此内容来自:APP亚博娱乐

特别报告:您需要的固定收入洞察力

2019年11月思想领导地位固定收入和信用报告

Faced with declining interest rates and elusive yield, fixed income investors are on a quest for solutions to these challenges. In this special report, we discuss such solutions, including a strategy that unearths value across the capital structure in corporates, and creating a portfolio with the right balance between long duration public and private credit.

1在资本结构上找到价值

Independent research identifies opportunity along the quality spectrum.

目前信贷市场的国家需要鹰眼的眼睛来识别选择性的机会。他们不容易找到,这就是为什么Bryan Krug,创始艺术家合作伙伴信贷队的投资组合经理那underpins his high-conviction investment process with deep fundamental – and independent – credit research. II recently spoke with Krug about the work behind the process that invests across the capital structure, and why it’s a difference maker.


How would you sum up your investment philosophy?

We are value-based investors. We invest across the capital structure and the risk spectrum, and we look for opportunities of dislocation and mispricing. Where we get our edge is through our fundamental credit research process.We do independent work。我们不仅与公司的管理层讨论,也与供应商,竞争对手,前员工等等,并通过这些谈话,我们能够独立三角化的谈话与公司发生的事情。根据我们从该研究中出现的观点,我们确定了我们认为提供最佳风险调整回报的资本结构的债务部分的一部分。而且,我们有一个集中的投资组合,其中我们最好的想法有意义地通过循环影响性能。


你能给我们一个例子吗?

我们有一个全职数据科学家通过公共和私人数据来获得更深入的理解,这反过来允许我们确认或拒绝投资论文。在一个例子中,有一家餐馆公司在被买出来的过程中,同样的商店销售看起来相对稳定,他们的边缘看起来要改善。在表面上听起来合理且稳定。但是,当我们通过替代数据方法挖掘到底层数据时,我们发现流量下降了两位数,并且通过双数字价格增加抵消。在这种情况下,企业的核心健康显而易见。这场战略只是长期不可持续。这是我们使用独立数据获得的增量洞察力。

您将专注于确定您应该在公司的资本结构上定位的地方?

我们根据我们的独立研究,对业务轨迹构成了一个基本观点。有了这个观点,我们预计财政杠杆如何通过资本结构的不同部分工作。通过每个资本结构,我们通过执行资本市场交易来评估到期性概况和公司的机会,以便通过执行资本市场进行资本结构 - 然后我们识别出一个最佳风险调整的回报的债务。一般来说,如果我们更具建设性的材料信贷改进,我们可能会在资本结构中或在最有可能经历最容易蔓延的资本结构中更加初级。

是否更复杂的资本结构意味着有更多机会?

资本结构的发展,随着契约的变得宽松,债务人有机会和灵活性,他们不会有10或15年前。灵活性有时会使初级资本可能变得比债券表明更加高级资本。因此,有时候一张少年纸实际上可以再融入更高级债务,因为文件一般都更加发行友好。虽然我们正在进行深度潜水的公司,但我们也深入潜入文档,了解发行人的灵活性。这是重要的,值得的,因为市场往往无法预料到这些潜在的交易,这为我们创造了机会。

您的投资过程中的一些其他关键差异化有哪些?

我们投资完整的质量频谱,当我们进入较低的等级时,我们非常有选择性。有许多企业拥有强大的商业模式,具有良好的杠杆化资产表。我们认为,作为我们许多同龄人会避免的机会。您可以拥有CCC评级,这可以是CCC债券,其股权下属的资本结构的50%。所以,我们认为减值风险很低。我们认为,很多同龄人都倾向于更高的质量,这是市场上最有效的部分,在那里有很少的区分能力。

Another is that investing across the capital structure has clear benefits to mitigate risk. We tend to think on a risk-adjusted basis, by investing across the capital structure you can have different outcomes among securities of the same company. For example, if a company were to test a financial covenant, that would be a negative event for a bond, but it could actually be a positive event for the term loan. So, our ability to flex between bonds and loans gives us the advantage of a broader opportunity set to express our views.

Another differentiator is that we’re cash-flow lenders as opposed to asset-based lenders. The reason is because cash flow is what will ultimately pay back our invested capital – it’s much more real. Asset value is great theoretically, but it is also tied to cash flow. In the event of a deterioration, the asset value collapses. A good example is in energy, when higher oil prices became lower, asset value fell apart pretty quickly, and investors who thought they were protected by asset value were actually impaired.

