Cheyne, which has been an Imagine client for a number of years, is one of Europe's most respected diversified alternative investment managers, with assets under management exceeding $6 billion and investment expertise spanning credit, real estate debt, event driven, convertible bond, and equity strategies.

The new UCITS fund was launched in response to strong investor demand and required specific risk measurement and monitoring processes to be implemented. In particular, Cheyne required automated historical and parametric VaR calculations. Using issuer-specific credit data with the corresponding volatilities and correlations generated by Imagine, Cheyne was able to build in the specific risk measures necessary for this UCITS fund.

Moreover, Imagine's ability to compute any native or user-defined risk measure for all risk factors at any level of aggregation from position to fund level gave Cheyne the added flexibility essential in actively managing risk for the new fund. In conjunction with the custom reporting available to all Imagine users, Cheyne is able to meet its regulatory obligations and satisfy the requirements of its investors.

"Cheyne Capital is a dynamic firm that prides itself on reacting quickly to investor demand," commented Dr. Vasilios Siokis, Chief Risk Officer at Cheyne. "As such, we required a relatively short lead time to implement the new risk measures and processes for this fund. The high level of customization offered by Imagine's software, as well as its fully managed data, enabled us to meet these deadlines and has provided us with best-in-class risk management for this new fund."

Dr. Lance Smith, CEO at Imagine, said, "Our ability to add support for UCITS funds clearly demonstrates that flexibility is one of the hallmarks of the Imagine Trading System. We are delighted to help facilitate Cheyne's expansion into the UCITS arena, and we look forward to continuing to serve their ongoing needs."