Sector developments and company hires

Euro CLO equity edges ahead
European CLO equity cashflow returns average 9.3% year-to-date and - as all CLOs in reinvestment are currently paying - the full-year 2020 cashflow return is likely to be low-teens, according to a new report from JPMorgan CLO research analysts. As such, European equity pieces have edged ahead of their US counterparts, currently returning 8% year-to-date with 89% paying (SCI 27 July).

“The relative difference isn’t huge,” the JPMorgan analysts concede. “Though we have observed less credit deterioration in Europe, perhaps also emblematic of the ‘inverse exceptionalism’ our macro colleagues view in relative pandemic responses (e.g. decline in the US dollar).”

Further, the report notes that cashflow returns have been dropping from 2.0 average returns (18%) to more resembling pre-crisis returns (11%). Meanwhile, there are five managers – BlackRock, Spire Partners, Carlyle, Cairn and HPS – in the top 25th percentile in both 2020 year-to-date and annualised average equity cashflow return longer term.

Overall, the analysts conclude: “There appears little relationship between US and European equity performance for global managers with both platforms.”

Italian investments upsized
Apeiron Management and Apollo Global Management have purchased a portfolio of claims owned by Grandi Lavori Fincosit for a value of over €1.3bn. The transaction was funded by the issuance of ABS notes issued in a single class by Armonia SPV, which was fully subscribed by investment funds run by Apollo. The move comes after Apollo upsized by €100m and extended its investment partnership with Apeiron last month. Through its strategic partnership with Apeiron - launched in early 2018 (SCI 2 March 2018) - Apollo funds to date have deployed nearly €300m in Italy across investments in corporate debt, receivables, special situations, insolvency compositions and other stressed and distressed assets.

NPL performance eyed
Two transactions - BPBNP 2016-1 and BCCNP 2018-1 - have failed their cumulative collection ratio triggers in the June 2020 reporting period, according to JPMorgan’s latest Italian NPL ABS Performance Tracker, with corresponding values of 75% and 80.6% relative to trigger levels of 90% apiece. As a result, class B interest subordination events have occurred for both deals and outstanding interest shortfalls have accumulated on their class B notes. Meanwhile, the cumulative collection ratio for BRISC 2017-1 is reported at 105.1% for the June 2020 remittance period, which exceeds the 90% subordination trigger but is down from 120.2% in the previous reporting period (December 2019). JPMorgan international ABS analysts suggest that such deterioration in performance provides the first indication of the detrimental impact of the Covid-19 crisis on servicers’ ability to execute non-performing loan collections.

North America
Angel Oak Companies hired Shayan Salahuddin as md, lending capital markets. Salahuddin is based in Washington, DC. Previously, he was head of mortgage and capital markets at SimpleFinance.

Deer Park Road hired Mary Hickok as an analyst, based in Colorado. Previously, Hickok was an associate in the new issue CLO unit at Morgan Stanley.

Daniel Parisi has joined Rothesay Asset Management in New York. In Parisi’s previous role, he focused on private fixed income and alternatives (residential mortgages) at MetLife Investment Management.