In the past few weeks, two ABCP conduits have experienced ratings volatility, a rarity for this market. Both instances were associated with guarantor or liquidity provider downgrades, which in turn impacted the associated conduits.
Fitch Ratings recently placed Silver Tower Funding and Silver Tower US Funding on review following Fitch's downgrade of Dresdner Bank AG.'s short-term rating to F2' from F1.' Fitch also placed the secured liquidity notes of Dresdner's Brahms Funding Corp. on ratings watch.
Last week, Moody's Investors Service placed the P1' rating of Fenway Funding on review for downgrade, following the downgrade ZCM Matched Funding Corp., a liquidity provider to Fenway. ZCM's rating was based on a surety bond from Zurich Insurance Company, which Moody's placed on downgrade watch in late February.
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