GARP 翻译：商业借贷的失衡以及若隐若现的衰退

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Commercial Lending Imbalances and the Looming Recession

Ominous signs of another crisis can be found in leveraged lending, and commercial real estate bears watching as well. What are the risks and vulnerabilities in these markets?

Stress testing, up until now, has basically been a theoretical exercise. Growth has been slow but steady and the imbalances that can trigger recessions have largely been absent. However, with many now calling for a 2020 U.S. recession – and with Brexit looming – we may soon find out whether stress tests actually work when applied in the real world.

With these developments in mind, bankers are steeling their nerves and taking a keener interest in what their credit loss models are currently telling them. Most models are trained on data from the Great Recession, but the next event looks like it will be a horse of a rather different color. The condition of the banking system in 2019 is also quite distinct from that which existed back in 2007, on the eve of the last major economic crisis.

Given these realities, it is prudent to consider the state of the industry and identify products that may be especially vulnerable given the nature of the anticipated recession. Under this lens, one asset class stands out: commercial lending.

While the 2008/09 downturn was caused by excesses in consumer lending, the hypothetical 2020 recession may well be driven by trade frictions that will impact the commercial sector head-on. Consumer loans, stung by their terrible performance during the last recession, are now likely to play second fiddle.

Commercial loans have generally exhibited historical recession behavior that is product-specific. During the 2001 recession, commercial and industrial (C&I) lending suffered disproportionately high losses while commercial real estate (CRE) was barely touched. This was because the immediately preceding dot-com boom brought with it high levels of risky C&I lending.

Conversely, the CRE industry at the time – cognizant of the burns it had sustained during the disastrous 1990 recession – steered clear of all major heat sources through much of the subsequent decade. The Great Recession did see high loss rates in both products, but this result was due primarily to the depth of the downturn.

CRE Risks

The concept of a “hot” market is highly pertinent in determining which lending products are most at risk. If a particular product has experienced a long period of above-average growth, it is likely that lenders relaxed their normal standards to prolong it. A hot market is not a necessary condition for a product to experience recession-era problems, though it is often a sufficient one.

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Though heat is largely absent in the CRE market at present, many models are suggesting high potential losses in the looming recession. This is a recognition of the fact that the quality of underwriting, in addition to its scope, is a key determinant of recession-era performance for all products.

The startling feature of the CRE market at present is that cap rates – net operating income divided by the market value of collateral – are rapidly declining and are already at an all-time low. (See Figure 2, below). The CRE market has never entered a recession where income generation had been so poor relative to property valuation during the preceding expansion.

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Declining cap rates are strongly associated with higher rates of default in loan-level CRE models. It is unclear how ultra-low cap rates interact with the broader economic cycle, since we are now well outside the domain of historical recession-era data. CRE lenders may have erred in choosing to extend credit in the context of such low cap rates; risk modelers are right to be cautious in making pessimistic stress projections in the current environment.

Leveraged Lending Vulnerabilities

The area with the most heat in the commercial sector is leveraged loans. Growth in these assets has been global in nature and was spectacular right up until 2017. Some have likened this trend to the rise of subprime mortgages in the mid-2000s.

The nature of leveraged loans is that they are made to riskier corporations, generally with weak or non-existent loan covenants in place to protect lenders. Once originated, they are either held on the balance sheet of banks or packaged into collateralized loan obligations and sold to other investors, sometimes including other banks. Leveraged-loan growth slowed in 2018, suggesting some amelioration of risk, though this may be cold comfort for those already holding large exposures.

Given the risky nature of leveraged loans, the sector could be vulnerable to a recession centered on the commercial sectors of the economy. With that said, adjectives can sometimes be misleading – just because a borrower is “leveraged” or “subprime” does not necessarily imply certain doom. But not diligently underwriting these adjective-laden borrowers generally does.

The corporate-lending landscape is a diverse place; apart from the rise in leveraged lending, the C&I market appears to be well balanced. The industry suffered from the effects of a mini-recession in 2016 that mainly affected oil and gas producers. That event caused lenders to tighten underwriting standards and slow the rate of new loan origination.

Parting Thoughts

If the 2020 recession comes to fruition, commercial lenders may view the minor difficulties of 2016 positively, since they acted as a release valve, improving the state of the industry’s books on the eve of more troubling times.

So, for those looking for potential recession crises in the banking sector, low CRE cap rates and the extraordinary rise of leveraged lending appear to be the most likely contenders.

Here’s hoping that the next recession is short, mild or non-existent. As a stress tester, not knowing whether your efforts will make any difference is the best possible situation.

