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Savvysoft Announces New Model To Price PRDCs

Capable of handling every type of exotic variation, including knockouts and callables

New York -- October 15, 2008 -- Savvysoft, the award-winning derivatives analytics provider, announced the release today of a new model to price Power Reverse Dual Currency Bonds and Swaps. These highly structured instruments pay a floating rate of interest based on the change in a foreign exchange rate.

“PRDCs are an interesting play on interest rates as well as currencies,” said Rich Tanenbaum, Savvysoft founder, and creator of the new model. “They can also be quite complex, with a formulaic payoff that contains lots of bells and whistles. It’s yet another example of our commitment to have our TOPS models cover any and every structure out there that trades.”

Savvysoft’s PRDC model can handle many variations on the basic PRDC structure. The formula is paid according to a leverage factor times the change in the FX rate from a pre-determined level, minus a spread, subject to a cap and a floor. Since the leverage factor and the spread can take on any value, positive or negative, straight floaters as well as inverse floaters can be valued. The instruments can be callable, as well as knocked out if the FX rate hits a barrier. And the amount of notional paid at maturity can be different depending on whether the knockout occurs. Also, the pre-determined base FX rate, the leverage factor, the spread, the cap, the floor, the notional and the barrier can all change over time according to a schedule. There can also be an initial fixed coupon for a given lockout period. All this flexibility is seen throughout Savvysoft’s TOPS line of OTC models, allowing users to price all the structures that trade today, and even those that have not been invented yet.

The PRDC 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 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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