Derivative Fitch has released a beta version of its Vector CFXO model for collateralised foreign exchange obligations (CFXOs). The model can be used to analyse portfolios of foreign exchange trigger options and combinations of FX options and sovereign credits.
Derivative Fitch hopes the model will increase transparency in the market and the understanding of its ratings.
The structural risks in a CFXO are similar to those in a synthetic CDO. However, the foreign exchange reference assets introdu