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Best execution review 2018RTS 28/Article 65(6)
April 2019
Not for distribution within a country where distribution would be contrary to applicable law or regulations.
3
BEST EXECUTION REVIEW 2018
Introduction
As part of the Markets in Financial Instruments Directive (“MIFID II”), the European Securities and Markets Authority (ESMA) requires all Investment Firms to publish, on an annual basis, information on the top 5 execution venues used and the quality of execution obtained. MIFID II requires this disclosure to be split between two reports; Regulatory Technical Standard 28 (“RTS 28”) and Delegated Regulation Article 65(6).
Where an Investment Firm has executed an order on an execution venue, the order is captured under RTS 28. Where the Investment Firm has placed an order with a broker then it is captured in Article 65(6). For clarity:
• ‘Execution’ occurs where the Investment Firm executes an order directly against an execution venue: e.g. a regulated market, Multilateral Trading facility (MTF), Organised Trading Facility (OTF), Systematic Internaliser, a market maker or other liquidity provider.
• ‘Placement’ is where the Investment Firm places an order with another entity for it to execute, such as a broker or affiliated dealing desk.
The data and related commentary is for the calendar year 2018.
Extra information
Within RTS 28, where the trade has been agreed via a Request-For-Quote (RFQ) System of a Trading Venue, the Trading Venue may appear in the top 5 table instead of the underlying counterparty with whom the transaction was agreed. To provide more transparency, an additional table has been provided under ‘Extra Information’ with details of the underlying investment firms used.
Within Article 65(6), where an affiliated dealing desk appears in the top 5 table, an additional table has been provided under ‘Extra Information’ to provide more transparency to the underlying investment firms used.
BEST EXECUTION REVIEW 2018
1
EquitiesShares & Depositary Receipts
Tick size liquidity bands 5 and 6 (from 2000 trades per day)
RTS (28)
CLASS OF INSTRUMENT Equities Shares & Depositary Receipts
NOTIFICATION IF <1 AVERAGE TRADE PER BUSINESS DAY IN THE PREVIOUS YEAR N
TOP FIVE EXECUTION VENUES RANKED IN TERMS OF TRADING VOLUMES (DESCENDING ORDER)
PROPORTION OF VOLUME TRADED AS A
PERCENTAGE OF TOTAL IN THAT CLASS
PROPORTION OF ORDERS EXECUTED AS
A PERCENTAGE OF TOTAL IN THAT CLASS
PERCENTAGE OF PASSIVE
ORDERS
PERCENTAGE OF AGGRESSIVE
ORDERS
PERCENTAGE OF DIRECTED
ORDERS
Morgan Stanley & Co. International PLC (4PQUHN3JPFGFNF3BB653)
36.84 19.22 0.00 0.00 0.00
Goldman Sachs International(W22LROWP2IHZNBB6K528)
16.27 8.36 0.00 0.00 0.00
HSBC Bank PLC(MP6I5ZYZBEU3UXPYFY54)
10.12 16.03 0.00 0.00 0.00
Barclays Capital Securities Limited(K9WDOH4D2PYBSLSOB484)
9.32 8.02 0.00 0.00 0.00
Merrill Lynch International(GGDZP1UYGU9STUHRDP48)
8.05 10.17 0.00 0.00 0.00
ESMA requires Investment Firms to group equity orders according to tick size liquidity bands. Liquidity bands are based on the average daily number of transactions executed on the most relevant market of the instrument in question. The tick size liquidity band that was in place for the majority of the year has been applied to all orders. Non-EEA equities with no tick size data have been included in ‘Other Instruments.’
2
BEST EXECUTION REVIEW 2018
Article 65(6)
CLASS OF INSTRUMENT Equities Shares & Depositary Receipts
NOTIFICATION IF <1 AVERAGE TRADE PER BUSINESS DAY IN THE PREVIOUS YEAR N
TOP FIVE INVESTMENT FIRMS RANKED IN TERMS OF TRADING VOLUMES (DESCENDING ORDER)
PROPORTION OF VOLUME TRADED AS A PERCENTAGE OF
TOTAL IN THAT CLASS
PROPORTION OF ORDERS EXECUTED AS A PERCENTAGE OF
TOTAL IN THAT CLASS
Morgan Stanley & Co. International PLC(4PQUHN3JPFGFNF3BB653)
15.47 11.56
J.P. Morgan Securities PLC (K6Q0W1PS1L1O4IQL9C32)
7.50 10.14
Investment Technology Group Limited (213800EEC95PRUCEUP63)
7.18 8.61
Credit Suisse Securities (Europe) Limited (DL6FFRRLF74S01HE2M14)
7.18 5.31
HSBC Bank PLC (MP6I5ZYZBEU3UXPYFY54)
7.09 11.73
BEST EXECUTION REVIEW 2018
3
CLASS OF INSTRUMENT Equities Shares & Depositary Receipts
NOTIFICATION IF <1 AVERAGE TRADE PER BUSINESS DAY IN THE PREVIOUS YEAR
N
TOP FIVE EXECUTION VENUES RANKED IN TERMS OF TRADING VOLUMES (DESCENDING ORDER)
PROPORTION OF VOLUME TRADED AS A
PERCENTAGE OF TOTAL IN THAT CLASS
PROPORTION OF ORDERS EXECUTED
AS A PERCENTAGE OF TOTAL IN THAT CLASS
PERCENTAGE OF PASSIVE
ORDERS
PERCENTAGE OF AGGRESSIVE
ORDERS
PERCENTAGE OF DIRECTED
ORDERS
J.P. Morgan Securities PLC (K6Q0W1PS1L1O4IQL9C32)
27.15 13.75 0.00 0.00 0.00
Joh. Berenberg Gossler & Co. Kg (529900UC2OD7II24Z667)
12.08 10.42 0.00 0.00 0.00
HSBC Bank PLC (MP6I5ZYZBEU3UXPYFY54)
11.05 13.54 0.00 0.00 0.00
UBS AG (BFM8T61CT2L1QCEMIK50)
8.94 8.96 0.00 0.00 0.00
Barclays Capital Securities Limited (K9WDOH4D2PYBSLSOB484)
8.67 7.71 0.00 0.00 0.00
RTS (28)
Tick size liquidity bands 3 and 4 (from 80 to 1999 trades per day)
4
BEST EXECUTION REVIEW 2018
Tick size liquidity bands 3 and 4 (from 80 to 1999 trades per day)
CLASS OF INSTRUMENT Equities Shares & Depositary Receipts
NOTIFICATION IF <1 AVERAGE TRADE PER BUSINESS DAY IN THE PREVIOUS YEAR
N
TOP FIVE INVESTMENT FIRMS RANKED IN TERMS OF TRADING VOLUMES (DESCENDING ORDER)
PROPORTION OF VOLUME TRADED AS A PERCENTAGE OF
TOTAL IN THAT CLASS
PROPORTION OF ORDERS EXECUTED AS A PERCENTAGE OF
TOTAL IN THAT CLASS
Investec Asset Management Hong Kong Limited (213800T9WL75FWKGWG76)
16.50 2.96
Morgan Stanley & Co. International PLC (4PQUHN3JPFGFNF3BB653)
9.26 8.69
J.P. Morgan Securities PLC (K6Q0W1PS1L1O4IQL9C32)
8.22 9.84
Citigroup Global Markets Limited (XKZZ2JZF41MRHTR1V493)
7.07 4.10
Cantor Fitzgerald Europe (549300KM6VUHPKQLQX53)
6.15 1.78
Article 65(6)
BEST EXECUTION REVIEW 2018
5
Tick size liquidity bands 3 and 4 (from 80 to 1999 trades per day)
Article 65(6) Extra Information
The table below shows information on orders placed with Investec Asset Management Hong Kong Limited. The values shown are a proportion of the volume traded with each of the top 5 Investment Firms as a percentage of the total in that class of financial instruments.
