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MBRM - MB Risk Management
29 Throgmorton Street
London EC2N 2AT
United Kingdom

Email: sales@mbrm.com
Phone: +44 20-7628 2007
Fax: +44 20-7628 2008

MBRM PRESS RELEASE
http://www.mbrm.com

Oct 2003

MB Risk Management (MBRM) are pleased to announce the launch of a new version of UNIVCDRV -Universal Credit Derivatives Add-in.

This new version can take a term structure of CDS Spread fees and then calculate an array of default probabilities (using a boot strapping algorithm). This can then be used for revaluation of CDS contracts, as well as calculating the fee for contracts for non-standard start/end dates. The biggest difference between this bootstrapping approach and the existing approach of using a constant default probability (based on a market quoted CDS Spread Fee for an equivalent maturity) would be seen in revaluation of off-market CDS contracts where the Contract's CDS Spread Fee is significantly different from the current market quoted CDS Fee).

This implements a new set of functions (which require that you also be licensed for UNIVSWAP since internally they call UNIVSWAP for interpolation of yield curves and date calculations):

  =UCDA_DEF_SWAP_DEF_PROB3
=UCDA_DEF_SWAP_RECOVERY3
=UCDA_DEF_SWAP_REVAL3
=UCDA_DEF_SWAP_FEE3

To demonstrate how these new functions are used, we have created a new Excel spreadsheet called "Default Prob. Array" within the sample workbook (UCDAEXAMP.XLS) that is distributed as part of this package.

The following postings in our online Support/Discussion forums mention some of the recent enhancements [accessible by supported users only; though non-supported trial users can see these features in action when they download the free trial]:

  In "UNIVCDRV - Universal Credit Derivatives Add-in" forum:
  "Ver 8.4b -- Enhanced Default Probabilities Array bootstrapped from CDS Spread fees"
"New UCDA3_VB32.BAS example code for the new "3" functions introduced in 8.4b"

A free fully functional 30 day trial can be downloaded from MBRM's internet web site : http://www.mbrm.com

For further information, please contact our Sales Team

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