Anleihen im Volumen von einer Billion US-Dollar bedrohen das Finanzsystem

In meinem Kommentar für die WirtschaftsWoche Online in der letzten Woche habe ich am Beispiel von GE auf die Gefahren im Markt für Unternehmensanleihen hingewiesen. Passend dazu ein Beitrag von Zero Hegde aus dem Oktober, der eine Studie von Morgan Stanley zitiert. Demnach sind immerhin Anleihen im Volumen von einer Billion US-Dollar im Zuge der (unweigerlich einmal kommenden) nächsten Rezession gefährdet, von Investment- auf Junk-Niveau herabgestuft zu werden:

  • „Morgan Stanley’s Adam Richmond, put it all together and warned that more than $1 trillion of investment grade US bonds could be cut to junk once the credit cycle turns, and warned that with US corporate spreads near record tights, investors aren’t being compensated for the risk. As Richmond explains, a consistent rule of thumb that he has lived by when looking for problems in credit cycles: Follow the debt growth, and nowhere is it more obvious than in the outstanding amount of BBB investment grade debt which has grown to $2.5 trillion in par value today, a 227% increase since 2009, and just over 50% of the entire IG index.“ – bto: Und wie immer ist es ein ernstes Gefahrenzeichen, wenn Schulden schnell wachsen.

Quelle: Morgan Stanley, Zero Hedge

  • „To get a sense of just how large the risk of fallen angels in the US is, consider that like in Europe, the BBB part of the IG index is now ~2.5x as large as the entire HY index. The majority of the increase in BBB debt in this cycle stems from net issuance ($1.2 trillion), followed by downgraded debt ($745 billion).“ – bto: Es konnte nur so verkauft werden, weil die Investoren dringend nach Anlagemöglichkeiten gesucht haben.

Quelle: Morgan Stanley, Zero Hedge

  • „(…) the growth in BBB debt outstanding is not being skewed by a single sector or a small part of the market. Yes, large issuers have grown significantly. For example, the top 25 non-financial BBB names have a total of $685 billion in index debt (up from $257 billion in 1Q09) and median debt of $20 billion (up from $9 billion in 1Q09) . But the number of BBB issuers has also increased by 60% since 2009, while all sectors have increased BBB debt, large and small companies alike. However, the composition has changed significantly. For example, only 6 of the top 25 issuers from 2009 are still in the top 25 today and 7 of the names in today’s list have resulted from downgrades. TMT and Healthcare are again well-represented at the top, totaling $351 billion, or 51% of the top 25 names, up from $104 billion in 1Q09. Many of these issuers have seen debt loads grow as a result of M&A.“ – bto: Sie haben sich also hoch verschuldet, um dann mit dem Geld andere Firmen zu übernehmen.

Quelle: Morgan Stanley, Zero Hedge

  • „Morgan Stanley’s IG fundamental universe of non-financial US names has median BBB gross leverage is 2.55x, vs. 1.98x for As. Gross leverage has ticked modestly lower very recently, as strong earnings growth and slowing debt growth have helped at the margin, but absolute leverage levels remain quite elevated, especially compared to past late-cycle  environments. Meanwhile, interest coverage has declined steadily since 2014, particularly for BBB issuers, vs. some recent improvement in interest coverage for the A-rated universe. This is only worsen as rates keep rising.“ – bto: weshalb das Rating auch zu gut ist für die Qualität.

Quelle: Morgan Stanley, Zero Hedge

Was man auch hieran sieht: „Additionally, BBBs make up the majority of the leverage „tail“, with 31% of BBB debt in our universe now leveraged at or above 4.0x.“ – bto: eben gefährlich nahe an Junk.

Quelle: Morgan Stanley, Zero Hedge

  • „(…) according to Richmond’s calculations, a whopping 55% of BBB debt would have a HY rating if rated based on leverage alone: this is a staggering number and is greater than the current size of the entire junk bond market. Breaking down the implied ratings of BBB companies only, MS finds the that Healthcare, Telecom, and Consumer Staples (along with Energy) account for a large portion of the debt with implied HY ratings.“ – bto: Klare Aussage, kann man da nur sagen.