CLASS OF INSTRUMENT Equities Shares & Depositary Receipts
TOP FIVE INVESTMENT FIRMS RANKED IN TERMS OF TRADING VOLUMES (DESCENDING ORDER)
PROPORTION OF VOLUME TRADED AS A PERCENTAGE OF
TOTAL IN THAT CLASS
PROPORTION OF ORDERS EXECUTED AS A PERCENTAGE OF
TOTAL IN THAT CLASS
Merrill Lynch International (GGDZP1UYGU9STUHRDP48)
6.82 0.76
Goldman Sachs International (W22LROWP2IHZNBB6K528)
3.71 0.46
ITG Hong Kong Limited(54930088A108K3K5M708)
1.36 0.17
Citigroup Global Markets Limited (XKZZ2JZF41MRHTR1V493)
1.18 0.31
Instinet Pacific Limited (549300RI6VZUNIR81J81)
1.04 0.33
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BEST EXECUTION REVIEW 2018
Tick size liquidity band 1 and 2 (from 0 to 79 trades per day)
RTS 28
CLASS OF INSTRUMENT Equities Shares & Depositary Receipts
NOTIFICATION IF <1 AVERAGE TRADE PER BUSINESS DAY IN THE PREVIOUS YEAR
N
TOP FIVE EXECUTION VENUES RANKED IN TERMS OF TRADING VOLUMES (DESCENDING ORDER)
PROPORTION OF VOLUME TRADED AS A
PERCENTAGE OF TOTAL IN THAT CLASS
PROPORTION OF ORDERS EXECUTED
AS A PERCENTAGE OF TOTAL IN THAT CLASS
PERCENTAGE OF PASSIVE
ORDERS
PERCENTAGE OF AGGRESSIVE
ORDERS
PERCENTAGE OF DIRECTED
ORDERS
J.P. Morgan Securities PLC (K6Q0W1PS1L1O4IQL9C32)
29.87 33.28 0.00 0.00 0.00
HSBC Bank PLC (MP6I5ZYZBEU3UXPYFY54)
16.12 28.38 0.00 0.00 0.00
Morgan Stanley & Co. International PLC (4PQUHN3JPFGFNF3BB653)
15.36 18.57 0.00 0.00 0.00
USB AG (BFM8T61CT2L1QCEMIK50)
10.01 7.28 0.00 0.00 0.00
Merrill Lynch International (GGDZP1UYGU9STUHRDP48)
8.60 2.23 0.00 0.00 0.00
BEST EXECUTION REVIEW 2018
7
Tick size liquidity band 1 and 2 (from 0 to 79 trades per day)
Article 65(6)
CLASS OF INSTRUMENT Equities Shares & Depositary Receipts
NOTIFICATION IF <1 AVERAGE TRADE PER BUSINESS DAY IN THE PREVIOUS YEAR
N
Top Five Investment Firms Ranked In Terms Of Trading Volumes (Descending Order)
Proportion Of Volume Traded As A Percentage Of Total In That Class
Proportion Of Orders Executed As A Percentage Of Total In That Class
Investec Asset Management Hong Kong Limited (213800T9WL75FWKGWG76)
17.29 17.32
J.P. Morgan Securities PLC (K6Q0W1PS1L1O4IQL9C32)
12.32 15.34
Morgan Stanley & Co. International PLC (4PQUHN3JPFGFNF3BB653)
9.03 12.06
HSBC Bank PLC MP6I5ZYZBEU3UXPYFY54
7.65 14.57
Citigroup Global Markets Limited XKZZ2JZF41MRHTR1V493
7.45 5.26
8
BEST EXECUTION REVIEW 2018
Tick size liquidity band 1 and 2 (from 0 to 79 trades per day)
Article 65(6) Extra Information
The table below shows information on orders placed with Investec Asset Management Hong Kong Limited. The values shown are a proportion of the volume traded with each of the top 5 Investment Firms as a percentage of the total in that class of financial instruments.