您有重大的贷款曝光,这意味着您可能会密切关注承销。在这方面,你注意到了什么趋势?

我们在低于投资级市场中看到了几个趋势。高产债券市场已经转变为高档,更高质量的市场。最近几年的大多数承保人都是更高的质量发行。例如,CCC新发布的金额在历史平均值以下。在贷款方面,它一直比过去逐步更具侵略性,并且文件已经放松了。此外,初级债务资本迁移到私人信贷解决方案的大规模趋势,因为它已成为更强大的融资来源,在某些情况下,私人市场比公共市场替代品更便宜。


How do you size up the current investment environment overall?

在我看来,这是一个奇怪的投资环境。在中央银行活动上全球焦点很多。如果您查看全球债券产量 - 估值基础的定价,他们是估价的经济型环境。股票市场根本不是衰退的定价。这是一种非常奇怪的动态,通过流动性诱导的干旱促进,并由中央银行广泛集中起来。中央银行政策是钝器的。正如我们看着市场上的估值,特别高的质量债券,它们在蔓延和产量的基础上非常昂贵。因此,我们正在展示我们投资于评级谱的能力。在我们看来,BB债券昂贵并且已经收紧到相对没有吸引力的水平。我们认为我们可以通过购买B贷款来接收传播,即在贷款到价基础上合理地接近一些BB债券。 That’s an opportunity we’re seeing in today’s market.

Because the lower grades of the credit market have lagged dramatically, we think there are selective opportunities that could achieve equity like returns. Rising dispersion across credit quality has led to increased alpha generation potential through credit selection. These tend to be more idiosyncratic names that’s often overlooked by the market.

Take an in-depth look at the investment process behind this interview.



披露
表达的观点是出版日期的布莱恩克鲁格的观点。工匠合作伙伴对讨论中任何陈述的准确性或完整性不负责。本材料提供信息目的,而不考虑您的特定投资需求。此材料不得被解释为您可能依赖您的投资决策的投资或税收建议。投资者应在进行投资之前咨询他们的财务和税务顾问,以确定本文讨论的任何投资产品的适当性。

固定收益证券携带利率风险和发行人和交易对手的信贷风险,投资者可能会失去主要价值。一般来说,当利率上升时,固定收益价值下降。高收入证券(垃圾债券)是投机性的,经历更高的价格波动,并且具有比具有更高信贷评级的债券更高的信贷和流动性风险。投资组合通常将其资产的大部分资产(例如,CCC)投资。贷款承载风险,包括借款人,贷款银行或其他中间人的破产。贷款可以担保,无抵押或没有完全抵押,贸易不经常,经历延迟解决,并受转售限制。由于转售限制,私募和限制证券可能不易出售,并且更难以销售。在投资组合中使用衍生品可能会产生投资杠杆,并增加波动性的可能性以及超过投资金额的损失风险。国际投资涉及特殊风险,包括货币波动,流动资金,不同的会计方法和经济和政治制度,以及更高的交易成本。新兴市场通常在更大的情况下通常更大。

工匠有限合伙(APLP)是一个合作伙伴investment adviser registered with the U.S. Securities and Exchange Commission (SEC). Artisan Partners UK LLP (APUK) is authorized and regulated by the Financial Conduct Authority and is a registered investment adviser with the SEC. APEL Financial Distribution Services Limited (AP Europe) is authorized and regulated by the Central Bank of Ireland. APLP, APUK and AP Europe are collectively, with their parent company and affiliates, referred to as Artisan Partners herein.

©2019 Artisan Partners。版权所有
For Institutional Investors Only—Not for Retail Distribution

2Fed Funds Futures: A Key Barometer


As you read this, the Fed has recently announced yet another interest rate cut. Rate changes are always significant events for investors – and whether they will occur can generate uncertainty. But as,CME集团的Owain Johnson,全球研究负责人,以及金融研究和产品开发集团主任博比·林伯拉克,指出了最近关于CME集团的故事开放市场,有一个相当可靠的预测因子对美联储在任何特定时间内可能做的事情。如果您是固定收入的投资者,这可能会引起注意。

