Sector developments and company hires

Iberian NPL ABS performance eyed
The cumulative collection ratio for the DUERO 1 non-performing loan securitisation has consistently breached its trigger level for an interest subordination event – which is set at 90% - since the April 2020 reporting period, according to JPMorgan’s latest Portuguese & Spanish NPL ABS Performance Tracker publication. After dropping to 68.4% in April from 106.1% in January 2020, the deal’s cumulative collection ratio has continued to steadily decline in the subsequent reporting periods and stands at 48.5%, as of the January 2021 reporting period. Consequently, an interest shortfall of €1.7m has accumulated on the transaction’s class B notes.

Meanwhile, the cumulative collection ratios for GNCHO 1 and EVORA 1 have declined to 176% and 118% respectively, as of the November 2020 reporting period, from corresponding levels of 304% and 149% in November 2019. But JPMorgan notes that the deals are still exceeding their triggers for an interest subordination event, which are set at 90%.

Finally, the cumulative collection ratio for ARESL GAIA has risen to 109% in the November 2020 reporting period, versus 93% in May 2020 and 87% in November 2019. As a result, the periodic interest shortfall that had accumulated on the transaction’s class B notes - following the November 2019 breach of the 90% trigger - has now cured.

The JPMorgan publication covers three NPL ABS from Portugal and one from Spain, with a cumulative outstanding volume of €393mm, equating to an aggregate current factor of 0.66, as of the most recent reporting period. This compares to €470m outstanding and an aggregate factor of 0.79, at the time of its last publication in March 2020.

In other news…

Acquisition
Funds managed by Stone Point Capital and Insight Partners are to acquire all outstanding shares of CoreLogic for US$80 per share in cash, representing an equity value of approximately US$6bn and a premium of 51% to CoreLogic’s unaffected share price on 25 June 2020. The transaction is the culmination of the firm’s extensive review of strategic alternatives, which included engaging with numerous potential buyers.

The transaction will be financed through a combination of committed equity financing provided by Stone Point Capital and Insight Partners, as well as committed debt financing provided by JPMorgan. Closing is expected in 2Q21, subject to shareholder approval and other customary closing conditions.

EMEA
Intermediate Capital Group has appointed Lionel Laurant as md, co-head of special situations and co-portfolio manager for its Recovery Fund II. Laurant joins ICG from PIMCO, where he founded and ran its European credit opportunities platform, and was also co-chair of that investment committee. Prior to PIMCO, he worked at Bayside Capital, Barclays, Bank of America and Morgan Stanley in a range of special situations, private equity and investment banking roles.