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Savvysoft Releases New Model To Price TARNS


New York -- September 5, 2006 -- Savvysoft, the award-winning derivatives analytics provider, today released a new model to price Target Accrual Redemption Notes and Swaps. These instruments pay a floating rate of interest, up until the time that a pre-determined maximum amount of interest has been paid, at which point they mature. Thus, the amount of interest to be earned is known, but the timing of the interest, and the maturity of the instrument, is not. The model has the ability to price a TARN, as well as calculate its expected life.

“TARN products are very popular,” said Rich Tanenbaum, Savvysoft founder, and developer of the new model. “They represent a new type of payoff. And as we have done with other new traded products, we’ve quickly added them to our TOPS line of models, which continues to cover every instrument in every asset class.”

Savvysoft’s TARN model is extremely flexible, to handle many types of variations, such as straight floaters, inverse floaters, and notes with a known fixed coupon during an initial lockout period.

The TARN 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 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.

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

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

 

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