Derivative Fitch publishes ratings criteria for CFXOs

Derivative Fitch has published its criteria for analysing and rating collateralised foreign exchange obligations (CFXOs). The CFXO report, the first to be published by a rating agency, details the structure of the product, the principal risks and Fitch’s analytical methodology.

“CFXOs are the latest evolution in a trend for the repackaging of market price risk into credit-like synthetic collateralised securitisation structures,” says Ken Gill, managing director at Derivative Fitch in London.

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