By Owain Johnson and Bobby Timberlake

也许是最受欢迎的美国金融基准 - 联邦基金目标率 - 在推向美国利率市场的波动率回到美国利率市场,吸引了来自贸易商的重大新的关注。

Federal Funds (FF) futures每月结算,以简单的平均水平从100减去每日有效的联邦资金利率。期货合约允许公司对冲短期利率或表达对美联储可能的旅行方向的观点。

FF合同以较长的术语到期,还允许市场参与者在鉴于联邦储备纳入每次会议的结果时,市场参与者在众所周滞不可的情况下持续前方。

管理利率风险

经过长时间的利率稳定在全球金融危机之后,目标范围为0-0.25%,美联储在2015年和2019年之间宣布了一系列九年之间的增加,然后在2019年秋季削减。这个时期大中央银行活动导致对交易和对冲联邦资金期货的重大更新。

体积和开放兴趣趋于向上趋于突出,前面的速率明显变化。即使与低息日的最活跃时期相比,体积和开放兴趣也增加了5倍。2019年,平均每日卷已达到近400,000份合约,开放利息约为220万。使用4,167美元的合同乘数,这些数字分别占16亿美元和90亿美元的通用曝光。

参与三元杂志

This growing volume was not simply concentrated among a few extremely large players, but rather came from new participants and smaller players increasing their holdings over time.

大型开放利息持有人数目由CFTC履行表明,自经济衰退以来,持有可报告期货职位的交易对手数量增加了一倍多。与2013年左右零利率环境的深度相比,它们具有两倍多。

Predictive Power

一些市场参与者还使用联邦资金期货价格的价格信号as a predictive signalof the FOMC’s likely rate decisions. Comparing front-month Fed Funds futures prices, as observed four weeks ahead of a Fed meeting, with the Fed target rate after the meeting shows that the futures market is a relatively accurate guide.

在过去的15次会议上至2019年9月,美联储资金期货的平均价格为远离目标率的两个基点,最大分歧为11个BPS,当时定期发生50-75个BPS。2008年1月和2008年1月和2008年10月出现了两个异常值,当时美联储在这几个月内应急削减了125和100个基点。

月期货价格下跌未预期休息或大于标准削减,但在每次未划分的削减期货后,期货迅速重新定价,包括新的期望,降落在10亿元内实现目标率。

交易量和参与美联储资金期货的增长期望增加了纳入其价格发现的观点的频谱,提高了其预测能力。但无论原因是什么,美联储资金期货是近期利率对冲的有效工具。

在对美联储的意愿或不会移动其目标率的情况下,这使其成为金融市场之后的任何人的主要晴雨表。

3.Optimizing the Right Blend of Long Duration Public and Private Credit

随着投资者期待其固定收入策略多样化,综合和整体方法可以产生很大的差异。


传统的投资等级公共固定收入投资是机构投资组合的主要原则,同样可以在某种程度上被称为投资级别私人信贷,具体取决于投资者的目标。在一个理想的情景中,投资者可能会对这两个要素的固定收入策略中的福利融为于精神和执行中,左手知道右手正在做的事情,你可能会说。在SLC管理层中,公共和私人固定收入团队共同努力,为一系列客户类型提供投资级长期策略。了解投资者的上行潜力,IIspoke withSLC Management,Rich Familleti,首席投资官,美国总返回固定收入那andSam Tillinghast, President, U.S. Private Fixed Income


You both run long-duration portfolios. Where are you seeing interest in your strategies from investors at the moment?

Rich Familetti:在公共固定收入方面,我们正在了解设计和管理责任驱动投资(LDI)策略的强烈需求。我们历史悠久地为客户提供传统和定制的解决方案,并在整个委员会中持续成为我们的增长范围,特别是在公司定义的福利(DB)计划中。我们管理持续时间频谱的投资组合,几乎所有策略都看到了强大的超额回报。在长期空间中,我们具有良好的性能,同时始终如一地提供对冲长期负债所需的适当风险简介。在公共固定收入市场中,我们已经能够始终如一地找到定价明确或低估的证券,这是我们的投资组合管理人员和信用分析师之间的团队导向和实践方法。

Sam Tillinghast:在私人固定收入方面,我们专注于投资级别私人信贷的机遇,which is a newer asset class to many investors。This segment of fixed income has higher yields than comparable public bonds, and financial covenants and collateral securing the loan. These are issuer and transaction types that you don’t normally see in the public markets, so they provide additional diversification. Traditionally, the asset class has been dominated by insurance investors to back their long-term liabilities. At the moment, we are seeing a lot of interest from smaller insurance companies looking to outsource part of their balance sheet and to pick up additional yield for comparable credit quality. And we’re seeing corporate pension plan sponsors who are looking for additional yield and diversification versus their traditional public credit allocations. Overall, on the investment-grade private side, we’re more of a spread shop than a volume shop. That leads us to move into more niche areas than other insurers, and away from more of the traditional types of privates.


