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SunGard releases new version of TrueCalc pricing and risk management model for convertible bonds

NEW YORK, October 24, 2001? SunGard Trading and Risk Systems, an operating
group of SunGard (NYSE:SDS), today announced the release of version
four of TrueCalc Convertible, its widely used pricing model for convertible
bonds. The new version enhances the model's pricing capabilities, security
coverage and ease of use.

TrueCalc provides pricing and risk management analytics for convertible
bond traders, investors, structurers, issuers, and arbitrageurs.It
computes prices, sensitivities, expected cashflows, implied volatilties and
spreads, and other output measures for convertible bonds and preferreds.

TrueCalc is available as a stand-alone product, or as an integrated
component of other SunGard trading and risk systems, including Panorama,
Credient and Infinity.

Numerous modeling features have been added to TrueCalc version four to
cover the diverse terms and conditions in global convertible markets,
including new credit models for exchangeable bonds in the European markets,
and treatment of the different make-whole and contingent-conversion
structures in the US market. Version four replaces the binomial-tree model
used in version three with an advanced finite-difference model that
provides accurate pricing with smooth dependence on input parameters.The
spreadsheets and library interface have been redesigned to be more
informative and to simplify integration with other software.

TrueCalc's treatment of credit risk has been improved to allow for credit
spreads that depend on both the stock price and time. This is a necessary
feature in today's markets given the number of convertibles issued by firms
with weak credit characteristics whose default risk goes up as their stock
price goes down.

Gerald Quinlan, PhD, director of TrueCalc development, says that the
downturn in global equity markets during the past two years has caused a
surge in activity in the convertibles markets. "Firms are issuing
convertibles instead of equities as a means of raising funds.Asset
managers are buying convertibles as a defensive way of participating in the
equity markets, and there has been a rapid growth in the number of hedge
funds engaging in convertibles arbitrage strategies," he explained.

According to, a division of Morgan Stanley, the total
issuance of convertibles in the US has doubled in the last two years?from

$40 billion in 1999 to $81.1billion in 2001, as of October 24th.

TrueCalc version four is being shipped to existing customers as a free
upgrade. The product is available as an Excel add-in, a COM component, a
DLL that exports C functions, and as a UNIX library.

"Feedback from users around the world has been factored into TrueCalc
version four," said Dr. Quinlan. "The new features greatly expand the
security coverage for global convertibles. TrueCalc customers have always
valued the expert technical support they receive from our Toronto office.

We have added support in London and are boosting our presence in the
European and Asian markets."

One of the first European customers to receive the new model is the
London-based hedge fund Zelengora Capital Management. "We have been using
TrueCalc for several years," said Vladimir Zdrale, managing director at
Zelengora, "and have been very happy with its sophisticated analytics and
with the support we that we receive. We very much look forward to using
the new features in version four."