約審查

2021年4月29日

2021年4月29日，下午6點14分(彭博社)——這隻是幾百頁法律術語中的幾個錯誤的單詞。但它們最終可能讓美國杠杆貸款投資者損失數十億美元的利息。而且，如果分析師沒有發現這個問題的話，這個數字可能會高得多。(彭博社)——這隻是幾百頁法律術語中的幾個拚寫錯誤的單詞。但它們最終可能讓美國杠杆貸款投資者損失數十億美元的利息。而且，如果分析師沒有發現這個問題的話，這個數字可能會高得多。“人們沒有注意到這一點，”《盟約評論》的伊恩·沃克說，他在兩個月前就把這一缺陷放在了聚光燈下。“然後人們開始恐慌。”這個問題源於一個事實，即倫敦銀行間拆放款利率(Libor)將在2023年年中消失，並被其他利率所取代。Libor是1.2萬億美元銀行業的利息支付水平的決定因素之一。2008年金融危機後，利率降至接近於零的水平，借款人開始插入保證最低利率的措辭，以吸引投資者，即便當時倫敦銀行間同業拆借利率(Libor)處於極低水平。 Many loans issued since 2017 describe how they’ll transition over to Libor’s replacement but offer little or no boost for that fallback benchmark in a low-rate environment. That didn’t matter much before the pandemic, since rates had rebounded to more normal levels. But then Covid-19 panic and the Federal Reserve’s response drove rates back down almost to zero. And they may be stuck there a long time, given the Fed’s plan to suppress them for years. That means a loan that currently pays 4% annually could pay as little as 3% once Libor disappears. Wake-Up Call Covenant Review drew attention to the problem two months ago. In a report, the credit research firm pointed out that about a fifth of leveraged loans it sampled had this flaw. The fraction was even higher for the newest deals. In January and February, it was about 30% of loans sold to investors. The reaction to Covenant Review’s warning was immediate. Zero deals in March had this issue with the rate floor, suggesting a revolt among buyers of the debt. “This impacts the economics,” said Covenant Review’s Walker. “Everyone will push back.” For many of these deals, the lawyers had attempted to include a floor for the replacement rate. But rather than using the typical figure of up to 1% used with Libor, they effectively set it at zero or something close to it. The difference in returns for floating-rate loans in a post-Libor world could be material. The one-month dollar version of Libor fell below 0.5% in April 2020 and currently sits near its lows at 0.11% -- but investors get more than that. The Secured Overnight Financing Rate, the leading candidate to replace Libor in the U.S., is even lower: 0.01%. A $2 billion loan with a 1% Libor floor would deliver about $69 million less in interest payments over five years if it lost the floor when shifting over to SOFR. Extrapolate that across the entire market, and it’s big money. And while new loans may have resolved the issue -- representing a reprieve for investors after seeing their protections erode -- the problem will persist for loans issued before investors awoke two months ago. Read More: Crisis-Era Libor Protection Stages Comeback in Leveraged Loans Not everyone is worried. The recent swell of inflation fear in markets could spark a rise in rates, making floors irrelevant when Libor expires in two years. “A lot can happen between now and then,” said Tom Shandell, chief executive officer of Marble Point Credit Management, the investment adviser of Marble Point Loan Financing Ltd. “Who knows where rates will be at that time?” ©2021 Bloomberg L.P.