In January, Fitch Ratings put out a report that highlighted ratings volatility in securitizations that are retained by European originators, primarily to use as collateral for funding with the European Central Bank (ECB).

The agency said there were originators that had seen their triple-A notes cut as a result of counterparty downgrades and had not kept faith with deal documents by trying to maintain the rating. There was not much incentive to do so: as long as the deal remained above A-minus, it could continue to be used for ECB funding.

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