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Savvysoft Offer Auction Rate Security Princing

New model can price these illiquid instruments despite failed auctions

New York -- April 10, 2008 -- Savvysoft, the award-winning derivatives analytics provider, has announced the development of a new model to price Auction Rate Securities (ARS). The market for Auction Rate Securities has been thrown into turmoil as a result of failed auctions which have caused much of the market to become highly illiquid. Holders of these bonds need to mark them to market, and Savvysoft’s new model allows them to do that.

Auction Rate Securities are long term bonds which pay a floating rate of interest that resets frequently based on an auction of buyers, as often as every week or every month. This causes them to behave like short term money market instruments, as long as there are auction bidders. When there are more sellers than buyers, however, the auction fails, and with the current credit crisis this is exactly what has happened, making bond holders unable to sell their bonds, and unable to mark them to market. Savvysoft’s new model allows the bonds to be priced in the absence of bids.

“We’ve been contacted by several owners of ARS bonds, because they know our reputation for being able to price the toughest instruments,” said Rich Tanenbaum, Savvysoft’s president. “So we developed a model to help them out, and we’re offering our clients the choice of either running the model themselves, or having us run the model as a pricing service for them.”

Savvysoft’s models have passed the muster of auditors, who have signed off on the model’s values for use in company financial statements. The ARS model is available immediately.

About Savvysoft

Savvysoft, a New York City-based provider of high-caliber OTC derivatives analytics, and portfolio and risk management systems, has been named the #1 ranked Derivatives Analytics vendor four years in a row by Risk Magazine. Savvysoft’s products handle OTC derivatives in every traded market, and are used by thousands of institutions in 15 countries worldwide. These institutions include top-tier banks, dealers, brokers, money managers, energy suppliers, corporate treasurers, auditors and consultants. Savvysoft was founded by Rich Tanenbaum, the head of Derivatives Research at Bankers Trust (now Deutsche Bank). Rich was a founding member of the first OTC derivatives desk on Wall Street at Bankers Trust.

All product names referenced herein are trademarks of their respective companies.

Contact: LeeAnn Chen (212) 742-8677 leeann@savvysoft.com

 

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