译者  王为

BBB Bond Downgrades Added USD 88 Billion to the High-Yield Bond Market YTD

by Hong Xie

In recent years， one noticeable development in the corporate bond market has been the rapid growth of the BBB bond market in terms of its absolute amount and relative share of investment-grade corporate bonds． We wrote a blog on this topic in May 2019 detailing the growth of the BBB bond market and its impact on the credit fundamentals of the overall investment-grade bond sector． As of May 2020， BBB corporate bonds grew by 214% to USD 3.6 billion over the past 10 years， while their share in overall investment-grade bonds increased from 38% to 54%．

近年来美国公司债市场上出现了一个相当引人注目的变化，BBB评级公司债的总量在美国投资级债券市场上的相对占比出现大幅增长。我公司曾在2019年5月份就这个主题发表过一篇博客文章详细阐述了美国BBB级公司债市场的壮大历程以及对整个美国公司债市场的信用评级构成所产生的影响。在截止到2020年5月份的过去十年里，美国BBB级公司债市场的规模增长了214%至3.6万亿美元，在整个美国公司债市场的占比从38%升至54%。

Prior to the recent market turmoil due to COVID-19， the rapid increase of BBB bonds had already raised concerns among investors that the high-yield bond market might have difficulty absorbing a wave of potential downgrades with a credit market correction． Some investors have been paying closer attention to the rating outlooks for BBB bonds to monitor their overall credit quality． In this blog， we review the historical composition of BBB bonds with negative credit outlooks and the annual transition of bonds that started the year with BBB ratings but were downgraded to join the high-yield bond index by year-end． The BBB bond and high-yield bond universes are represented by the S&P U.S． Investment Grade Corporate Bond BBB Index and S&P U.S． High Yield Corporate Bond Index， respectively．

在近期新冠疫情引发的市场动荡爆发之前，BBB级公司债的快速扩张已经招致投资者担忧美国高收益债市场可能难以招架伴随着美国信用债市场行情调整而来的发行人降级大潮的侵袭，一些投资者一直在高度关注BBB级公司债的信用评级展望以及时了解该板块的整体信用状况。在今天这篇文章中，我们将回顾评级展望为负面的债券以及在各年份年初时评级为BBB级但年末时已被将至垃圾债级别的债券在美国BBB级公司债市场中所占比重的变化情况，美国BBB级公司债和高收益债的走势分别用标准普尔美国BBB级公司债指数和标准普尔美国高收益债指数来代表。

Exhibit 1 compares （1） the share of BBB bonds with a negative S&P Global ratings outlook at the beginning of the year and （2） the share of BBB bonds that were downgraded to join the high-yield bond index by year-end． Historical data since 2007 shows that， as expected， BBB bonds with a negative rating outlook were not always downgraded to a high-yield rating within a year’s time （2010-2015）． However， as of June 16， 2020， 2.5% of BBB bonds had been downgraded to high-yield bonds since the beginning of the year， higher than the average of 1.0% over the past three years．

下图1中，浅蓝线代表的是各年年初标准普尔评级展望为负的BBB级公司债在整个美国投资级公司债市场的占比，深蓝线代表的是各年年末评级被降至垃圾债级别的BBB级公司债在标准普尔高收益债指数中的占比。2007年以来的数据显示，正如市场所预期的，在2010-2015年期间各年年初评级展望为负的BBB级公司债并不都会在当年年末被降级至垃圾债级别。但截止到6月16日，在2020年初评级尚为BBB级的美国公司债中有2.5%的债券已被降级至垃圾债级别，高于之前三年1%的均值。

Exhibit 2 shows the annual transition of BBB bonds to the S&P U.S． High Yield Corporate Bond Index from the beginning of the year to the end of the year． The share of BBB bonds that were downgraded to below an investment-grade rating has been on the rise since 2019． As of June 16， 2020， 5.2% of the S&P U.S． High Yield Corporate Bond Index came from the S&P U.S． Investment Grade Corporate Bond BBB Index as of the end of 2019， the highest since 2009 and 2016． These fallen angel bonds from the BBB rating alone have added USD 88 billion of supply to the high-yield bond universe so far this year．

下图2显示的是各年年初评级尚为BBB级的美国公司债到了年末被降至垃圾债级别后进入标准普尔美国高收益指数覆盖范围的信用迁移比率走势。BBB级公司债在年末跌至投资级以下的比率自2019年以来一直在上升，截止到6月16日，在标准普尔高收益债指数中有5.2%的成份券在2019年年末时的评级还是BBB级，为2009年和2016年以来的最高点。光是这些原为BBB级的折翼天使就导致今年以来美国垃圾债市场扩容了880亿美元。The credit market has seen a significant widening of spreads during the COVID-19 selloff． With the Fed’s aggressive measures of purchasing corporate bonds and ETFs， credit spreads have retraced 83% and 72% of the recent widening in the investment-grade and high-yield bond markets， respectively， as of June 16， 2020． However， as Fed Chairman Jerome Powell warned this week， a full U.S． economic recovery will not occur until the pandemic has been brought under control， and significant uncertainty remains about the timing and strength of the recovery． A slow economic recovery combined with plunging oil prices should keep pressure on credit quality and rating downgrades． Rating downgrades in BBB bonds particularly could contribute meaningfully to the supply of high-yield bonds and need to be closely monitored．

自新冠疫情引发信用债市场大抛售以来，美国信用债的利差水平出现大涨。随着美联储大举买进美国公司债以及跟踪美国信用债走势的交易所交易基金，美国投资级公司债和高收益债的利差水平到6月16日为止已分别回落了83%和72%。但美联储主席鲍威尔在本周发出警告称只有在疫情得到完全控制后美国经济才有可能全面复苏，复苏的力度和时间节点等方面仍存在巨大的不确定性。经济复苏的进程比较缓慢再加上油价低迷有可能会给美国信用债市场的整体信用状况以及评级的下调带来很大压力。尤其是，BBB级美国公司债的评级一旦出现下调有可能会大幅增加美国垃圾债的供给，因此其动向值得密切关注。