...This criteria report outlines Fitch Ratings' analysis of the credit risk presented by a special- purpose vehicle (SPV) to the swap counterparty when assigning a credit rating to the currency swap obligations of the SPV. Fitch applies the same principles when rating currency swap obligations related to an issued covered bond. However, in line with the covered bond rating, the rating in these instances addresses not only the probability of default, but also takes into account recoveries given a default of the cover pool-owning entity. Fitch will also apply these criteria, in limited circumstances, to analyse interest rate swap obligations where the structure of the obligation is consistent with these criteria....
