作者：李健 编译

3月19日晚10点，橡树资本的官方网站上发布了一篇最新文章，内容是3月9日橡树资本首席投资官Bruce Karsh与橡树资本全球信贷投资组合经理们的一次对话。主要探讨了当前的全球震荡形势，以及下一步将采取怎样的行动。

在对话中，橡树资本的全球信贷投资组合经理们判断，市场的波动可能会持续一段时间，证券价格在稳定之前可能会继续走低，所以保持投资组合的多样性是很有必要的。

另外，橡树资本表示，幸好在此之前就保守地构建了投资组合，这与我们多年来“向前迈进,但要谨慎”信条相一致。例如，相较于基准，我们减少了和能源相关的投资，并且我们没有持有太多高杠杆公司的债务，这帮助我们有利地构建了投资组合。

“不过仍然有些市场机制的快速变化很难预见到。市场波动和风险可能会持续相当一段时间。我们认为，证券价格在稳定之前很可能会继续下跌，无法判断会呈现怎样的复苏走势：可能是V型，或是其它走势。无论如何，我们都在积极关注，寻找机会，尤其是没有受到新冠疫情影响的企业中。另外，我们还希望确保在投出资金时谨慎行事，因为过早和过晚行动都会造成问题。”

橡树还提供了一个值得关注的角度是，等金融危机过去了，一些企业在金融危机中的表现，可以为衡量企业价值提供一个极具价值的历史视角。

以下是精彩对话编译：

评估新冠病毒阴云下的信贷相对价值

Bruce Karsh：鉴于当前波动性将继续存在，您如何看待当下的信贷投资形势？审慎的投资者在当下的动荡形势下应如何行动？

Armen Panossian：要想恰当地评估当前的债务环境，需要仔细关注新冠疫情的形势。债务投资者尤其应考虑疫情对企业和行业的影响，并且要认识到可能因此损失本金。还应该注意疫情对更广泛的经济、行业和家庭的二次、三次影响。

我们目前的市场评估包括一项针对不同细分市场的表现的研究。某些领域因为直接受新冠疫情影响而正在下行；其他领域也在走下坡路，但幅度不大。例如，未直接涉及石油和天然气的高收益债券或优先贷款可能下降的幅度更小，大概在个位数的中段。这些证券受影响的量也很少。与全球金融危机不同，目前本次疫情没有造成多少被迫抛售的情况。

因此，在这种环境下，我们正在关注可能会出现的颠覆以及更吸引人的交易价格。我们正在等待，看看是否有运营良好的公司由于市场机制（如出于供需考虑），而非因为与商品能源或新冠疫情相关而导致的交易价格下跌。在投资亏损严重时，使投资组合多样化是当务之急。此外，投资评级可能也会带来机遇，因为新冠疫情带来的不确定性导致零售IG帐户流出并且/或者BBB级投资下调为高收益债券。

幸好橡树资本在此之前就保守地构建了投资组合，这与我们多年来“向前迈进,但要谨慎”信条相一致。例如，相较于基准，我们的组合减少了能源相关的投资，并且我们没有持有太多高杠杆公司的债务。这帮助我们有利地构建了投资组合，因为我们密切关注着机遇。不过仍然有些市场机制的快速变化很难预见到。市场波动和风险可能会持续相当一段时间。我想证券价格在稳定之前很可能会走低，无法判断会呈现怎样的复苏走势：可能是V型，或是其它走势。无论如何，我们都在积极关注，寻找机会，在没有受到新冠病毒疫情影响的公司中尤为如此。我们还希望确保在投出资金时谨慎行事，因为过早和过晚行动都会造成问题。

Bruce Karsh：我们现在简要谈谈违约和复苏。违约率形势如何？

Brendan Beer：新冠疫情对经济的影响愈发捉摸不定，违约可能会出现周期性的特点。近来，债务问题都比较特殊，例如有公司大量牵涉制药领域的诉讼、涉及医疗服务差额负担的规定、资产销售失败、特定类型的零售商店不相关性增加等等。某些违约企业最终对第一留置权债权人的追回率很低，但是无论如何，遗留问题都因债务人具体情况而异。

现在，公司正在迅速回到周期性违约的情况中。杠杆化高的企业无法发放工资，无法支付租金，无法偿还债务，这些公司可能不得不进行结构性改革。由于企业借贷和重新借贷，违约率在十年内一直保持在非常低的水平，由于信贷容易获得，而且成本很低，企业容易借款后再借款，过去十年的违约率很低，但现在周期性违约率会抬高。