CLASS OF INSTRUMENT Equities Shares & Depositary Receipts
TOP FIVE INVESTMENT FIRMS RANKED IN TERMS OF TRADING VOLUMES (DESCENDING ORDER)
PROPORTION OF VOLUME TRADED AS A PERCENTAGE OF
TOTAL IN THAT CLASS
PROPORTION OF ORDERS EXECUTED AS A PERCENTAGE OF
TOTAL IN THAT CLASS
UBS Securities Asia Limited (549300Y35FCB6270R069)
2.06 2.32
Citigroup Global Markets Limited (XKZZ2JZF41MRHTR1V493)
1.85 1.75
Goldman Sachs International (W22LROWP2IHZNBB6K528)
1.49 1.36
Morgan Stanley & Co. International PLC (4PQUHN3JPFGFNF3BB653)
1.39 1.28
Liquidnet Europe Limited (213800ZIRB79BE5XQM68)
1.39 0.89
BEST EXECUTION REVIEW 2018
9
a. Relative importance given to the Execution Factors The majority of transactions were reasonably liquid, and execution could be achieved across multiple venues in most countries, so price was relatively the most important factor. Given the fragmented liquidity across many of the global equity markets, careful venue choices had to be made in order to maximise the likelihood of execution particularly where the instrument is less liquid. A reasonable proportion of our equity orders are above a normal tradeable size, so great care is taken by the trader over the execution strategy for these trades. Our traders have the ability to utilise various different execution strategies which include algorithmic, programme, crossing networks and block trading. Execution costs are always carefully considered when selecting execution strategy and assessing which venue offers the lowest execution impact. In times of increased market volatility, as was seen during the most of 2018, speed of execution can become more of a focus. Where there is relatively low volatility, speed of execution was generally lower in importance except for larger sized trades where we had to be more sensitive to this factor. Finally, any conditions around each trade are always clearly communicated to the Trading Team through our order management system and adhered to by the trader.
b. Common Ownerships and Conflicts of Interest Investec Securities is a part of the Investec Group, together with IAM, and provides us with essential liquidity access to certain equity markets and therefore forms a natural part of our best execution process. We do not consider this a conflict of interest and they are subject to the same Best Execution rules as all other venues.
c. Venue Arrangements All commission sharing arrangements, as referenced in last year’s Best Execution Review, were terminated by Investec Asset Management Limited London at the end of 2017. As a result of this all execution counterparties and venues were changed to an execution-only commission rate structure from the beginning of 2018. Also at the beginning of 2018 we undertook our annual commission rate review against a comprehensive third-party global consultation survey in order to ensure our rates across all trade-types remained fair and competitive. In addition, there are no specific arrangements concerning rebates or non-monetary benefits with any current execution venues.
d. Execution Venues During the course of the year we added two equity execution counterparties to our approved list. One in order to improve our access to liquidity in the local Dutch market and another in order to improve our access to liquidity in the local Japanese market with a particular focus on their block execution product. One execution counterparty was removed from our approved list due to a deterioration in our liquidity access requirement from them. This did not impact our best execution process. We also ensured that the execution counterparty chosen was able to access all the required execution venues in order to ensure the most efficient price discovery.
10
BEST EXECUTION REVIEW 2018
e. Client Categories All clients were treated in exactly the same way by our independent Trading Desk in accordance with our Execution Policy.
f. Retail Clients This is not applicable, as we do not currently execute retail client orders.
g. Quality of Execution Our pre-trade liquidity and price discovery ensured our trade execution was of the highest quality. Equity transaction cost analysis was performed using Bloomberg’s BTCA product. We utilise BTCA in various ways which include a daily exception process as well as monthly and quarterly reports that analyse our trading data in several different ways. For the 2018 review we have not made use of any RTS 27 venue execution data. We are however currently in the process of considering how to make best use of the RTS 27 tables in order to ascertain which of these tables would be most relevant to our trading activity monitoring requirements. We have been in contact with a third-party data provider who will be able to help us with this assessment.
