SunGard Trading and Risk Systems, an operating unit of SunGard, has added a credit hedging module to version 5.0 of Monis' Convertibles XL 5.0, the latest version of its spreadsheet-based pricing, analysis and hedging software for convertible bonds and other equity-linked securities.The credit hedging module includes two new credit default swaps pricing models as an extension to Convertibles XL, a spreadsheet-based trading and portfolio management system for convertible bonds. SunGard said the credit hedging module will help users accurately hedge their positions by providing consistent valuation and risk analysis of credit default swaps and equity-linked securities.
The module 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. The module additionally handles cross-currency credit default swaps contracts, and can value convertibles with a credit default swap premium as a source of credit risk data in place of bond spreads.
Emanuel Mond, president of the Monis operating unit of SunGard Trading and Risk Systems, said the new module will help convertible arbitrage fund managers trade credit risk and arbitrage between different markets by aiding them to accurately price and hedge credit instruments.
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