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Warnford Court, Throgmorton Street
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+44 20-7935 2733

Contact

Dr Mamdouh Barakat
[email protected]
Back to all MBRM - MB Risk Management announcements

MB Risk Management (MBRM) are pleased to announce the launch of a major upgrade to their Universal Convertibles Add-in.

MB Risk Management (MBRM) are pleased to announce the launch of
a major upgrade to their Universal Convertibles Add-in.

The major new feature is the new ability to price and risk manage
Options on Convertibles.

Dr. Barakat, Managing Director of MBRM, says "The convertible bond
market has had a record year so far in terms of issuance and interest
from the market as a whole. As convertible bonds move into the
mainstream, so interest naturally increases in structuring and risk
managing effective hedges, and also exploiting arbitrage opportunities
between convertibles and the underlying stock and bond markets. The
ability to buy and sell Options on Convertibles where the strike is
quoted as fixed credit spread greatly enhances this activity (analogous
to how options can be used to hedge equity portfolios). The option on
convertibles therefore gives the holder a hedge against the credit
spread of the issuer changing (which may be essential if the holder has
a portfolio of bonds from that same issuer which would be negatively
affected by any increase in credit spread).

We have taken the decision not to charge extra for the new functionality
since we believe all users of our Universal Convertibles Add-in should
have the ability to analyze options on convertibles without being forced
to buy an additional module or library. It would be interesting to see
if our competitors have the same attitude in supporting their current
and future users.

This latest update closely follows the launches in the last two months
of our Universal LIBOR Market Model Add-in and our enhanced Universal
Credit Derivatives Add-in. We aim to release 12 major enhancements per
year - which is necessary to maintain and consolidate our market
leadership in the analytical library / toolkit sector (which
covers convertibles, fixed income, commodities, energy, equities,
foreign exchange and money markets).

The feedback and suggestions from our global clients is an essential
component in our development process which enable us to maintain our
software at the cutting edge of the diverse markets we are in".

The cost of the Universal Convertibles Add-in is US$ 4,799.
The combined package of our Universal Convertibles Add-in / Universal
Swap Add-in costs US$ 7,998.