BEST EXECUTION REVIEW 2018
11
Debt instruments Bonds
RTS 28
CLASS OF INSTRUMENT Debt Instruments Bonds
NOTIFICATION IF <1 AVERAGE TRADE PER BUSINESS DAY IN THE PREVIOUS YEAR
N
TOP FIVE EXECUTION VENUES RANKED IN TERMS OF TRADING VOLUMES (DESCENDING ORDER)
PROPORTION OF VOLUME TRADED AS A
PERCENTAGE OF TOTAL IN THAT CLASS
PROPORTION OF ORDERS EXECUTED
AS A PERCENTAGE OF TOTAL IN THAT CLASS
PERCENTAGE OF PASSIVE
ORDERS
PERCENTAGE OF AGGRESSIVE
ORDERS
PERCENTAGE OF DIRECTED
ORDERS
Bloomberg Trading Facility - MTF 41.47 28.41 0.00 0.00 0.00
Marketaxess Europe - MTF 13.13 22.70 0.00 0.00 0.00
Morgan Stanley & Co. International PLC (4PQUHN3JPFGFNF3BB653)
5.85 3.30 0.00 0.00 0.00
JP Morgan Securities PLC (K6Q0W1PS1L1O4IQL9C32)
5.55 7.06 0.00 0.00 0.00
Citigroup Global Markets Limited (XKZZ2JZF41MRHTR1V493)
5.31 5.25 0.00 0.00 0.00
12
BEST EXECUTION REVIEW 2018
RTS 28 Extra Information
The table below shows the Top 5 Investment Firms ranked in terms of trading volume of all orders executed via Bloomberg Trading Facility – MTF
CLASS OF INSTRUMENT Debt Instruments Bonds
TOP FIVE INVESTMENT FIRMS RANKED IN TERMS OF TRADING VOLUMES (DESCENDING ORDER)
PROPORTION OF VOLUME TRADED AS A PERCENTAGE OF
TOTAL IN THAT CLASS
PROPORTION OF ORDERS EXECUTED AS A PERCENTAGE OF
TOTAL IN THAT CLASS
HSBC BankK PLC (MP6I5ZYZBEU3UXPYFY54)
4.84 8.26
J.P. Morgan Securities PLC (K6Q0W1PS1L1O4IQL9C32)
4.05 0.78
Deutsche Bank Aktiengesellschaft (7LTWFZYICNSX8D621K86)
3.84 2.87
Merrill Lynch International (GGDZP1UYGU9STUHRDP48)
3.83 3.32
ING Bank N.V. (3TK20IVIUJ8J3ZU0QE75)
3.58 4.60
BEST EXECUTION REVIEW 2018
13
RTS 28 Extra Information
The table below shows the Top 5 Investment Firms ranked in terms of trading volume of all orders executed via MarketAxess Europe – MTF
CLASS OF INSTRUMENT Debt Instruments Bonds
TOP FIVE INVESTMENT FIRMS RANKED IN TERMS OF TRADING VOLUMES (DESCENDING ORDER)
PROPORTION OF VOLUME TRADED AS A PERCENTAGE OF
TOTAL IN THAT CLASS
PROPORTION OF ORDERS EXECUTED AS A PERCENTAGE OF
TOTAL IN THAT CLASS
HSBC Bank PLC (MP6I5ZYZBEU3UXPYFY54)
1.75 2.17
Citigroup Global Markets Limited (XKZZ2JZF41MRHTR1V493)
1.38 1.95
J.P. Morgan Securities PLC (K6Q0W1PS1L1O4IQL9C32)
1.17 2.13
BNP Paribas (R0MUWSFPU8MPRO8K5P83)
0.83 1.66
Goldman Sachs International (W22LROWP2IHZNBB6K528)
0.82 1.27
14
BEST EXECUTION REVIEW 2018
Article 65(6)
CLASS OF INSTRUMENT Debt Instruments Bonds
NOTIFICATION IF <1 AVERAGE TRADE PER BUSINESS DAY IN THE PREVIOUS YEAR
N
TOP FIVE INVESTMENT FIRMS RANKED IN TERMS OF TRADING VOLUMES (DESCENDING ORDER)
PROPORTION OF VOLUME TRADED AS A PERCENTAGE OF
TOTAL IN THAT CLASS
PROPORTION OF ORDERS EXECUTED AS A PERCENTAGE OF
TOTAL IN THAT CLASS
Investec Asset Management North America, Inc. (549300O7JGTAQICP0Q97)
33.75 45.18
Goldman Sachs International (W22LROWP2IHZNBB6K528)
19.14 9.94
Investec Asset Management (PTY) Limited (2138002UF3SGWU6MR348)
14.03 11.88
Citigroup Global Markets Limited (XKZZ2JZF41MRHTR1V493)
9.99 10.79
Scotiabank Europe PLC (5G6NVP4WADOI32VUUB17)
6.12 4.73
BEST EXECUTION REVIEW 2018
15
CLASS OF INSTRUMENT Debt Instruments Bonds
TOP FIVE INVESTMENT FIRMS RANKED IN TERMS OF TRADING VOLUMES (DESCENDING ORDER)
PROPORTION OF VOLUME TRADED AS A PERCENTAGE
OF TOTAL IN THAT CLASS
PROPORTION OF ORDERS EXECUTED AS A PERCENTAGE
OF TOTAL IN THAT CLASS
Citigroup Global Markets Limited (XKZZ2JZF41MRHTR1V493)
2.62 2.78
Citigroup Global Markets Inc (MBNUM2BPBDO7JBLYG310)
2.37 1.17
J.P. Morgan Securities LIC (ZBUT11V806EZRVTWT807)
1.90 1.91
Merrill Lynch International (GGDZP1UYGU9STUHRDP48)
1.58 2.51
Jefferies International Limited (S5THZMDUJCTQZBTRVI98)
1.50 3.08
Article 65(6) Extra Information
The table below shows information on orders placed with Investec Asset Management North America, Inc. The values shown are a proportion of the volume traded with each of the top 5 Investment Firms as a percentage of the total in that class of financial instruments.
16
BEST EXECUTION REVIEW 2018
CLASS OF INSTRUMENT Debt Instruments Bonds
TOP FIVE INVESTMENT FIRMS RANKED IN TERMS OF TRADING VOLUMES (DESCENDING ORDER)
PROPORTION OF VOLUME TRADED AS A PERCENTAGE
OF TOTAL IN THAT CLASS
PROPORTION OF ORDERS EXECUTED AS A PERCENTAGE
OF TOTAL IN THAT CLASS
Nedbank LTD (213800ZBWY3BU3UUMA42)
3.63 2.82
ICBC Standard Bank PLC (F01VVKN4DRF2NWKGQ283)
3.10 2.42
Absa Bank Limited (SLI1CVYMJ21DST0Q8K25)
2.91 2.02
Firstrand Bank Limited (ZAYQDKTCATIXF9OQY690)
2.22 2.41
HSBC Bank PLC (MP6I5ZYZBEU3UXPYFY54)
1.10 0.97
Article 65(6) Extra Information
The table below shows information on orders placed with Investec Asset Management (Pty) Limited. The values shown are a proportion of the volume traded with each of the top 5 Investment Firms as a percentage of the total in that class of financial instruments.
