Fitch's Structured Finance Group is hoping to increase transparency in the credit derivatives market with a new report analysing the impact of credit events on synthetic collateralised debt obligations, and identifying the factors that contribute to higher recovery rates.

Although the synthetic CDO market has grown strongly over the last few years, it has been hit by a high number of defaults - so-called credit events - on reference entities included in such transactions. According to Fitch, 112 credit events were called during the three years to January 31, 2003 totalling €450.1m ($518m), and $885m in notional exposures among 47 Fitch-rated transactions.