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Former Head Of Bankers Trust Derivatives Research Announces Tops 2000 Credit

First software package to meet urgent demand for sophisticated valuation and risk management models in booming credit derivatives market

NEW YORK, May 5, 1999 --Savvysoft announced today the release of TOPS 2000 Credit, a new software package forpricing and hedging Credit Derivatives. This product allows all investors to finallymeasure and control their risk exposure to corporate and emerging market securities.TOPS 2000 Credit is capable of handling the full range of credit derivatives, includingTotal Rate of Return Swaps, Credit Default Swaps, Credit Linked Notes, Credit SpreadOptions, Credit Baskets and others. The software is written in a completely generalfashion, so it is possible to value any contingent cashflow based on any type of creditevent. The product was designed by Rich Tanenbaum, the head of Derivatives Research atBankers Trust when the bank dominated the OTC derivatives market.

The models behind TOPS 2000 Credit are based on the probability of default, and thepackage includes a module for backing out implied default probabilities from corporatebond prices. This makes the package particularly simple to use.

"TOPS 2000 Credit is unique in that in addition to letting the user input theprobability of an issuer default, it can also base its calculations on the probabilityof counterparty default, and the correlation between these two probabilities," saysTanenbaum. "The probabilities themselves may be functions of time, interest ratelevels and stock price levels, giving the user an unprecedented level of control overtheir credit derivative valuation."

Cathy Willis of SG Securities, a TOPS 2000 Credit beta tester, says "TOPS 2000 Creditfollows in the same tradition as TOPS: its design is very clean and modular, makingit super easy to create new structures."

Like the rest of the TOPS 2000 line, TOPS 2000 Credit can run inside spreadsheetssuch as Excel and Applix, on PCs or Unix. It can also be integrated into thirdparty packages from Infinity (Infinity, Panorama, Opus and Devon), Summit,Algorithmics, Frustum, AFA Systems, CATS, Decision Software and others, or in-housesoftware. When used inside a spreadsheet, dialog boxes and a template builder areavailable. TOPS 2000 Credit also features Power Range. This allows users to valuederivatives based on full yield curves, volatility curves and forward price curves.In addition, it lets companies value derivatives with step-up/step-down coupons,amortizing/accreting/roller coaster notionals, changing strike prices, and more.


Savvysoft is a New York City based provider of world class derivatives pricing andanalytics which was started by Rich Tanenbaum, an options pioneer and the formerhead of Bankers Trust Derivatives Research. Rich was a founding member of BTsderivatives group, the first OTC derivatives desk on Wall Street. Formally launchedin 1995, TOPS is now used by over 700 top-tier banks, dealers, brokers, moneymanagers, energy suppliers, corporate treasurers, auditors and consultants in 15countries worldwide. The software is available on PCs and Unix machines. TOPS isavailable as spreadsheet add-ins for Excel, 1-2-3 and Applix, as subroutines, andintegrates with sophisticated trading systems such as Infinity 7.0. Savvysoft'scorporate headquarters are in downtown New York City at 17 State Street, 4thFloor, New York, NY 10004. Tel: 212-742-8677; Fax: 212-425-8677;Web: www.savvysoft.com


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