还有可能某些公司经营良好，但因为新冠疫情带来的冲击，无法渡过这段特殊时期。这些公司可能需要调整结构，但在这些案例中，我们预期追回率是向好的。

Bruce Karsh：房地产债务看似相对稳健。但真实情况是否如此？是否有问题即将显现出来？

Justin Guichard：我们预期房地产债务波动会相对较小，因为这类资产具备抵御力强的特点，比如，波动性小、与其他资产类别的相关性有限、收入构成良好等。但即使在房地产债务领域中，零售、酒店业等企业，市场预计还是会因为当前环境而变得更加脆弱。

当前阶段，零售业和酒店业风险敞口都比较小，但我们的定位却很保守和谨慎。究其原因是我们并没有发现相关产业的风险溢价有多么吸引人。我们离全球金融危机越远，关于高波动性的恐慌记忆就会更少地引发投资者的共鸣。因此在这个节点上，风险溢价在我们看来没有多少价值。

现在，我们希望一些领域可以很好地抵御风险和挑战，这样我们就可以寻找到机遇。好消息是自金融危机以来，我们投资组合中的很多企业就是我们一直在密切关注的企业，因此我们可以借鉴这些企业在当时金融危机时的表现。后续在我们评估这些企业在目前形势下的表现时，这一历史视角极具价值。

Wayne Dahl:我还想再强调一点：关于信贷投资组合，我们一直想做出一个相对价值决定，而上述都是这个决定中的一部分。获得低风险收入对于我们至关重要。房地产债所产生的收益在绝对基础上可能会比较低，但是相对较小的波动性使得这一投资类别有潜力偿还债务。我们当然也和我们的投资人认真探讨过，即我们认为交易的房地产债蕴含着极大的价值。

Bruce Karsh: 既然说到相对价值，即包含行业和资产类别的相对价值，您认为哪些领域看起来更脆弱或者更具吸引力呢？

Armen Panossian: 我认为现在旅游业和娱乐业，当然还有原油和天然气，看起来最脆弱，相关的证券很可能需要几年才能恢复。更确切地说，考虑到沙特、石油输出组织和俄罗斯的现状，我很担心美国的油气田，其受到的长期影响会比较大。国际社会可能会对美国国内油气产业是否在国际上仍有竞争力进行重新评估。与此同时，美国能源产业无资本可用。随着事态发展，尽管基础设施资本拥有独立于油气生产的价值，我们仍可能会见证这些资本的降级消费，而且范围可能会进一步扩大，这个现象很有趣。一旦否定观点被高估，这会为那些掏钱包的投资者创造增强相对价值。

Madelaine Jones:再看欧洲信贷方面，我们认为那些存在流动性问题的小企业是很脆弱的，其赞助商没有能力度过这一供需极其矛盾的时期。

Wayne Dahl:对于资产类别的相对价值，我会考虑以下几点因素：（a）收益，流动性信贷的收益有所增长；（b）利率，利率在不断下降，而且会影响浮动利率资产的票面利率。值得注意的是，部分借贷抵押证券的小额证券需要超过20%的违约率才会从原则上触动经济损失。考虑到以上情况，我认为借贷抵押证券相对是比较吸引人的。房地产债因其防御本质，低波动性以及与整个市场的弱相关性而具备相对价值。

Bruce Karsh: 这点我表示赞同，我也更青睐房地产债。企业债务存在泡沫，而房地产没有那么多泡沫，因为其基础债务背后，供需之间有着比较合理的平衡。

橡树资本将继续重视下行保护，自下而上的证券选择和相对价值评估。我们正在积极地评估潜在的风险，保证我们的全球债务组合精准定位，在抓住机会的同时也能够抵御波动。正如我最喜欢的电视剧《山街蓝调》中Phil Esterhaus警官所说，“咱们还是得当心点啊。”

以下为原文：

Assessing Relative Value in Credit amid Coronavirus Uncertainty

March 2020

Coronavirus remains a growing threat to global economies. Financial markets are experiencing extreme turbulence as policymakers and investors grapple with the increasing human cost and uncertainty regarding the scale of the pandemic.

During this time, we believe the important question for us is, “How do we, as credit investors, make sense of these fast-moving developments, and how do we move forward?” The following are edited highlights from a conversation that Oaktree’s Chief Investment Officer Bruce Karsh had the week of March 9 with our Global Credit portfolio managers.1

Bruce Karsh: Much has changed in the past few weeks, certainly in the financial realm. Walk us through the magnitude of some of these changes in the markets.

Wayne Dahl: We’ve seen a significant selloff in a very brief period. U.S. stocks reached a high as recently as mid-February. But by March 12, when the World Health Organization officially labeled the outbreak a pandemic, we saw the 11-year bull run come to an end, as key indices plunged into what’s called “bear territory” (i.e., down 20% or more from the last high) despite policy measures aimed at easing stress. On that day, the Dow Jones Industrial Average dropped 10% — its steepest decline since the crash of October 1987. By March 16, the S&P 500 index, too, had marked its biggest single-day loss since that crash.