Quelle: Morgan Stanley, Zero Hedge

So what does this mean big picture?

  • „(…) as a result of the tremendous debt growth and the decline in fundamentals in the current cycle, Morgan Stanley thinks BBBs will be one (of a few) stress points when the cycle does turn. Downgrade activity will likely be meaningful, and – as noted above – when thinking about other markets that could feel the effect, remember the BBB part of the IG index is now ~2.5x as large as the entire HY index.“ – bto: Und damit würde eine Kreditkrise sich rasch ausweiten.

Quelle: Morgan Stanley, Zero Hedge

  • „Looking at the past three cycles, broad downgrade waves tend to last 2-4 years and tend to coincide with a recession at some point as well as with elevated high yield defaults. (…) in the last three broad downgrade cycles (1989-91, 2000-03, and 2007-09) 7-15% of the IG index was downgraded to HY over the full period. Based on the size of the market today, that would equate to roughly $350-750 billion of total downgrades this time over a multi-year period. However, note that half the market is already BBB rated, compared to just 27% before the 2000-03 downgrade wave. So, adjust for the size of the BBB index over time, downgrade volumes in the next cycle could be even larger, rising as high as $1.1 trillion as shown below.“ – bto: Und damit würde es einen enormen Druck auf die Preise geben, was wiederum den Abschwung beschleunigen würde.

Quelle: Morgan Stanley, Zero Hedge

  • „(…) liquidity challenges come from four drivers:
  1. Credit markets have grown significantly in this cycle.
  2. A large volume of bonds will have to change hands at some point, discussed in the downgrade analysis above. As we show the BBB par outstanding in the IG index is now ~2.5x as large as the full HY index.
  3. The buyer base of US credit has shifted in this cycle, with a greater percentage of bonds now held by mutual funds/ETFs and by foreign investors, which may impact the stickiness of the flows into or out of US credit as spreads are widening (a topic for another time).
  4. the capacity to absorb risk on the way down is modest, with dealer balance sheets much smaller than pre-crisis levels.

However, while the $1 trillion in downgrades (worst case scenario) will roil the junk bond market, as demand tumbles once the total size of the market effectively doubles, leading to an explosion in bond spreads, the good news is that the big wave of downgrades will likely not come until credit spreads are much wider than they are today, which will take time to play out at least according to Richmond.“ – bto: Da wäre ich mir nicht so sicher, kann auch gut sein, dass es diesmal aufgrund der fehlenden Liquidität richtig schnell nach unten geht.

Quelle: Morgan Stanley, Zero Hedge

→ zerohedge.com: „The Next Bond Crisis: Over $1 Trillion In Bonds Risk Cut To Junk Once Cycle Turns““, 7.Oktober 2018

8 Kommentare
  1. Dietmar Tischer sagte:

    >… the good news is that the big wave of downgrades will likely not come until credit spreads are much wider than they are today, which will take time to play out at least according to Richmond.“ – bto: Da wäre ich mir nicht so sicher, kann auch gut sein, dass es diesmal aufgrund der fehlenden Liquidität richtig schnell nach unten geht.>

    Ich wäre mir da auch nicht so sicher, aber aus einem anderen Grund.

    Was Morgan Stanley darlegt, nehmen viele Anleger zur Kenntnis und zwar ganz sicher auch solche, für die dreistellige Millionenbeträge Geld in der Portokasse sind.

    Ist es AUSGESCHLOSSEN, dass diese Anleger angesichts einer als bedrohlich eingeschätzten Entwicklung – einer Entwicklung, die erst einmal nichts mit downgrades und mit fehlender Liquidität zu tun haben muss – Kasse machen und Junkbonds in signifikantem Volumen verkaufen?

    Ich halte das nicht für ausgeschlossen.

    Natürlich gibt es auch hier wieder eine Lösung:

    Die Notenbanken springen als Käufer ein.

    „Billion“ ist kein Problem.

    Notenbanken sind noch nie an großen Zahlen gescheitert.

    Antworten

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