Derivative Fitch launches beta CFXO model


Derivative Fitch, the derivatives analysis arm of rating agency Fitch, released a beta version of its Vector CFXO model for collateralised foreign exchange obligations (CFXOs) in late June, aimed at increasing transparency in the market and understanding of its ratings. The model can be used to analyse portfolios of foreign exchange trigger options and combinations of forex options and sovereign credits.

CFXOs are the latest example of collateralised volatility obligations to generate significant

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