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FNX Expands the functionality of FX options to support Bermudan Series

Philadelphia, September 2, 2004- FNX Limited (FNX), a leader in the delivery of technology solutions to the global financial markets, announced the addition of the Bermudan series options functionality to the Sierra and Sierra Treasury FX options systems.

The Bermudan options functionality was developed and tested with combined
resources from the FNX design and development team and current Sierra users in a major Japanese bank. The new Bermudan series options are designed to seamlessly integrate with the other FNX systems modules and provide a fully STP solution that can completely price, process, hedge and manage the risk and P&L of any type of derivative.

Julian Cook, product manager of FX Options said: " A typical example of this product would be a 2 year option with exercise points at 6 month intervals exercising into 24 Forward trades, delivering at monthly intervals. This option would further be embedded in a structured product, also containing an interest rate swap. This is a complex product, from both a modeling and STP point of view. The exercise process itself, involves generating 24 linked trades, instead of the usual single spot trade. I’m pleased to say that with the expertise we have in-house, we were able to add this product to the system, including implementing the math model, in a fairly short period of time."

With the addition of the Bermudan Series to the FX options system, FNX is now able to handle more than 40 types of options including Vanilla, Barrier, Single, Dual, Window, Digital, Dual Barrier, Average Options, ETO, among others. The Sierra system is also capable of handling very large numbers of trades and support, price and process more than 600,000 options.