New York -- July 26, 2007 -- Savvysoft, the award-winning derivatives analytics provider, has created a new pricing model for Snowblade Bonds and Swaps. These path-dependent structured instruments contain features of Snowballs as well as TARNS. Like a Snowball, they pay a coupon which is the sum of a standard floating rate coupon, plus the prior coupon, with the standard portion of the coupon like a regular floater, or an inverse floater. Like a TARN, the total interest paid of the life of the instrument is limited to a pre-determined amount. Once that interest has been paid, it matures. If the total interest has not been paid by the stated maturity date, then the remaining interest is paid and it matures on the original stated date.
“Snowblades have an extremely complex payout, and are a perfect example of how structured notes can be precisely set up to handle the risk and return profiles of a particular class of investors. We’re pleased to be able to offer this new product as part of our TOPS line of exotic OTC pricing models,” said Rich Tanenbaum, Savvysoft founder, and the creator of the new model. “The addition of Snowballs to the TOPS library demonstrates our commitment to add new structures as they start to trade in the market, and allow us to continue to offer models for nearly every instrument in every asset class.”
Savvysoft’s Snowblade model can handle many variations on the basic Snowblade 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 Snowblade 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 three 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.
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Contact: LeeAnn Chen (212) 742-8677 leeann@savvysoft.com
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