Tony Hughes is a managing director of economic research and credit analytics at Moody’s Analytics. His work over the past 15 years has spanned the world of financial risk modeling, from corporate and retail exposures to deposits and revenues. He has also engaged in forecasting of asset prices and general macroeconomic analysis.

商业借贷的失衡以及若隐若现的衰退

我们往往能从杠杆借贷中找到新的危机来临的征兆，商业地产也被持续的观望。在这些市场中，我们能够找出什么样的风险以及薄弱点呢？

压力测试，如今来说已经成为基本的理论性实践。增长虽然缓慢，但是却稳定，能够出发衰退的不平衡也很长时间没有出现了。然而现在很多人预计2020年美国即将迎来衰退，随着英国退欧的临近，我们很有可能明确，压力测应用在现实世界中，到底是否真正有价值。
保有着以上的种种想法，银行家们绷紧了神经，密切关注他们自身的信用损失模型提供的信息。大多数模型都经过了大萧条时期数据的测试，但是下一个事件目前看来与大萧条有着天壤之别。2019年银行系统与2007年大经济危机前夕的系统存在的很大差别。
在这样的现实情况下，必须谨慎的认为，在预期衰退的前景下，工业及生产将会尤其脆弱。基于上述的背景，有一个资产类别就变得尤为重要，那就是商业借贷。
当08/09年的衰退是由于过度的消费信贷，2020年的衰退，很有可能是由于贸易摩擦，对商业形成巨大的冲击。个人消费信贷，在上一次衰退中的糟糕表现刺痛人心，目前看来很有可能退居二线。
商业贷款一般表现出特定于产品的历史性衰退。在2001年的衰退中，商业与工业借贷经历了极高的损失，然而商业地产（CRE）却毫发无损。这是由于之前科技股泡沫带来的高风险商业与工业借贷。
相反的，CRE 行业在1990年遭受了重创，并在接下来的10年中一蹶不振。大萧条的确造成了两种资产的高损失率，但这样的结果主要是由于衰退的深度所导致的。

CRE 风险

哪些借贷资产的风险越高，直接反应了该市场是否是一个“过热”的市场，如果一个特定的资产已经经历了很长一段时间的超出平均值的增长，这很有可能是借出方放松了一般的标准拖延所致。一个过热的市场并不一定是一个资产必须经历衰退的必要条件，尽管通常是这样。
尽管说目前来看，CRE市场并不火热，很多模型都显示出在即将来临的衰退中将产生极大的潜在损失。底层资产的质量，在这种条件下是决定该资产在萧条时期表现如何的重要决定性因素，这个观点已经达成共识。
CRE市场有个惊人的地方，那就是投资回报率 - 净营运收入除以抵押品的市场价值 - 在迅速的下降，并且已经几乎达到了历史最低。如图2，相较于持续增长期间的资产估价，CRE市场从未经历过收入增长如此窘迫的衰退。

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降低的投资回报率伴随着贷款模型显示出的高违约率。超级低的投资回报率能如何影响到更广泛的经济周期这一点并不完全清楚，因为目前我们并未掌握历史萧条时期的数据。CRE的投资者可能会错误的基于如此低的投资回报率，而选择扩大信贷。风险建模师在现今的条件下进行悲观压力测试时，采用谨慎的态度是完全正确的。

杠杆贷款的脆弱性

商业领域最火热的就是杠杆贷款了。直到2017年，这些资产一直持续增长，而且是全球性的。一些人将这一趋势比作2000年代中期次级抵押贷款的上升。
杠杆贷款的一个属性是：它是被用来提供给高风险企业的，一般来说，薄弱的，甚至于不存在贷款合约对放款人予以保护。一旦发行，要么被银行放到资产负债表之中，要么打包做成CLO卖给其他投资人，有时候也会转让给其他银行。2018年，杠杆贷款的增速放缓，建议对此种产品风险的改善，不过对于那些仓位特别重的人来说毫无意义。
鉴于杠杆贷款的风险本质，此资产会在以商业领域经济衰退为中心的情况下变得极为脆弱。这句话的意思是，形容词有时候会产生误解。仅仅是因为一项资产顶着杠杆或者刺激的字眼，并不一定导致毁灭。但是不停的借入这种类型贷款的借款人，往往会迎来毁灭。
企业借贷领域是非常多元化的，除了杠杆贷款的崛起，C&I市场领域显得还比较平衡，工业遭受了一个迷你衰退在2016年，主要影响了石油天然气的生产者。这个事件导致了借款人收紧了借贷标准，放缓了新的借款。