade, with many nearly in the highly speculative CCC category. Take a look atthe breakdown below:
從整體上看，BKLN持倉的槓桿貸款中有相當大一部分的信用級別屬於B大類評級中的低檔，即這些槓桿貸款幾乎均非投資級，其中很多屬於投機程度很高的CCC級。具體的評級分佈情況見下圖：
(Source: Invesco)
BBB-
17.15%
BB+
5.84%
BB
6.80%
BB-
7.47%
B+
21.14%
B
31.54%
B-
6.89%
CCC+
1.39%
CCC
0.17%
無評級
1.61%
The biggest risk here is the high concentration in "B", as those have a high probability of dropping to B- or below given an economic downturn. As long as they float around the B-range, there is not a significant expected impact of a downgrade, since most B-rated loans deliver similar yields. However, the jumpfrom "CCC+" to "CCC-" is quite large and would cause a large price drop. See coupon rates by credit rating below:
最大的風險在於BKLN的持倉高度集中於B級槓桿貸款，在經濟下行期間有很大的概率會被降級至B-甚至更低的級別。如果這些槓桿貸款的評級水平能維持在B大類的區間範圍內，即使被降級也不會遇到太大的衝擊，因為大多數B大類評級的槓桿貸款的收益率水平都差不多。但評級如果從"CCC+" 掉到"CCC-"就麻煩大了，有可能會引發價格大跌。以下是各評級的槓桿貸款的票息水平：
(Source:Invesco)
These yields are generally in line with average junk bond yields. As you can see below, bond yields skyrocketed in March and have since pulled back down quite a bit:
這些收益率基本上與美國垃圾債的平均收益率相符，下圖顯示各級別公司債的收益率水平在3月份大漲，其後略有回落。
圖中藍線為CCC級垃圾債的收益率，橙線為BBB級公司債的收益率，紅線為BB級垃圾債的收益率，綠線為B級垃圾債的收益率
Data by YCharts
Clearly,the high yield credit market is placing a lot of faith in the U.S. Federal Reserve to provide liquidity to below-IG firms. However, it is worth pointing out that they are really only targeting companies that were recently in investment-grade territory and declined due to COVID-19. Thus, many of these companies are unlikely to receive significant benefits.
很清楚的是，美國高收益債市場過高地期望美聯儲會向非投資級公司債市場提供流動性。但需要指出一點，美聯儲近期實際上只把價格因受新冠疫情影響而下跌的投資級公司債作為購債目標。因此，很多高收益債級別的發行人不太可能享受到美聯儲的雨露滋潤。
The Alarming Financial Position of BKLN's Holdings
BKLN持倉的槓桿貸款的發行人財務狀況堪憂
Quite frankly, many of these companies are at high risk of serious financial issues.The current ratios of most of the top public companies in the fund are below 1(signaling significant refinancing needs) or have been trending lower for years:
實話說，很多槓桿貸款發行人的財務狀況很有可能會惡化。BKLN持倉的槓桿貸款的發行人中大多數境況還不錯的上市公司最新的流動比率不到1，說明借新換舊的壓力很大，且流動比率近年來總體上處於下行趨勢。
Data by YCharts
Further,most have drastically increased their balance sheet leverage, with most have total liabilities to assets around 75%. Some may not have significant assets,but the trend toward higher liabilities is alarming:
此外，大多數發行人資產負債表上的槓桿率已遠超以往，資產負債率大多在75%左右。有一些發行人的資產沒多少，但負債率走高的趨勢卻頗值得警惕：
Data by YCharts
Of course,most would prefer to use a metric like "Financial Debt/EBITDA", butfew of these companies are profitable. In fact, most were barely scraping by before the virus began, as shown by their profit margins:
當然了，大多數人可能喜歡用“金融債務/息稅攤銷折舊前的利潤”這個財務指標來說事，但這些公司沒幾個能賺錢的。實際上，大多數企業在新冠疫情爆發之前就已經度日如年了，其毛利潤率如下圖所示：
Data by YCharts
Obviously,there are more than these seven companies in the ETF. In fact, there are usually closer to 100. That said, they highlight the general trend in all below-IG companies today.
顯然，BKLN持倉的槓桿貸款的發行人遠不止以上幾家公司，實際上發行人的數量通常會接近100家，但這幾家公司代表的是非投資級發行人當前的總體狀況。
Over thepast decade, there has been tremendous corporate debt expansion as companies look for ways to boost their yield by levering their balance sheet. Most of thecompanies in the below-IG category are those that took levering their balance sheet a bit too far and were already struggling before COVID-19 began. Now that COVID-19 is catalyzing a likely longer-lasting economic recession, many of these struggling companies will become failing ones.
過去十年裡美國企業的負債總量有了相當大的增長，因為企業以各種路數給資產負債表加槓桿來謀求盈利最大化。大多數非投資級的美國公司將財務槓桿加得過高，在新冠疫情爆發之前日子就已經很難過了。如今新冠疫情催生了有可能長期持續下去的經濟衰退，很多身陷困境的公司將走上不歸路。
Bottom Line
總結一下
BKLN does have a 6.1% yield to maturity, which equates to a 5.45% yield after its expense ratio, but that is not high enough to make it worth the risk unless you are absolutely sure of a "V-shaped" recovery.
BKLN基金的到期收益率為6.1%，在扣除管理費後相當於5.45%，但仍不足以彌補該基金本身自帶的風險，除非投資者確信美國經濟將出現V型反轉。
While such a recovery would be nice, the U.S. unemployment rate is now likely over 20%. Even more, nearly a third of U.S.apartment renters did not pay April rent, and that is likely to become worse in May. With many businesses permanently closing shop or at high risk of doing so, unemployment is likely to remain higher for longer. Accordingly, the consumption of non-necessities is likely to stay lower for longer and economic growth will become negative.
雖然經濟V型反轉會看上去很美，但當前美國失業率有可能超過20%。更有甚之，在租住公寓的美國人中有近三分之一的人無法支付四月份的租金，五月份情況可能會變得更糟。很多企業已經永久性地關張或大概率地會這麼做，失業率有可能長期處於高位。因此，非生活必需品的消費可能會陷入長期低迷，美國經濟的增速會掉入負值區間。
Accordingly,this is not the time to buy risk assets despite a perceived "Federal Reserve put". In reality, the Federal Reserve's goal is to protect workersand companies, not investors. By expanding the money supply to do so, they maybe stoking the fires of high inflation, which, in reality, hurts investors the most.
因此現在並不是建倉風險資產的時機，儘管市場廣泛認為存在“美聯儲看跌期權”。美聯儲真正要保護的是就業者和企業，而不是投資者。美聯儲通過增加貨幣供應量以達此目的，會點燃通脹加速增長的星星之火，而這實際上對投資者傷害最大。
BKLN has some inflation protection because its holdings are floating-rate. However,LIBOR is likely to remain far below inflation for some time as the Federal Reserve keeps rates at zero. Thus, BKLN's protection from inflation is limited.Overall, BKLN appears to be a "Sell".
BKLN基金在一定程度上可以對抗通脹，因其持倉的槓桿貸款是浮動利率計息的。但LIBOR有可能會因美聯儲將基準利率的水平保持在零而在遠低於通脹率的位置上停留一段時間，因此BKLN基金對抗通脹的效果並不明顯。總的來看，當前應該賣出BKLN。
