Sector developments and company hires

Conduit CMBS on watch
S&P has placed its ratings of 96 classes from 30 US conduit CMBS on credit watch (CW) with negative implications, reflecting the bonds' exposure to the adverse impact of Covid-19 on the lodging and retail sectors, and the related uncertainty about the duration of the demand disruption. The agency says it will resolve or update the CW negative placements after further discussions with the master and special servicers, and as more information regarding the performance of the loans becomes available. Specifically, it plans to contact servicers regarding the status of any missed loan payments, the status of any debt relief requests, special servicing transfer activity, payoff/refinance indications (for 2020 loan maturities) and the servicers' advancing intent and asset resolution strategies (for specially serviced assets).

In other news…

CRT tool released
The FHFA has published a credit risk transfer spreadsheet tool based on the re-proposed capital rule for Fannie Mae and Freddie Mac, with the aim of providing additional transparency to the public. The tool shows how CRT formulas work and allows users to input assumptions and calculate the amount of capital the GSEs are required to hold across retained risk exposures in different types of CRT transactions.

MM CLOs under review
Fitch is undertaking a review of the 59 middle market CLOs it rates to evaluate whether rating changes are required. The review involves updating the point-in-time credit opinions (COs) for private borrowers for the loans held in the deals.

Fitch is initiating requests with MM CLO managers to provide the most current financial information for these private borrowers in their CLO portfolios. The updates of COs will include that information and analytical overlays to the Corporate Credit Opinion Model that reflect Fitch's view on the coronavirus impact. If updated financials are not available at the time of the review, the agency will apply adjustments to the most recent figures available. Approximately 80% of an average MM CLO portfolio's credit quality is determined by COs, which are usually only updated annually, with the remainder determined by a public rating.

More US BSL CLOs reviewed
Moody's has placed on review for possible downgrade a further 241 tranches issued by 115 US BSL CLOs, plus another two linked CLO combination securities. The move involves eight tranches rated Aa2, 51 rated A1-A3, 59 rated Baa1-Baa3, 62 rated Ba1-Ba3 and 61 rated B1 or below. These actions combined with the tranches Moody’s put on review in April total 1,100 and represent approximately 24% by count, or 7% by balance, of Moody's-rated US BSL CLO/CBO securities outstanding. Approximately 93% of those tranches on review are currently rated Baa1 or below.

North America
Logan Lowe has joined Diameter Capital Partners, focusing on structured credit. He was previously a partner at Prophet Capital Asset Management.

Matthew Cantor has joined Pretium as a senior md focused on bankruptcy and distressed assets. In his role, Cantor will help identify and provide diligence on investments across the firm’s credit platform. Most recently, he was the evp of legal affairs and general counsel for Lehman Brothers Holdings, where he was responsible for overseeing the company’s complex litigation matters that generated positive outcomes for creditors. Previously, Cantor was a founding principal at Normandy Hill Capital and before that he was a partner at Weil, Gotshal & Manages and Kirkland & Ellis.

SLABS downgraded on maturity risk
Moody's has downgraded 38 securities issued by 29 FFELP student loan ABS, affecting approximately US$11bn of bonds. Of those 38 downgraded securities, nine from four transactions have also been placed on review for possible further downgrade. The agency has also placed the ratings of an additional seven securities issued by five FFELP student loan securitisations on review for possible downgrade. The review for downgrade actions reflect an increased likelihood of slower collateral pool amortisation and bond payoff risk by their legal final maturity dates, due to significant increases in forbearance resulting from a contraction in economic activity and an increase in unemployment following the coronavirus outbreak.