BEST EXECUTION REVIEW 2018
17
Debt InstrumentsMoney markets instruments
CLASS OF INSTRUMENT Debt InstrumentsMoney Market Instruments
NOTIFICATION IF <1 AVERAGE TRADE PER BUSINESS DAY IN THE PREVIOUS YEAR N
TOP FIVE EXECUTION VENUES RANKED IN TERMS OF TRADING VOLUMES (DESCENDING ORDER)
PROPORTION OF VOLUME TRADED AS A
PERCENTAGE OF TOTAL IN THAT CLASS
PROPORTION OF ORDERS EXECUTED AS
PERCENTAGE OF TOTAL IN THAT CLASS
PERCENTAGE OF PASSIVE
ORDERS
PERCENTAGE OF AGGRESSIVE
ORDERS
PERCENTAGE OF DIRECTED
ORDERS
Bloomberg Trading Facility - MTF 49.66 60.99 0.00 0.00 0.00
UBS AG (BFM8T61CT2L1QCEMIK50)
16.01 9.68 0.00 0.00 0.00
Morgan Stanley & Co. International PLC (4PQUHN3JPFGFNF3BB653)
9.93 5.62 0.00 0.00 0.00
Citigroup Global Markets Limited (XKZZ2JZF41MRHTR1V493)
8.73 7.35 0.00 0.00 0.00
Tradeweb Europe - MTF 7.51 6.51 0.00 0.00 0.00
RTS 28
18
BEST EXECUTION REVIEW 2018
RTS 28 Extra Information
The table below shows the Top 5 Investment Firms ranked in terms of trading volume of all orders executed via Bloomberg Trading Facility – MTF
CLASS OF INSTRUMENT Debt InstrumentsMoney Market Instruments
TOP FIVE INVESTMENT FIRMS RANKED IN TERMS OF TRADING VOLUMES (DESCENDING ORDER)
PROPORTION OF VOLUME TRADED AS A PERCENTAGE OF
TOTAL IN THAT CLASS
PROPORTION OF ORDERS EXECUTED AS A PERCENTAGE
OF TOTAL IN THAT CLASS
HSBC BankK PLC (MP6I5ZYZBEU3UXPYFY54)
13.91 23.18
Citigroup Global Markets Limited (XKZZ2JZF41MRHTR1V493)
5.71 2.75
Nomura International PLC (DGQCSV2PHVF7I2743539)
5.66 2.57
Goldman Sachs International (W22LROWP2IHZNBB6K528)
4.17 2.33
The Toronto Dominion Bank (PT3QB789TSUIDF371261)
3.14 1.61
BEST EXECUTION REVIEW 2018
19
RTS 28 Extra Information
The table below shows the Top 5 Investment Firms ranked in terms of trading volume of all orders executed via TradeWeb Europe – MTF
CLASS OF INSTRUMENT Debt InstrumentsMoney Market Instruments
TOP FIVE INVESTMENT FIRMS RANKED IN TERMS OF TRADING VOLUMES (DESCENDING ORDER)
PROPORTION OF VOLUME TRADED AS A PERCENTAGE OF
TOTAL IN THAT CLASS
PROPORTION OF ORDERS EXECUTED AS A PERCENTAGE
OF TOTAL IN THAT CLASS
Morgan Stanley & Co. International PLC (4PQUHN3JPFGFNF3BB653)
1.77 1.08
J.P. Morgan Securities PLC (K6Q0W1PS1L1O4IQL9C32)
1.57 1.19
Citigroup Global Markets Limited (XKZZ2JZF41MRHTR1V493)
1.22 1.61
The Royal Bank Of Scotland Public Limited Company (RR3QWICWWIPCS8A4S074)
0.71 0.78
Bnp Paribas (R0MUWSFPU8MPRO8K5P83)
0.57 0.48
20
BEST EXECUTION REVIEW 2018
Article 65(6)
CLASS OF INSTRUMENT Debt InstrumentsMoney Market Instruments
NOTIFICATION IF <1 AVERAGE TRADE PER BUSINESS DAY IN THE PREVIOUS YEAR
N
TOP FIVE INVESTMENT FIRMS RANKED IN TERMS OF TRADING VOLUMES (DESCENDING ORDER)
PROPORTION OF VOLUME TRADED AS A PERCENTAGE
OF TOTAL IN THAT CLASS
PROPORTION OF ORDERS EXECUTED AS A PERCENTAGE
OF TOTAL IN THAT CLASS
Icap Securities Limited (213800NMEZS3MD2IUP33)
28.34 23.86
Citigroup Global Markets Limited (XKZZ2JZF41MRHTR1V493)
21.75 26.19
ING Bank N.V. (3TK20IVIUJ8J3ZU0QE75)
18.40 16.08
Cooperatieve Rabobank U.A. (DG3RU1DBUFHT4ZF9WN62)
13.10 9.71
The Toronto Dominion Bank (DG3RU1DBUFHT4ZF9WN62)
6.90 5.26
BEST EXECUTION REVIEW 2018
21
a. Relative importance given to the Execution Factors A significant portion of our volume is in shorter maturity securities situated at the lower end of the credit curve, typically within emerging market debt, hence we are very price sensitive. We are highly conscious of market impact through the life of a full transaction hence we always consider the full cost of accessing liquidity, particularly impact cost and trade size. As part of our price discovery process we thoroughly assess the speed and likelihood of execution to ensure the optimal counterparty is selected.
b. Common Ownerships and Conflicts of Interest There are no close links or conflicts of interest with any venue that we currently use for fixed income execution.
c. Venue Arrangements There are no specific arrangements concerning rebates or non-monetary benefits with any current execution venues.
d. Execution Venues During the course of 2018 we made nine additions to our approved counterparty list in total. These counterparties provide us with access to additional pools of liquidity in emerging and developed market credit, particularly in Middle East, Asia and Russia and also provide local expertise on these specific markets. We also added traditional inter-dealer brokers as execution counterparties to give us direct access to their pools of liquidity. Further, we also added counterparties that specialise in local markets such as Russia and Mexico, providing us with local expertise in these markets. We removed two counterparties from our approved list
due to a deterioration in our liquidity access requirements from them. This did not affect our best execution process.
e. Client Categories All clients were treated in exactly the same way by our Trading Desk in accordance with our Execution Policy.
f. Retail Clients This is not applicable, as we do not currently trade retail client orders.
g. Quality of Execution Our pre-trade liquidity and price discovery ensured our trade execution was of the highest quality. We expect to be able to review transaction cost analysis for this asset class during 2019 utilising data from I.C.E., a third-party global bond transaction cost analysis provider. For the 2018 review we have not made use of any RTS 27 venue execution data. We are however currently in the process of considering how to make best use of the RTS 27 tables in order to ascertain which of these tables would be most relevant to our trading activity monitoring requirements. We have been in contact with a third-party data provider who will be able to help us with this assessment.
