The new module will be fully integrated into FNX's 3-way STP infrastructure for the global trading of multiple assets and front to back trade processing.

FNX has a successful track record of providing solutions in the FX, Fixed income, Interest Rate Derivatives and Structured Products markets. Credit Derivatives is a logical extension of FNX current functionality in both Interest rate Derivatives and Fixed Income. The Sierra CreditDerivs will include full STP functionality, including deal capture, flexible pricing, limits, settlements, confirmation generation and Ledger entries.

Sierra CreditDerivs will be available by the end of 2004 and will cover Credit Linked Notes, Credit Default Swaps (Single and Baskets), Total Return Swaps, Asset Swaps, Rating Sensitive Notes and Spread Options among others. A flexible pricing interface will seamlessly call different internal or external pricing algorithms depending on trade characteristic and user selection. Multi entity correlation matrix can be defined for issuer, counter parties or issues. Default probabilities can be calibrated using bond yield spreads, credit default spreads or asset price. The Back office module will support multi-lingual confirmation generation, settlement agreements, netting, payment generation and general ledger account entry update.

Jim Dennelly, Sierra Design Head comments: "FNX will offer a global solution for the trading and management of credit risk, with a combination of both credit derivatives and fixed income products. The new module covers all sectors including Investment Grade, High Yield, Emerging Market, Corporates, Sovereign Credits and Equities. FNX clients will be able to use the system for both flow and structured products to come up with credit-hedging solutions. FNX was able to cut down the development time considerably by working very closely with its existing customers base and industry experts. This relationship resulted in immediate feedback and considerable reduction in new products time to delivery. The module is fully integrated with the Sierra business logic and architecture making it a seamless implementation for the existing clients. I am confident this new module is going to be a success in the market."