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. “De
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