22
BEST EXECUTION REVIEW 2018
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BEST EXECUTION REVIEW 2018
23
Interest rates derivativesFutures and options admitted to trading on a trading venue
CLASS OF INSTRUMENT Interest rates derivativesFutures and options admitted to trading on a trading venue
NOTIFICATION IF <1 AVERAGE TRADE PER BUSINESS DAY IN THE PREVIOUS YEAR
N
TOP FIVE EXECUTION VENUES RANKED IN TERMS OF TRADING VOLUMES (DESCENDING ORDER)
PROPORTION OF VOLUME TRADED AS A
PERCENTAGE OF TOTAL IN THAT CLASS
PROPORTION OF ORDERS EXECUTED AS
PERCENTAGE OF TOTAL IN THAT CLASS
PERCENTAGE OF PASSIVE
ORDERS
PERCENTAGE OF AGGRESSIVE
ORDERS
PERCENTAGE OF DIRECTED
ORDERS
Citigroup Global Markets Limited (XKZZ2JZF41MRHTR1V493)
47.52 45.00 0.00 0.00 0.00
Goldman Sachs International (W22LROWP2IHZNBB6K528)
41.00 52.20 0.00 0.00 0.00
Skandinaviska Enskilda Banken AB (F3JS33DEI6XQ4ZBPTN86)
9.41
2.00 0.00 0.00 0.00
Morgan Stanley & Co. International PLC (4PQUHN3JPFGFNF3BB653)
2.07 0.80 0.00 0.00 0.00
RTS 28
24
BEST EXECUTION REVIEW 2018
Article 65(6)
CLASS OF INSTRUMENT Interest rates derivativesFutures and options admitted to trading on a trading venue
NOTIFICATION IF <1 AVERAGE TRADE PER BUSINESS DAY IN THE PREVIOUS YEAR
N
TOP FIVE INVESTMENT FIRMS RANKED IN TERMS OF TRADING VOLUMES (DESCENDING ORDER)
PROPORTION OF VOLUME TRADED AS A PERCENTAGE
OF TOTAL IN THAT CLASS
PROPORTION OF ORDERS EXECUTED AS A PERCENTAGE
OF TOTAL IN THAT CLASS
Goldman Sachs International (W22LROWP2IHZNBB6K528)
67.24 52.28
Citigroup Global Markets Limited (XKZZ2JZF41MRHTR1V493)
13.49 8.48
Investec Asset Management Hong Kong Limited (213800T9WL75FWKGWG76)
9.21 14.66
Investec Asset Management (PTY) Limited (2138002UF3SGWU6MR348)
8.62 23.24
Investec Asset Management North America, Inc. (549300O7JGTAQICP0Q97)
1.45 1.34
BEST EXECUTION REVIEW 2018
25
Article 65(6) Extra Information
The table below shows information on orders placed with Investec Asset Management Hong Kong Limited. The values shown are a proportion of the volume traded with each of the top 5 Investment Firms as a percentage of the total in that class of financial instruments.
CLASS OF INSTRUMENT Interest rates derivativesFutures and options admitted to trading on a trading venue
TOP FIVE INVESTMENT FIRMS RANKED IN TERMS OF TRADING VOLUMES (DESCENDING ORDER)
PROPORTION OF VOLUME TRADED AS A PERCENTAGE
OF TOTAL IN THAT CLASS
PROPORTION OF ORDERS EXECUTED AS A PERCENTAGE
OF TOTAL IN THAT CLASS
Goldman Sachs International (W22LROWP2IHZNBB6K528)
9.21 14.66
26
BEST EXECUTION REVIEW 2018
Article 65(6) Extra Information
The table below shows information on orders placed with Investec Asset Management (Pty) Limited. The values shown are a proportion of the volume traded with each of the top 5 Investment Firms as a percentage of the total in that class of financial instruments.
CLASS OF INSTRUMENT Interest rates derivativesFutures and options admitted to trading on a trading venue
TOP FIVE INVESTMENT FIRMS RANKED IN TERMS OF TRADING VOLUMES (DESCENDING ORDER)
PROPORTION OF VOLUME TRADED AS A PERCENTAGE
OF TOTAL IN THAT CLASS
PROPORTION OF ORDERS EXECUTED AS A PERCENTAGE
OF TOTAL IN THAT CLASS
ICBC Standard Bank PLC (F01VVKN4DRF2NWKGQ283)
4.51 8.08
Firstrand Bank Limited (ZAYQDKTCATIXF9OQY690)
3.22 11.03
Absa Bank Limited (SLI1CVYMJ21DST0Q8K25)
0.59 1.99
Nedbank LTD (213800ZBWY3BU3UUMA42)
0.30 2.14
BEST EXECUTION REVIEW 2018
27
Article 65(6) Extra Information
The table below shows information on orders placed with Investec Asset Management North America, Inc. The values shown are a proportion of the volume traded with each of the top 5 Investment Firms as a percentage of the total in that class of financial instruments.
CLASS OF INSTRUMENT Interest rates derivativesFutures and options admitted to trading on a trading venue
TOP FIVE INVESTMENT FIRMS RANKED IN TERMS OF TRADING VOLUMES (DESCENDING ORDER)
PROPORTION OF VOLUME TRADED AS A PERCENTAGE
OF TOTAL IN THAT CLASS
PROPORTION OF ORDERS EXECUTED AS A PERCENTAGE
OF TOTAL IN THAT CLASS
Goldman Sachs International (W22LROWP2IHZNBB6K528)
1.45 1.34
28
BEST EXECUTION REVIEW 2018
a. Relative importance given to the Execution Factors The majority of transactions are highly liquid and execution can readily be achieved across multiple venues available through the price discovery process. We place the highest importance on price alongside total execution cost e.g. commissions. Speed and likelihood of execution are secondary factors although would be very unlikely to replace price or cost as the most important factors. Often the nature of the transaction plays a role e.g. execution of such orders contingent on another security or where a specific market level is set.
b. Common Ownerships and Conflicts of Interest There are no close links or conflicts of interest with any venue that we currently use for execution of Futures and Options.
c. Venue Arrangements There are no specific arrangements concerning rebates or non-monetary benefits with any current execution venues.
d. Execution Venues During the course of the year we did not add or remove any execution counterparties to or from our approved list for this financial instrument.
e. Client Categories All clients were treated in exactly the same way by our Trading Desk in accordance with our Execution Policy.
f. Retail Clients This is not applicable, as we do not currently trade retail client orders.
g. Quality of Execution Pre-trade liquidity and price discovery procedures ensured our trade execution was of the highest quality. For the 2018 review we have not made use of any RTS 27 venue execution data. We are however currently in the process of considering how to make best use of the RTS 27 tables in order to ascertain which of these tables would be most relevant to our trading activity monitoring requirements. We have been in contact with a third-party data provider who will be able to help us with this assessment.
