Transcript Document

CHEUVREUX
Execution services
 Direct Market Access
 FIX Connectivity
 Algorithmic Trading
 Program trading
 CFD
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A unique access for global market coverage
 A network of memberships in
Europe / Eastern Europe
 US Access through
Calyon Securities
 Asian Access
through
 Paris
 Stockholm
 Brussels
 Amsterdam
 Lisbon
 Virt-X
 SWX
 NYSE
 NASDAQ
 ECNs
 AMEX
 Oslo
 Helsinki
 Milan
 Madrid
 London
 Frankfurt
 Vienna
 Copenhagen
 Coming soon: Poland,
Hungary, Czech Republic
 Tokyo
 Osaka
 Hong Kong
 Singapore
 Taipei
 Australia
 New Zealand
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An international client base
 Our clientele is HIGHLY INTERNATIONAL
Asset managers
Hedge funds
Proprietery traders
Private banks
Brokers
Breakdown of Cheuvreuxs’ brokerage by client country - YTD 2005
North
America
16%
Continental
Europe
22%
AMEA
2%
France
20%
UK
40%
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Platform Overview
GL Net
TradingScreen,ORC,
Flextrade, RealTick,…
FIX
(FIX compliant GUIs …)
T.N.S.
Radianz
WWW
Client
O.M.S.
Direct Market Access
GL Win
GL protocol
FIX
DMA
ROR, TAL
GlobalTopic
Bloomberg
Tradingscreen
FIX
ROR
Tradingscreen
Autex Connect/ATR
Routing
T.N.S.,
Radianz
SwiftNet
WWW
O.M.S.
Sales-traders
Program Trading
Algorithms
Client
CAC
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Exchange
Specific
Gateways
Exchanges
Full range of service in a STP world
Pre-Trade / Trade
D.M.A
IOI
(MarketGateway)
(Bloomberg, ROR* , Tradignscreen* )
Orders
(Single or Baskets)
FRONT-END
Real- Time Executions
CHEUVREUX
Electronic
Brokerage
System
Sales Trading
Intelligent Routing
Capabilities
Single Stocks
STOCK
EXCHANGES
Program
Desks
Pre/ Post Analysis
Algorithms
VW AP % VOL
Close
…
CLIENTS
Post- Trade
BACK-END
Allocations
Clearing
Matching
Settlement
Settl t Instrct
(SWIFT)
Clearing House
(OASYS, FIX, e-mail,
FTP, …)
Intelligent
Settlement 1
Trade Confirmations
(Oasys, SWIFT, FTP, e-mail, fax, …)
Custodian/
Prime Broker
CHEUVREUX
M/ O – B/ O
Platform
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Trade by trade
Trade aggregation
Trade Netting
Settlement
CFDs reports
(Website, FTP, e-mail, …)
Central Securit y
Depositary /
Local Custodian
Synthetic
Prime Bro kerage
(CFDs)
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Margining/ Positions
Valuation
A wide spectrum of connectivity solutions
 Direct Market Access
 Fast, accurate and “empowered” execution
 No interference with your trading – Straight order delivery to the market
 Cost effective and highly competitive
 Order Routing Facilities
 Easy to connect
 Secure delivery to the market – Real time monitoring of your intraday order flow
 A dedicated platform providing for independence of execution
 Connectivity Services
 Orders delivered to a centralized order book
 Quality execution through a dedicated sales trading team
 Expertise
Enabling you to optimize the management of your order flow!!!
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Performance, reliability and security
 Performance
 Latency: 500 ms round trip (from sending order to acknowledgement)
 More than 200 institutions trading on a daily basis
 Reliability
 Centralized Order Book
 Fault resilient back-up servers
 System of alerts to better streamline your flow
 Full redundancy
 Security
 Disaster Recovery site ensuring smooth transition and retention of trading data
 End to end monitoring of your order flow
Ensuring Continuity of Trading
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Availability (2004)
 Market Access Availability
(as a percentage of exchange Continuous trading time)
Euronext
Xetra
VirtX & SWX
SAX & HEX
Spain
Italy
UK - SETS
99.662 %
99.58 %
99.633 %
99.898 %
99.593 %
99.615 %
99.643 %
FIX connection system availability
FIX – DMA
99.89 %
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Connectivity: a flexible choice
 A wide range of connectivity options tailored to your trading needs and
preferences
 Standalone systems

OMS
GL Net (GL Win, GL API)
Bloomberg
Reuters

MacGregor
Radianz
Charles River
TNS
Decalog
VPN (www)
TradingScreen

Orc
Realtick
Royal Blue - Fidessa

Networks
Network Hubs
SWIFT net
Coming soon
NYFIX
Latent Zero
Thomson – Global Topic Trader
London Stock Exchange Network
Flextrade
Tradeware
Trader Force
Ullinknet

