High-Yield Lending:It’s Good Until It’s Not
分析了高收益贷款市场的两极分化特征，探讨其定价、风险及复杂性（如不同层级债务、夹层融资、契约宽松程度等），并利用均衡模型说明贷款成本与资产预期收益及贷款价值比的关系。
Despite the recent popularity of high-yield lending, surprisingly little has been written exploring the highly bifurcated nature of these investments. In this article, the author focuses on pricing these instruments, exploring the potential risks involved and illuminating some of their complexities and nuances (e.g., tranches of different sizes and different positions in the capital stack; mezz debt, which is really equity; covenant-light versus covenant-heavy loan documents; and whether the high-yield has sufficient liquidity to protect its position). In so doing, the author uses an equilibrium approach in which the cost of indebtedness (1) is tied to the expected return on the asset (which, in turn, is a function of the asset’s risk) and (2) increases geometrically with increases in the project’s loan-to-value ratio. The lender has effectively sold a put option to the non-recourse borrower. As the author notes, it is a daunting challenge to determine whether these intricacies have been fairly priced. <b>TOPICS:</b>Real assets/alternative investments/private equity, fixed income and structured finance