你们两个都提到了DB计划。您认为DB计划赞助商期望传统公共固定收入和私人信贷?

Familetti:公司定义的福利养恤金负债通常使用高质量的企业债券收益率曲线折扣。所以,投资级公司债券和国债在一定程度上,一直是大多数责任对冲资产的自然家。随着更多的计划赞助商认为,这是一个需求的来源,这些要求都希望使他们的计划失败。赞助商肯定需要积极管理这些资产,部分原因是折扣率来自如此狭窄的宇宙。责任不受降级或默认值,因此重要的是多元化,并在长期资产周围具有积极的战略,以跟上负债。

Tillinghast:我们认为高档公共债券将继续e to form the majority of most DB plans’ portfolios. Investment-grade private credit should be thought of as a high-quality complement to provide diversification in sources of alpha. We’re focused on more complex and often structured transactions within investment grade private credit. We’re typically getting 50 to 100 basis points over equivalent public bonds, with historically lower losses than the publics. That’s due to the covenants and collateral that I mentioned previously. That additional spread reflects the complexity of the deals and the lower liquidity of private markets. While it is true there’s not as much liquidity as there is in publics, we think investors are typically over compensated as the lower liquidity really reflects a lack of sellers, not a lack of buyers. I’ll add that DB plans are long term in nature and generally have the capacity to give up some liquidity on a portion of their portfolio.

它听起来好像是公共和私人信贷在责任 - 对冲投资组合中的作用?

Familetti:绝对,作为一个很好的例子,我们在定制的LDI框架中使用公共和私人信用的组合来管理Sun Life U.S.公司DB计划。我们对私人固定收入的分配目前在15-20%的范围内,并回到了私人固定收入的私人固定收入是一个良好的多样化,具有正确的持续时间特征,可以无缝地集成到该LDI框架中。私人信用还具有与A和AA公司债券非常相似的波动性概况,该公司债券构成了确定折扣率的方法。因此,这是一个良好的资产类,增加了一些额外收入,而不会有质量下降,并在责任对冲战略中运作良好。


由于您提到了保险公司:风险转移是当下的热门话题。保险公司如何在养老金收购中查看私人信贷?

Tillinghast:Insurers tend to be very comfortable with private credit – in fact, you could say they are the most comfortable with it of all investors. A typical large life insurance company holds about 20% to 30% of their assets in investment grade private credit. The transactions that we source are generally priced at attractive yields, and we’d expect them to be very desirable to insurers.


您能描述如何接近公共场所和私人空间的一些相似性和差异吗?

Familetti:I think both teams look to source good relative value through really digging into the securities we purchase and through looking for areas that are undervalued. We also both utilize some of the broader SLC Management resources, such as the Global Research Team. The biggest difference is that public fixed income markets require a significantly more active strategy when you consider the technicals of the market. The public markets are generally more volatile than the private side, given the number of participants that can push bonds around and have an impact on value over a comparably shorter horizon. We’re really looking to exploit relative value across individual securities or across sectors of the market. The breadth of the public markets means that we’re able to find undervalued – and avoid overvalued – issues that can provide good risk adjusted returns for our clients.

Tillinghast:在私人市场,我们总是将我们在相对价值的上下文中对等同公共债券的交易进行比较 - 当我们最初购买交易时,我们在发行时获得的额外传播。我们寻找我们拥有深层专业知识的利基。例如,其他投资者通常避免了航空或金融区域。然而,私人信用的最重要部分之一是交易的起源或采购。少量私有贸易在二级市场,因此您必须在首次上市时识别机会。为此需要各种强大的采购关系,让您看到各种交易。如果您在第一次来到市场时,您不被该拨款或中介呼叫,那么您不太可能有机会投资。换句话说,关系对私人市场非常重要。

通常认为,在私人信用空间中,信息和数据更难。那是这种情况吗?

