Bank of America Merrill Lynch Enhances Canada Equity Algorithms


<p>NEW YORK, <chron>Dec. 7</chron> /CNW/ -- Bank of America Merrill Lynch today announced several significant enhancements to its algorithmic trading platform for Canadian equities, including the introduction of several well-known algorithms to <location>Canada</location> and other changes designed to deliver improved execution performance for clients.</p>

    (Logo: )

<p>"Investors in Canadian equities are constantly looking for ways to optimize their trading strategies and we are pleased to introduce these enhancements, which are based on detailed quantitative analysis and supported by a dedicated local trading desk," said Michael J. Lynch, head of Americas Execution Services.</p>
<p>"Market structure changes in <location>Canada</location> require ongoing development and investment in our algorithmic suite and create opportunities for strategies like Instinct®," added Daniel Nachtman, Algorithms Product Manager.</p>

    Enhancements to the platform include:

    --  Introduction of the popular Instinct® algorithm to Canada. Designed to
        effectively execute small- and mid-cap names, this strategy is
        especially well-suited for the Canadian market.

    --  Launch of a new Quantitative Implementation Shortfall algorithm (QIS).
        The result of a comprehensive analysis focused on execution quality,
        QIS increased benchmark performance approximately 30% in its U.S.

    --  Enhancements to the limit order model and introduction of micro-price
        logic.  These execution models have been tailored specifically to suit
        the Canadian market microstructure.

    --  Interlisted trading engine that analyzes real-time FX rates and
        consolidated market data in order to provide efficient cross border
        execution and settlement (U.S. and Canada).

    --  More than 20 additional improvements to existing algorithms, including
        improved spread sensitivity for the widely used "Getdone" strategy.

<p>Bank of America Merrill Lynch is a leading global provider of equity and options trading, sales and research services to mutual funds, hedge funds, broker-dealers, pensions, endowments and other institutions. Its algorithmic trading platform has earned awards for price improvement, anonymity, ease of use and cost(2). Bank of America Merrill Lynch is a member of more than 80 exchanges worldwide and has maintained a presence in <location>Canada</location> for more than 40 years.</p>

    Bank of America
<p>Bank of America is one of the world's largest financial institutions, serving individual consumers, small- and middle-market businesses and large corporations with a full range of banking, investing, asset management and other financial and risk management products and services. The company's corporate and investment banking, and sales and trading businesses operate under the Bank of America Merrill Lynch brand.  Bank of America Merrill Lynch focuses on middle-market and large corporations, institutional investors, financial institutions and government entities. It provides innovative services in M&A, equity and debt capital raising, lending, trading, risk management, research, and liquidity and payments management.  Bank of America Merrill Lynch serves clients in more than 150 countries and has relationships with 99 percent of the U.S. Fortune 500 companies and nearly 96 percent of the Fortune Global 500.</p>
<p>Bank of America Merrill Lynch is the marketing name for the global banking and global markets businesses of Bank of America Corporation.  Lending, derivatives, and other commercial banking activities are performed globally by banking affiliates of Bank of America Corporation, including Bank of America, N.A., member FDIC.  Securities, strategic advisory, and other investment banking activities are performed globally by investment banking affiliates of Bank of America Corporation ("Investment Banking Affiliates"), including, in the <location>United States</location>, Banc of America Securities LLC and Merrill Lynch, Pierce, Fenner & Smith Incorporated, which are both registered broker-dealers and members of FINRA and SIPC, and, in other jurisdictions, locally registered entities.  Investment products offered by Investment Banking Affiliates:  Are Not FDIC Insured * <person>May Lose</person> Value * Are Not Bank Guaranteed</p>
<p>(1) Improvement in performance based on a three-month review of several hundred thousand orders by the Bank of America Quantitative Analysis group.</p>
    (2) The Trade (Jan.- Mar. 2009)

<p>Copyright 2009 Bank of America Corporation. All rights reserved. Bank of America, Merrill Lynch, Instinct and their logos are trademarks of Bank of America Corporation and/or its affiliates.</p>


For further information: For further information: Kerrie McHugh, Bank of America Merrill Lynch, +1-646-855-3375,

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