BEST EXECUTION REVIEW 2018
29
Interest rates derivativesSwaps, forwards, and other interest rates derivatives
CLASS OF INSTRUMENT Interest rates derivativesSwaps, forwards, and other interest rates derivatives
NOTIFICATION IF <1 AVERAGE TRADE PER BUSINESS DAY IN THE PREVIOUS YEAR
N
TOP FIVE EXECUTION VENUES RANKED IN TERMS OF TRADING VOLUMES (DESCENDING ORDER)
PROPORTION OF VOLUME TRADED AS A
PERCENTAGE OF TOTAL IN THAT CLASS
PROPORTION OF ORDERS EXECUTED AS
PERCENTAGE OF TOTAL IN THAT CLASS
PERCENTAGE OF PASSIVE
ORDERS
PERCENTAGE OF AGGRESSIVE
ORDERS
PERCENTAGE OF DIRECTED
ORDERS
Goldman Sachs International (W22LROWP2IHZNBB6K528)
64.96 57.35 0.00 0.00 0.00
J.P. Morgan Securities PLC (K6Q0W1PS1L1O4IQL9C32)
16.63 8.82 0.00 0.00 0.00
Citibank National Association (E57ODZWZ7FF32TWEFA76)
9.23 23.32 0.00 0.00 0.00
HSBC Bank PLC (MP6I5ZYZBEU3UXPYFY54)
8.47 5.88 0.00 0.00 0.00
Barclays Bank PLC (G5GSEF7VJP5I7OUK5573)
0.39 1.47 0.00 0.00 0.00
RTS 28
30
BEST EXECUTION REVIEW 2018
Article 65(6)
CLASS OF INSTRUMENT Interest rates derivativesSwaps, forwards, and other interest rates derivatives
NOTIFICATION IF <1 AVERAGE TRADE PER BUSINESS DAY IN THE PREVIOUS YEAR
N
TOP FIVE INVESTMENT FIRMS RANKED IN TERMS OF TRADING VOLUMES (DESCENDING ORDER)
PROPORTION OF VOLUME TRADED AS A PERCENTAGE
OF TOTAL IN THAT CLASS
PROPORTION OF ORDERS EXECUTED AS A PERCENTAGE
OF TOTAL IN THAT CLASS
Goldman Sachs International (W22LROWP2IHZNBB6K528)
99.82 97.31
Investec Asset Management (PTY) Limited (2138002UF3SGWU6MR348)
0.18 2.69
BEST EXECUTION REVIEW 2018
31
Article 65(6) Extra Information
The table below shows information on orders placed with Investec Asset Management (Pty) Limited. The values shown are a proportion of the volume traded with each of the top 5 Investment Firms as a percentage of the total in that class of financial instruments.
CLASS OF INSTRUMENT Interest rates derivativesSwaps, forwards, and other interest rates derivatives
TOP FIVE INVESTMENT FIRMS RANKED IN TERMS OF TRADING VOLUMES (DESCENDING ORDER)
PROPORTION OF VOLUME TRADED AS A PERCENTAGE
OF TOTAL IN THAT CLASS
PROPORTION OF ORDERS EXECUTED AS A PERCENTAGE
OF TOTAL IN THAT CLASS
Goldman Sachs International (W22LROWP2IHZNBB6K528)
0.18 2.69
32
BEST EXECUTION REVIEW 2018
a. Relative importance given to the Execution Factors The majority of transactions are large in scale hence we are conscious of market footprint and sensitive to pricing throughout the life of the transaction whilst considering the full cost of accessing liquidity. Speed and likelihood of execution are not typically prioritised ahead of price, however we do find two key liquidity providers are more efficient in pricing of such transactions when considering their credit support annex (‘CSA’) coverage and the differentiating CSA cost across mandates. Thus overall cost is a key consideration in broker selection. The standard settlement cycle of this asset class makes the likelihood of settlement factor less of a concern than the price and costs. Likelihood of execution is a consideration as unlike many other instrument classifications banks do not provide access to every market which is a unique feature within the asset class.
b. Common Ownerships and Conflicts of Interest There are no close links or conflicts of interest with any venue that we currently use for fixed income execution.
c. Venue Arrangements There are no specific arrangements concerning rebates or non-monetary benefits with any current execution venues.
d. Execution Venues During the course of the year we added two additional counterparties to our approved list for this financial instrument. Both were added in order for us to be able to increase our global foreign exchange execution scope.
e. Client Categories All clients were treated in exactly the same way by our Trading Desk in accordance with our Execution Policy.
f. Retail Clients This is not applicable, as we do not currently trade retail client orders.
g. Quality of Execution Our pre-trade liquidity and price discovery ensured our trade execution was of the highest quality. For the 2018 review we have not made use of any RTS 27 venue execution data. We are however currently in the process of considering how to make best use of the RTS 27 tables in order to ascertain which of these tables would be most relevant to our trading activity monitoring requirements. We have been in contact with a third-party data provider who will be able to help us with this assessment.
BEST EXECUTION REVIEW 2018
33
Credit derivatives Other credit derivatives
CLASS OF INSTRUMENT Credit derivativesOther credit derivatives
NOTIFICATION IF <1 AVERAGE TRADE PER BUSINESS DAY IN THE PREVIOUS YEAR
N
TOP FIVE EXECUTION VENUES RANKED IN TERMS OF TRADING VOLUMES (DESCENDING ORDER)
PROPORTION OF VOLUME TRADED AS A
PERCENTAGE OF TOTAL IN THAT CLASS
PROPORTION OF ORDERS EXECUTED AS
PERCENTAGE OF TOTAL IN THAT CLASS
PERCENTAGE OF PASSIVE
ORDERS
PERCENTAGE OF AGGRESSIVE
ORDERS
PERCENTAGE OF DIRECTED
ORDERS
J.P. Morgan Securities PLC (K6Q0W1PS1L1O4IQL9C32)
61.31 64.18 0.00 0.00 0.00
Goldman Sachs International (W22LROWP2IHZNBB6K528)
38.69 35.82 0.00 0.00 0.00
RTS 28
34
BEST EXECUTION REVIEW 2018
Article 65(6)
NOTIFICATION IF <1 AVERAGE TRADE PER BUSINESS DAY IN THE PREVIOUS YEAR
Y
CLASS OF INSTRUMENTCredit derivativesOther credit derivatives
TOP FIVE EXECUTION VENUES RANKED IN TERMS OF TRADING VOLUMES (DESCENDING ORDER)
PROPORTION OF VOLUME TRADED AS A PERCENTAGE
OF TOTAL IN THAT CLASS
PROPORTION OF ORDERS EXECUTED AS PERCENTAGE
OF TOTAL IN THAT CLASS
Goldman Sachs International (W22LROWP2IHZNBB6K528)
100.00 100.00
BEST EXECUTION REVIEW 2018
35
a. Relative importance given to the Execution Factors The majority of transactions are large in scale hence we are conscious of market footprint and sensitive to pricing throughout the life of the transaction whilst considering the full cost of accessing liquidity. Speed and likelihood of execution are not typically prioritised ahead of price; however we do find two key liquidity providers are more efficient in pricing of such transactions when considering their credit support annex (‘CSA’) coverage and the differentiating CSA cost across mandates. Thus, overall cost is a key consideration in broker selection. The standard settlement nature of this asset class makes this factor less of a concern than the price and costs. Likelihood is a consideration as unlike many other instrument classifications banks do not provide access to every market which is a unique feature within the asset class.