As for volatility, here is one statistic to help orient you: If you look at the number of trading days when the S&P 500 index moved by 3% or more, in either direction, there were seven such days in 2017, 2018 and 2019 combined. In contrast, there have been 12 such days so far in 2020 through March 16.

Apart from equities, the decline since February 19 is 13.4% for U.S. high yield bonds and 10.8% for U.S. senior loans.2 Investment grade corporate bonds have logged a more limited loss, at 4.5%, likely because of the way they benefit from lower interest rates. Oil certainly has collapsed, down 46.1%. Energy prices were already vulnerable due to concerns that the virus would sap global demand, but a rift between Saudi Arabia and Russia sent them tumbling further. We’ve also seen a steep drop in interest rates, with the 10-year Treasury yield falling to its lowest levels in history. Interest rate volatility has climbed to levels not seen since 2009, according to the Merrill Lynch Option Volatility Estimate Index.

Bruce Karsh: With the understanding that volatility will continue, how are you viewing the credit landscape today? How should a prudent investor behave in the uncertain period ahead?

Armen Panossian: Having an appropriate perspective on the credit environment right now requires an understanding of the nuances of the coronavirus situation. In particular, credit investors should consider the impact of this situation on businesses and industries, and the ensuing risk of principal loss. One should also be attentive to the second- and third-order effects on broader economies, industries and households.

Our current assessment of markets includes a study of how different segments are behaving. Certain areas are trading down because they are directly affected by coronavirus; others are trading down as well, but not by as much. For instance, high yield bonds or senior loans that do not have direct exposure to oil and gas may be down by more moderate amounts, measured in mid-single digits. These securities are also falling on very little volume. Unlike in the Global Financial Crisis (GFC), we aren’t seeing much if any forced selling at this time.

So, in this environment, we’re watching for potential disruptions and more attractive trading prices. We’re looking for situations where good companies – unrelated to either commodity energy or coronavirus risk – are trading lower due to market technical (i.e., supply/demand considerations). Building a diversified portfolio of “baby-out-with-the-bathwater” situations is a priority. I’ll add that investment grade credit may also present an opportunity to the extent that the uncertainty around coronavirus creates outflows from retail IG accounts and/or downgrades of BBBs into high yield bond territory.

Thankfully, leading up to this situation, we at Oaktree had positioned our portfolios conservatively, in line with our mantra for many years to “move forward, but with caution.” For example, our portfolios have had reduced energy exposure relative to benchmarks, and we haven’t held much debt of highly leveraged companies. We believe this has helped position our portfolios favorably as we kept an eye out for opportunity. Still, there are fast-developing technicals in the markets that defy prediction. Market volatility and risks will likely persist for quite some time. I think we’re likely to see security prices go lower before they stabilize, and we can’t tell what sort of a recovery might be staged: V-shaped or otherwise. In any case, we are actively engaged and watching for opportunities, especially in industries where the virus is not a direct threat to companies’ performance. We also want to be sure we’re prudent in the way we’re deploying capital, because being too early can be as problematic as being too late.

Bruce Karsh: How about Europe? What’s been the impact there so far? Share with us how the situation has impacted European high yield bonds and senior loans.

Madelaine Jones: It probably didn’t help that in January investors were extremely relaxed about the environment in Europe, pleased that there had been a resolution to the trade war and Brexit. So yield spreads were at modest levels before their swing dramatically higher when the virus’s effects started to become more severe. We’re now seeing spread levels in European credit not seen since 2012.

The market’s assessment of virus-related risks has evolved over the past few weeks, from the issue initially being mostly about China to something much more comprehensive. Europe is an export-led market. Germany in particular counts on global supply chains and the free flow of trade, especially for exports to China in the auto, chemicals, commodity and industrials sectors. So really, the first ramifications were seen in those cyclical sectors having to do with German exports and Chinese demand. Now, as we all know, the virus has spread across Europe and is having a much broader and harsher impact on markets; public events, hotels, travel, leisure — all of these segments of the market are being scrutinized.

As for the asset classes specifically, we’ve seen a sharp reaction, particularly in high yield bonds. But eventually the market has come to a point of trying to sift through information and be more rational about separating out the very exposed parts of the markets and the less exposed. So there’s a delineation of risk in European high yield bonds. Similar to the U.S., there’s not a lot of forced selling on the part of ETFs, certainly not in the loan market. But regardless, we are seeing parts of that market repricing as well.

