SunGard Releases New Version of Monis' Convertibles XL, Announces New Credit Hedging Module

NEW YORK, May 5, 2003- SunGard Trading and Risk Systems, an operating group of SunGard (NYSE: SDS), today announced the availability of Monis' Convertibles XL 5.0, a spreadsheet-based pricing, analyzing and hedging solution for convertible bonds and other equity-linked securities. New functionality includes support for credit default swaps, bundled with the asset swap model and made available as the new Credit Hedging module.

Credit default swaps are the most widely used credit hedge among convertible arbitrage traders and constitute a large majority of the total amount outstanding in the credit derivatives market. The Credit Hedging module includes two new credit default swaps pricing models as an extension to Convertibles XL: a standard analytic Jarrow-Turnbull model and a tree-based model that incorporates the equity-linked spread process from the convertible bond model. In combination with the Monis Convertible product range, the Credit Hedging module helps users to accurately hedge their positions by providing consistent valuation and risk analysis of credit default swaps and equity-linked securities.

In addition to valuing credit default swap contracts, the new Credit Hedging module also provides price comparisons between different credit markets, enabling users to calculate an implied bond spread from a market credit default swap premium, and a fair market premium from a bond spread. Users of the module may also value convertibles with a credit default swap premium as a source of credit risk data in place of bond spreads. The module additionally handles cross-currency credit default swaps contracts and can calculate the cheapest to deliver of a basket of diverse bonds including straights, cb’s and exchangeables.

Emanuel Mond, president of the Monis operating unit of SunGard Trading and Risk Systems, said, "With the development of credit derivatives, it is now easier than ever to trade credit risk and to arbitrage between different markets on a single name such as bonds, convertibles, asset swaps and credit default swaps. As such, many convertible arbitrage funds are increasingly trading credit. The Credit Hedging module is an important addition to Convertibles XL as it will help these credit traders to accurately price and hedge credit instruments consistently with convertible bonds and other equity-linked securities."

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