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Savvysoft Announces New Asset/Liability Management System

STARS ALM includes optimization with presentation-quality output

New York -- August 17, 2009 -- Savvysoft, the award-winning derivatives analytics provider, has just released a new Asset/Liability Management system. Called STARS ALM, it allows institutions to optimize their debt and investment mix, and measure their risk across scenarios.

STARS ALM handles investments in every asset class, including both domestic and international debt and equity, as well as fixed and floating debt issuance, and swaps. Users are able to add as many asset classes as they need, and enter expected returns, volatilities and correlations for all asset classes.

Based on this information, STARS ALM generates thousands of multi-period scenarios of cash flows and valuations (for example scenarios of cash flows 1 year out, 2 years out, 3 years out, for as long a horizon as is needed).

These scenarios are derived taking into account the rebalancing of the assets back to the desired asset mix, as well as dealing with user-defined policies for bond reissuance upon maturity and a call event. It can also deal with collateral posting on swaps.

The system is then able to derive an efficient frontier based on the scenario data, which represents the highest return for each given level of risk, or alternatively the lowest risk for each given rate of return. Given user preferences, the efficient frontier can then be reduced to a single point which represents the optimal mix of assets and liabilities.

STARS ALM is also capable of measuring the risk and return of any arbitrary investment portfolio, debt portfolio and set of swaps. This allows the user to easily see the amount of improvement in risk and return that can be achieved by following the system’s recommendations.

The measures of risk and return can be flexibly defined by the user, and STARS ALM offers many ways to view the risk and return statistics. For example, a graph of the efficient frontier is available, as well as a table showing the holdings for each point on the frontier. A frequency distribution of cash flows across scenarios is also available, as well as cash flow over time, and bar charts of the current and proposed asset mixes.

Key ratios are also calculated across the scenarios, including:

  • Days Cash On Hand

  • Maximum Annual Debt Service Coverage

  • Debt-to-Capitalization

  • Operating Margin

  • Cash/Debt

  • Excess Margin

  • Operating Cashflow Margin

  • Debt to Cashflow

These can all be displayed in a table showing their expected value as well as percentile values.

All graphs and tables are presentation quality and may be directly inserted in Microsoft Office documents (Word, Excel and PowerPoint).

STARS ALM 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 five 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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