In terms of sectors, energy has certainly taken a beating. European credit generally has very little exposure to this area, about 4% for high yield bonds and essentially none for loans. So the risk vis-à-vis the oil crash, lower global fuel demand and related volatility in that sector is relatively low. There is instead a clustering of risk around the cyclicals and the travel and leisure companies.

Bruce Karsh: Let’s briefly turn to defaults and recoveries. What’s the outlook for default rates?

Brendan Beer: With growing uncertainty over coronavirus’s economic implications, we may be starting to see a cyclical pattern when it comes to defaults. Credit problems in the recent past have been mostly idiosyncratic, involving companies that had significant exposure to, for example, litigation in the pharmaceutical space, balance billing regulation for healthcare services, failed asset sales, increasing irrelevance of certain types of retail stores, etc. Some of these businesses that did default ended up having very low recovery rates for first lien lenders, but in any case the legacy issues were borrower-specific.

What you’re seeing now are companies returning rapidly to a cyclical narrative. Businesses that are overleveraged, can’t make payroll, can’t pay their leases, can’t service their debts — these companies may have to restructure. Default rates remained remarkably low for ten years as companies borrowed and reborrowed, thanks to easy and cheap credit, but we’re now seeing cyclical default expectations pulled forward.

We might also see companies that are otherwise doing fine but just can’t make it through this extraordinary period dominated by the real and perceived effects of coronavirus. These companies might need to restructure, but in those cases we can probably expect healthy recovery rates.

Bruce Karsh: Real estate debt has been relatively calm. But how are things looking underneath the surface? Have there been problems brewing?

Justin Guichard: Being relatively calm is what we’d generally expect real estate debt to do, given the defensive characteristics of the asset class such as low volatility and limited correlation with other asset classes, with an attractive income component. But even within real estate debt, some sectors such as retail and hospitality are judged to be more vulnerable in this environment.

We’ve been conservatively positioned coming into this period, with negligible exposure to retail and relatively low exposure to hospitality. That’s because we simply didn’t find the risk premium associated with those areas to be attractive. The further we moved away from the GFC, the less the memory of the dramatic volatility from the crisis resonated with investors. So risk premiums compressed to a point where we didn’t see much value.

Now we are out looking for opportunities in areas that we think will hold up well in these challenging times. The good news is that many companies in our portfolios are ones we’ve been tracking since the GFC, so we can look back at how they performed then. This historical perspective is quite valuable as we assess how they will perform in the current scenario.

Wayne Dahl: I would add that this is all part of a relative value decision that we’re trying to make in the context of a multi-strategy credit portfolio. It’s important for us to try to generate low-volatility income. The yield available from real estate debt might seem low on an absolute basis, but the relative lack of volatility associated with the asset class has the potential to pay off at a time like this. We’ve discussed in detail with our investors our view that traded real estate debt has tremendous value as a protective force.

Bruce Karsh: Speaking of relative value, in terms of both “sector” and “asset class,” what areas do you think look more vulnerable or more attractive than others?

Armen Panossian: Travel and leisure, and certainly oil and gas, look to be most vulnerable today, and related securities might take years to recover. More specifically, I’m concerned, given what’s been going on with Saudi Arabia, OPEC and Russia, about the longer-term impact on the oil and gas complex in the U.S. We may see a re-evaluation of whether the domestic U.S. oil and gas industry is competitive globally. In the meantime, capital is unavailable to the U.S. energy industry. As this situation works itself out, we may see interesting infrastructure assets that trade down in sympathy with the broader industry despite having value independent of oil and gas production in the U.S. When negatives are overrated, that can create enhanced relative value for those who will buy.

Madelaine Jones: From the European credit side, small companies that have liquidity issues or have sponsors that cannot ride out this temporary supply/demand situation are what we view as particularly vulnerable.

Wayne Dahl: As for relative value across asset classes, I’m considering factors such as (a) yields, which have increased in liquid credit, and (b) interest rates, which are falling and can impact coupon rates for floating-rate assets. It’s also notable that certain tranches of collateralized loan obligations (CLOs) would need default rates to exceed 20% today in order to lead to a dollar loss in principal. So given these circumstances, I’d say CLOs are relatively attractive. I also see relative value in real estate debt given its defensive nature, low volatility and low correlation to broader markets.

Bruce Karsh: I continue to like real estate debt for the same reasons. There’s been a bubble in corporate debt, I think, and much less so in real estate, where the underlying debt is supported by a reasonable balance between supply and demand.

Oaktree continues to place great importance on downside protection, bottom-up security selection, and relative value assessment. We’re actively evaluating potential dislocations as situations evolve to ensure our Global Credit portfolio is well positioned to capture opportunity while withstanding volatility. As Sergeant Phil Esterhaus would say on “Hill Street Blues” — my favorite TV show — “Let’s be careful out there.”

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