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CACIB eBusiness

FX Algorithmic Execution Strategies

Confidential

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CACIB FX Algo Strategies

EAGLE Aggressive liquidity taking Algorithm

Rapid order fills

Time to execute to driving criteria

FALCON Volume opportunistic algorithm intended for urgent execution

Aggressively completes the order while striving to beat the

arrival sweep-to-fill benchmark

Control level of aggression versus risk appetite

Capture spread with floating element

TWAP Time Weighted Average Price

Helps minimize the slippage against the TWAP benchmark

Adapts schedule when price signal is favourable

Varies the size and frequency of trading around the schedule to minimise detection

OWL Targets a percentage of historical volume

Calculates an end time to meet participation rate

Aims to capture spread

Distributes orders over trajectory to minimise impact

Adapts to real time trading volume

SWAN Peg to the Bid/Offer without changing the limit price

Capture the spread while tracking a schedule

Minimise market impact

Passive only✓

Highly customisable strategies

✓Suite of Algo strategies to suit risk

management requirements

✓Comprehensive TCA Reporting

EXPECTED EXECUTION TIME

SP

RE

AD

CA

PT

UR

E

✓ KEY ATTRIBUTES OF STRATEGIES

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TWAP (Time Weighted Average Price)

Description

TWAP (Time Weighted Average Price) is a trajectory based algorithm that works orders over a given time horizon by spreading the trades along a linear distribution. Able to switch to a rapid fill mode when price is reached or can adapt the trading schedule on price signals to take advantage of better prices, or pull back when the market turns unfavourable.

Parameters

Start/End Time : The start & end time of the order. (Default: Submission time, NY end)Price Sensitivity : Speed up when market turn favourable, slow down when market turns

adverse (Default: Not Enabled)Price Sensitivity Level : Low, Medium, High. (Default: Medium)Price Sensitivity Min Qty % : Price Sensitivity can slow the algorithm down. This setting ensures that a

minimum % of the order gets executed in the time frameI Would Price : Price where the order enters in to a rapid fill mode (Default: None)I Would Qty % : Percentage of the order to complete at the I Would Price (Default: None)

Example

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Hisltoric Market Volume

TWAP VolumeTWAP trades a linear

schedule

Use when• Tracking a TWAP benchmark• Executing large volumes but minimising impact• Executing over longer time frames

Features• Anti gaming logic to minimise detection• Adapts to favourable price moves• Aims to be passive and not cross the spread

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GMD eBusiness

OWL (Percent of Historical Volume)

Description

OWL is a trajectory based algorithm that works out the trading horizon based on the target participation rate. Orders with a higher participation rate will execute faster than orders with a lower participation rate, with the exact trajectory being calculated by targeting a specific fraction of historical market volume.

Parameters

Start/End Time : The start & end time of the order. (Default: Submission time, NY end)Target Volume % : The intended target participation rate based on historical volume in that pairI Would Price : Price where the order enters in to a rapid fill mode (Default: None)I Would Qty % : Percentage of the order to complete at the I Would Price (Default: None)

Example

Use when• You want to track a proportion of volume• Executing large volumes but minimising impact• Executing over longer time frames

Features• Anti gaming logic to minimise detection• Aims to be passive and not cross the spread• Calculates the end time for you

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Historic Market VolumeTarget Volume

OWL trades in line

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GMD eBusiness

FALCON (Urgent Liquidity Seeking)

Description

FALCON is a liquidity seeking algorithm that will post passively to capture the spread and take aggressively to get the orderdone quickly. It tracks trading activity in the currency pair so it can adapt to changing market conditions. Enter a limit price to behave like a take profit and limit impact, and define a stoploss threshold at which the algo should get you done more urgently.

Parameters

Start/End Time : The start & end time of the order. (Default: Submission time, NY end)Aggression : Low, Medium, High. Aggression is a baseline trade participation ration. (Default: Medium)

Stop Loss Threshold : The price at which to activate the stop loss. (Default: None)

Example

Use when• High urgency to trade• Taking liquidity at a price level

Features• Takes more aggressively as prices become less

favourable• Take Opportunistically when liquidity reveals itself• Adapts to current vs historic trading activity

1.19065

1.1907

1.19075

1.1908

1.19085

1.1909

1.19095

1.191

1.19105

1.1911

1.19115

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Places passive orders at the Bid

FALCON starts.Limit set at 1.191

Takes aggressivelywhen the far touch

reaches 1.191

fills passively

Places passive orders at the Bid

FALCON starts.Limit set at 1.191

Takes aggressivelywhen the far touch

reaches 1.191

fills passively

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SWAN

Description

SWAN is a passive, liquidity providing algorithm designed to passively post and re-peg with the market. It target a certain percent of the trade activity for executing order passively and by not crossing the spread. It aims for the lowest market impact and the highest level of anonymity.

