Credit Default Swaps have become the credit hedge of choice for most convertible arbitrage traders. Imagineâs new features will make these structured products more easily analyzed, traded and incorporated into a multi-asset trading strategy.
The Credit Default Swaps module offers highly flexible multi-currency credit curves. As is customary for Imagine users, credit exposures can also be calculated and broken out by any desired perspective â e.g., by issuer, by counterparty, by industry sector or by credit rating. The new model supports reference issues and recovery rates for any credit sensitive security. The Imagine Trading System will also calculate an implied credit spread, given the CDS swap rate, enabling users to âtuneâ the model inputs of their convertible and fixed income securities. This enhancement further rounds out the already comprehensive financial asset class and trading strategies coverage offered by Imagine. Strategies supported include Long/Short, Volatility, Arbitrage, Global Macro, plus others utilizing equity, fixed income, credit, convertible, Forex, and structured products.