Tillinghast:当然,有关私有交易的公开信息。也就是说,在承销交易方面,我们往往能够获得更多关于我们的发行人的更多信息,而不是公共市场。由于这些交易是保密的,发行人将提供我们要求的任何信用或财务信息。私人交易还有更长的时间表,我们能够花几个星期,有时甚至在尽职调查上。您可以使私人贷方在承保交易时实际上有更多信息。

在估值方面,您可以将私人交易与最近上市的其他私人交易进行比较 - 而且还要对公共市场发生的事情,您正在为私人交易添加保费,具体取决于类型。私人市场的典型企业交易将比公共债券市场上的可比企业价值20至25个基点。如果交易在结构上很复杂,您可能会增加100多个基点,这是市场的结束我们一般都在看。

Read the full interview, including both expert’s views on where they’re finding value right now in the public and private markets.

4.抵押贷款支持证券的质量数据


由Adam Quinones,全球抵押贷款负责人和ABS,Refinitiv

投资者使用的抵押贷款相关的市场数据并不总是干净,特别是在较老的贷款方面。Greenwich Associates并由Refinitiv赞助的新报告审查了技术和数据分析如何有亚博篮球怎么下串助于改善抵押贷款支持证券的风险决策。

U.S. mortgage debt currently stands in excess of US$12 trillion, and the majority of this debt ($9.4 trillion in Q2) is held by institutional investors via mortgage-backed securities, collateralized mortgage obligations and agency (i.e. FHLMC, FNMA, GNMA) bonds.

这些机构投资亚博赞助欧冠者和抵押贷款经销商负责制定准确的风险模型,以帮助他们做出与例如价格,产量和风险有关的决策。

Robust and meaningful analysis依赖质量数据那but given that the majority of mortgages involved in these complex computations were initiated before financial markets embraced digitization, there remains a vast quantity of data that is neither standardized nor usable.

在创造许多抵押协议时,在创造许多抵押协议中进行的这种常见的尽职调查意味着大部分数据都是不完整或不准确的,这可能导致次优决策和风险上升。

如果我们要避免任何未来的抵押贷款危机,该行业需要专注于new ways to access better quality data and more insightful data analysis


抵押数据感

几个多年生挑战环绕着摄取,整理和造成数据感的过程。

不仅有固定的收入市场经历过可用数据的爆炸(which brings its own challenges), but incoming data may be ‘dirty’, non-standardized and presented in different formats, meaning that complex data technology is needed to store and analyze data relating to millions of mortgages and mortgage securities.

此外,机构抵押贷款投资者需要在速度下进行风险决策,依靠隔夜批量岗位,尽管抵押投资仍然很常见,但已经过时了。

好消息是基于云的解决方案来救援,现在可以快速有效地访问必要的数据和分析,以实现实时计算并促进更快,更好的决策。


抵押贷款支持证券完全看

Over the past decade,有很大的进步已经明显了

  • 创新has meant that individual loans within mortgage-backed securities can now be scrutinized, meaning that investors can form a more complete picture of a potential investment.
  • 近三分之二的抵押贷款支持证券现在以电子方式交易,为所有利益相关者带来了更大的透明度和益处。增加数据扑克更多的电子交易,它在被描述为良性周期中产生更多数据。
  • 行业商定的标准改进,代理抵押池现在由更具体的分组(“规范池”)组成,以获得更高的清晰度和更具针对性的投资。

随着技术继续大修传统解决方案的风险管理,该行业可以期待未来几年进一步进步。

For example,机器学习技术that can digest mortgage documents will mean that information is more readily accessible.

In the complex world of mortgages and mortgage-related investments, the role of analytics is set to become ever more crucial as an indispensable tool to help traders form a complete view and make better, faster decisions that will ultimately benefit all market players.


关键的外卖

  • 抵押贷款市场的特点是体积和复杂性,并且市场参与者如果要做出准确和有利可图的决策,则需要质量数据。
  • 抵押贷款市场可用的宽度和深度继续增长,但传入数据可能是“脏”,断开连接和非标准化。
  • 技术可以利用并了解这一数据,在复杂的抵押贷款支持证券世界中提供富有洞察力的分析和赋权专业人士。

了解有关高级抵押贷款分析的更多信息。


相关内容