FIX versions
4.0, 4.1, 4.2
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Algorithmic Trading
Strategy
VWAP
Description
Match the VWAP over the
defined period and in the
potenti ally price limit frame
If Would level i ndic ated :
level were order is
immediatel y c ompleted
% Volume
Hunt
Stop
Start Time
End-Time
(G.M.T.)
(G.M.T.)
Limit Price
Stop price
Max %
Volume
Would
Level
Display
Size
Min Size
Connectivity
Available through:
Mandatory
Mandatory
(by default input ti me)
(by default Market cl ose)
Optional
N/A
Optional
Optional
N/A
N/A
Participate in line with
Volume at predefined level
If Would level i ndic ated :
level were order is
immediatel y c ompleted
Iceberg
Parameters
Reproduce an Iceberg order
with s howi ng small siz e to
the mar ketpl ace while
wor king a larger order
Systematic ally hit the
specified opposite bid/as k
Reproduce a Stop loss
Order (useful for exchange
whic h does not handle s uch
kind of orders)
Close
Execute at closi ng aucti on
Opening
Execute at opening auction
Impact
Optimizer
Try to r educe the
Impl ementation Shrotfall
Target
Last
Try to exec ute at the price of
the s pecifi ed end ti me with
Market Impac t optimis ation
TWAP
Execute in a ti me linear
slicing
Mandatory
Mandatory
(by default input ti me)
(by default Market cl ose)
Mandatory
Mandatory
(by default input ti me)
(by default Market cl ose)
Mandatory
Mandatory
(by default input ti me)
(by default Market cl ose)
Optional
N/A
Mandatory
Optional
N/A
N/A
Mandatory
N/A
N/A
N/A
Mandatory
N/A
Mandatory
N/A
N/A
N/A
N/A
Mandatory
Optional
Mandatory
N/A
N/A
N/A
N/A
Mandatory
Mandatory
(by default input ti me)
(by default Market cl ose)
N/A
N/A
Mandatory
N/A
N/A
N/A
N/A
N/A
N/A
N/A
Mandatory
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
Mandatory
N/A
N/A
N/A
N/A
N/A
N/A
Mandatory
Mandatory
(by default input ti me)
(by default Market cl ose)
Optional
N/A
Optional
Optional
N/A
N/A
Mandatory
Mandatory
(by default input ti me)
(by default Market cl ose)
Mandatory
(by default input ti me)
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•
•
Bloomberg
FIX
Coming soon :
• Reuters
• GL
• Tradingscreen
• Fidessa
• …
Notes :
• N/A : non available
Program trading – Reducing Market Impact
 A Specialist
 Specialist in mid caps/small caps flow
 Dedicated program traders within the trading team
 Dedicated Back office for program confirmation and settlement
 Efficiency
 High cross-rate ratio => reducing market impact
 Access to flow from 1,000 active institutional clients
 Flexibility
 Taylor-made service to clients, covering a wide variety of programs: Pure agency, Benchmark agency, Incentive or
guaranteed benchmarks, Long short or capital neutral programs
 Choice of centralised trading in Paris or via local specialised traders to capture flows from domestic clients
 A large choice of connectivity solutions: GL Trade, trading screen, TNT, Mac Gregor, Bloomberg, Thomson,
Reuters, SwiftNet, Internet, A dedicated platform providing for independence of execution
 Reliability
 Constant monitoring throughout the day for market impact
 Reports against your benchmark
 State of the art settlement services
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CFD Product overview - Characteristics
Definition
A Contract for Difference is an agreement between two parties to exchange, at the close of the
contract, the difference between the opening price and the closing price, multiplied by the number
of shares specified within the contract.
 Buy a CFD allows to benefit from a long position performance
 Sell a CFD allows to benefit from a short position performance
Characteristics
Leverage effect
Financing
Maturity
•
A client holding :
•
To Buy/Sell a CFD, only a deposit is required (e.g.
10-20% of the underlying value of the stock)
•
of long CFD position is liable to overnight
financing charge (Libor + applicable spread)
applied to the underlying value of the stock
•
of short position will be credited from overnight
financing (Libor - applicable spread) applied to the
underlying value of the stock
Daily P&L margining
A CFD has no settlement date, it is an openended contract
 In practice CFDs are limited to 364 days to
avoid Tax on deposit remuneration
Tax
•
CFD are not liable to UK Stamp Duty
CFD are revalued at the close of each business day :
• Profits are credited from client account
Dividends
Delivery
• Losses are debited from client account with
resulting margin call
Dividends are
•
•
credited to client for Long CFD position
•
debited from client for Short CFD position
CFD is a performance contract without physical
delivery of the underlying