New York -- November 20, 2006 -- – Savvysoft, the award-winning derivatives analytics provider, has released a new model to price Snowball Bonds and Swaps. These path-dependent structured instruments pay a coupon which is the sum of a standard floating rate coupon, plus the prior coupon. However, the standard portion of the coupon can be like a regular floater, or an inverse floater, which can lead to coupons which rise or fall over time. The inverse floater is the more common type.
“Snowballs are simple structures to describe, yet their pricing can be very difficult to do correctly. We’ve taken great pains to ensure our model is stable and that the values match the market,” said Rich Tanenbaum, Savvysoft founder, and the new model’s author. “Snowballs continue the TOPS tradition to cover any and every structure in any and every market, making Savvysoft a one-stop shop for all plain vanilla and exotic derivatives.”
Savvysoft’s Snowball model can handle many variations on the basic Snowball structure. The standard portion of the floating rate contains a leverage factor and a spread, both of which can be positive of negative. In addition, they can each change over time according to a schedule, and the instrument can amortize. The instrument can also be callable, with a Bermudan exercise. There can also be an initial fixed coupon for a given lockout period.
The Snowball model is available immediately.
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 each of the last two years by Risk Magazine and Euromoney. 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.
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Contact: LeeAnn Chen (212) 742-8677 leeann@savvysoft.com
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