Parameters

Start/End Time : The start & end time of the order. (Default: Submission time, NY end)Aggression : Low/Medium/ High , least to most aggressive, it target a certain percent of trades, more aggressive levels (Default: Medium)I Would Price : Price to breach to activate rapid fill sweep (Default : None)I Would Qty : Percent of order to execute if price threshold is breached (Default : None)

Example

Use when• Targeting a certain fraction of market activity• Executing large volumes but minimising impact• Executing order passively and not crossing the spread

Features• Multiple configurable level of aggression selected

by the user• Placing orders across a selected range of venues

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ask

bid

mid

Small Size

Medium Size

Big Size

: Aggression

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CACIB FX Algo Post Trade Reporting

• Transaction Cost Analysis Reporting1. Full Transparency on brokerage

2. Breakdown of child executions

3. Shows how effectively spread is captured

4. Venue analysis

5. Available immediately post trade

Majors Scandies CEEMEA APAC LATAMEURUSD AUDUSD EURSEK EURPLN USDSGD USDMXN

GBPUSD NZDUSD EURNOK EURCZK USDCNHEURGBP USDCAD EURDKK EURHUF EURCNH

USDJPY USDCHF USDZAREURCHF

✓CACIB FX Algorithmic strategies are available in the currency pairs detailed below

✓These pairs constitute >90% of the spot FX flow transacted in the global market

✓ DISTRIBUTION CHANNELS

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Disclaimer

© 2018 CRÉDIT AGRICOLE CORPORATE AND INVESTMENT BANK, all rights reserved.

The information presented in this document (this “Presentation”) has been prepared by Crédit Agricole Corporate and Investment Bank or one of its affiliates (together with their

respective directors, officers or employees, “CACIB”). It has been provided to you for your information on a strictly confidential basis, solely for your use and it may not be reproduced

or distributed without the written permission of CACIB.

No Offer:

Nothing contained in this Presentation should be construed as an offer or the solicitation of an offer (i) for services or products, or (ii) to enter into any contract or transaction.

Non-Reliance on CACIB:

CACIB does not act as a fiduciary or advisor to any recipient of this Presentation. Nothing contained in this Presentation should be considered as a recommendation to enter into any

transaction or contract. CACIB is under no obligation to amend or update the information in this Presentation.

CACIB makes no representation as to the suitability of any service, product, transaction or contract or the tax, legal, regulatory or accounting treatment of any transaction or contract

that may be described in this Presentation. You should ensure that prior to entering into a service, product, transaction or contract you have: (i) fully investigated, analysed and

understood the potential risks, rewards and implications of the transaction or contract; and (ii) determined that it is suitable in the context of your investment objectives and

circumstances. Accordingly, you should consult such financial, tax, accounting, legal, regulatory and other professional advisors as you consider appropriate before entering into any

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CACIB makes no representation or warranty and gives no assurance, whether express or implied, as to (i) the accuracy, timeliness, completeness or fitness for any particular purpose

of any information contained in this Presentation; or (ii) the accuracy, completeness or reasonableness of any assumption, forecast, scenario analysis or financial model related

information contained in this Presentation. Under no circumstances shall CACIB have any liability whatsoever to any person or entity for any resulting loss or damage or other

circumstances within or outside the control of CACIB.

While it is expected on average that Spread Capture and Expected Execution Time for the chosen algo strategy will follow the relationship shown in the chart there is no guarantee

this will be the case.

Regulatory Status:

CRÉDIT AGRICOLE CORPORATE AND INVESTMENT BANK is authorised by the Autorité de Contrôle Prudentiel et de Résolution (ACPR) and supervised by the European Central

Bank (ECB), the ACPR and the Autorité des Marchés Financiers (AMF) in France and subject to limited regulation by the Financial Conduct Authority and the Prudential Regulation

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