A look at the major activity in structured finance over the past seven days

Pipeline
A number of deals joined the pipeline last week. These were largely ABS and CLOs, although activity remains quieter than it was a few weeks ago.

The ABS were US$1.02bn Ally Auto Receivables Trust 2015-1, US$718m Drive Auto Receivables Trust 2015-C and US$250m Navistar Financial Dealer Note Master Owner Trust II Series 2015-1. There was also a single CMBS, which was US$1.33bn JPMBB 2015-C20.

The four CLOs were €400m Black Diamond CLO 2015-1, €400m Carlyle Global Market Strategies Euro CLO 2015-2, US$400m KRR CLO 12 and US$374.15m Palmer Square CLO 2015-2.

Pricings
A similar number of deals also departed the pipeline. This included five ABS, two RMBS and two CLOs.

The ABS were: US$400m Cabela's Credit Card Master Note Trust Series 2015-II; €650m FCT Ginkgo Debt Conso 2015-1; US$184.8m Massachusetts Educational Financing Series 2015A; US$125m Progreso Receivables Funding; and US$275m Sierra Timeshare 2015-2.

€950m Berica ABS 4 and US$671.8m MSCI 2015-MS1 were the RMBS. The CLOs were US$509m Battalion IX and US$379m Dryden 40 Senior Loan Fund.

Editor's picks
Further ABSPP purchases detailed: The ECB this week provided an updated breakdown of its ABSPP holdings. As of the end of last month, the Eurosystem held €8.8bn in securities purchased under the programme - with €6.6bn purchased in secondary and €2.2bn from the eurozone primary market...
Greek RMBS prisoner to politics: As well as the obvious implications of any exit from the euro, Greek RMBS could also be affected by another political decision: a fresh moratorium on home repossessions. Both political paths could be pursued, with negative RMBS consequences, say JPMorgan analysts...

Deal news
An event of default (EOD) has led Moody's to downgrade the ratings of two classes in Taurus CMBS (Pan-Europe) 2007-1. The EOD resulted after a non-payment of interest in May on the most senior class of notes, as well as an increase in Moody's loss expectation driven by the underperformance of the pool's largest loan, Fishman JEC.
Morningstar has made an amendment from its June 17 pre-sale report on the capital structure of Citigroup Commercial Mortgage Trust 2015-GC31. Based on an update to the offering circular the class X-B certificates have been removed from the transaction in the agency's post-sale report. No other key changes have been made.
CDS spreads on MBIA moved 19% wider last week as the risk around Puerto Rico's municipal bonds rose, according to Fitch Solutions. Although Puerto Rico and the institutions that have exposure to it have faced bouts of souring sentiment in the past, Fitch says that statements made by the Puerto Rico's governor last week likely contributed to the heightened risk.

Regulatory update
The ECB has released a set of seven guiding principles with regard to purchases made under its ABS purchase programme. Rather than serving as eligibility criteria, the guidelines are provided for intensive due diligence on proposed transactions prior to purchase, with a view to safeguarding the Eurosystem's balance sheet.
IOSCO has published a report providing recommendations for regulators to facilitate capital raising by SMEs in emerging markets. Among the measures proposed is further tapping into alternative methods of financing such as securitisation.
Scope says that recent announcements to reform Italian bankruptcy procedures and fiscal treatment of loan losses could help banks' asset quality and spur new securitisation transactions in the country. The Italian government announced a decree law on 23 June containing measures aimed at facilitating the supply of credit to the real economy, via a smoother management of bad credits.
RBS could face potential settlement fees totalling US$13bn (£8.3bn) relating to alleged violations linked to the sale of US$32bn of MBS to Fannie Mae and Freddie Mac, according to Fitch. The figure is outlined in court filings made on behalf of the US FHFA.