CRÉDIT AGRICOLE CHEUVREUX EXTENDS PAIRS-TRADING ALGORITHMS TO NORTH AMERICA

Posted September 8, 2009

NEW YORK -- Crédit Agricole Cheuvreux North America has enhanced and extended its successful Pan-European pairs trading desk with the addition of algorithms for the North American markets, enabling clients to obtain optimal execution when taking advantage of merger and statistical arbitrage opportunities.

The North American algorithmic suite now includes a strategy which combines a mixture of in-house developed methodology and outsourced solutions, these enable a full service pairs execution desk to trade risk/merger arbitrage pairs as well as statistical arbitrage and long/short market neutral trading on a low latency automated basis. The algorithms can maintain a share ratio or be cash neutral in their execution methodology. The strategy includes numerous trading methodologies and pricing models including ‘outperform’ (a tolerance on a price differential from a benchmark), spread, ratio, inverse ratio, premium/discount and annualized premium.

“CA Cheuvreux’s pairs trading strategies are fully integrated within our North American high-touch offering which allows our clients to benefit from our local trading expertise and best execution capabilities,” says Ian Peacock, Global Head of Execution Services of CA Cheuvreux. “Our pairs trading solution offers low latency and is capable of intelligently accessing over 60 trading destinations, including dark pools, to ensure best execution.”

CA Cheuvreux’s industry-leading algorithms are capable of being aggressive, passive, and working on both sides of the spread as well as when in-line on the hit/lift level to improve execution. The medium-touch pairs offering is fully integrated within CA Cheuvreux’s powerful combination of low latency DMA, industry leading algorithmic trading, global program trading and traditional sales-trading.