b. Common Ownerships and Conflicts of Interest There are no close links or conflicts of interest with any venue that we currently use for fixed income execution.
c. Venue Arrangements There are no specific arrangements concerning rebates or non-monetary benefits with any current execution venues.
d. Execution Venues During the course of the year we added two additional counterparties to our approved list for this financial instrument. Both were added in order for us to be able to increase our global credit derivative execution scope.
e. Client Categories All clients were treated in exactly the same way by our independent Trading Desk in accordance with our Execution Policy.
f. Retail Clients This is not applicable, as we do not currently trade retail client orders.
g. Quality of Execution Our pre-trade liquidity and price discovery ensured our trade execution was of the highest quality. We are expecting to be able to review transaction cost analysis for credit derivatives during 2019. For the 2018 review we have not made use of any RTS 27 venue execution data. We are however currently in the process of considering how to make best use of the RTS 27 tables in order to ascertain which of these tables would be most relevant to our trading activity monitoring requirements. We have been in contact with a third-party data provider who will be able to help us with this assessment.
36
BEST EXECUTION REVIEW 2018
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BEST EXECUTION REVIEW 2018
37
Credit derivatives Futures and options admitted to trading on a trading venue
CLASS OF INSTRUMENT Currency derivativesFutures and options admitted to trading on a trading venue
NOTIFICATION IF <1 AVERAGE TRADE PER BUSINESS DAY IN THE PREVIOUS YEAR
Y
TOP FIVE EXECUTION VENUES RANKED IN TERMS OF TRADING VOLUMES (DESCENDING ORDER)
PROPORTION OF VOLUME TRADED AS A
PERCENTAGE OF TOTAL IN THAT CLASS
PROPORTION OF ORDERS EXECUTED AS
PERCENTAGE OF TOTAL IN THAT CLASS
PERCENTAGE OF PASSIVE
ORDERS
PERCENTAGE OF AGGRESSIVE
ORDERS
PERCENTAGE OF DIRECTED
ORDERS
Goldman Sachs International (W22LROWP2IHZNBB6K528)
98.21 52.31 0.00 0.00 0.00
Morgan Stanley & Co. International PLC (4PQUHN3JPFGFNF3BB653)
0.88 9.23 0.00 0.00 0.00
Citibank National Association (E57ODZWZ7FF32TWEFA76)
0.82 24.62 0.00 0.00 0.00
HSBC Bank PLC (MP6I5ZYZBEU3UXPYFY54)
0.09 13.85 0.00 0.00 0.00
RTS 28
38
BEST EXECUTION REVIEW 2018
Article 65(6)
CLASS OF INSTRUMENT Currency derivativesFutures and options admitted to trading on a trading venue
NOTIFICATION IF <1 AVERAGE TRADE PER BUSINESS DAY IN THE PREVIOUS YEAR
Y
TOP FIVE INVESTMENT FIRMS RANKED IN TERMS OF TRADING VOLUMES (DESCENDING ORDER)
PROPORTION OF VOLUME TRADED AS A PERCENTAGE
OF TOTAL IN THAT CLASS
PROPORTION OF ORDERS EXECUTED AS A PERCENTAGE
OF TOTAL IN THAT CLASS
Goldman Sachs International (W22LROWP2IHZNBB6K528)
100.00 100.00
BEST EXECUTION REVIEW 2018
39
a. Relative importance given to the Execution Factors The majority of transactions are highly liquid and execution can readily be achieved across multiple venues available through the price discovery process. We place the highest importance on price alongside total execution cost e.g. commissions. Speed and likelihood of execution are secondary factors although it would be very unlikely to replace price or cost as the most important factors. Often the nature of the transaction plays a role e.g. execution of such orders contingent on another security or where a specific market level is set.
b. Common Ownerships and Conflicts of Interest There are no close links or conflicts of interest with any venue that we currently use for fixed income execution.
c. Venue Arrangements There are no specific arrangements concerning rebates or non-monetary benefits with any current execution venues.
d. Execution Venues During the course of the year we did not add or remove any execution counterparties to or from our approved list.
e. Client Categories All clients were treated in exactly the same way by our independent Trading Desk in accordance with our Execution Policy.
f. Retail Clients This is not applicable, as we do not currently trade retail client orders.
g. Quality of Execution Our pre-trade liquidity and price discovery ensured our trade execution was of the highest quality. For the 2018 review we have not made use of any RTS 27 venue execution data. We are however currently in the process of considering how to make best use of the RTS 27 tables in order to ascertain which of these tables would be most relevant to our trading activity monitoring requirements. We have been in contact with a third-party data provider who will be able to help us with this assessment.
40
BEST EXECUTION REVIEW 2018
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BEST EXECUTION REVIEW 2018
41
Currency derivatives Swaps, forwards, and other currency derivatives
CLASS OF INSTRUMENT Currency derivativesSwaps, forwards, and other currency derivatives
NOTIFICATION IF <1 AVERAGE TRADE PER BUSINESS DAY IN THE PREVIOUS YEAR
N
TOP FIVE EXECUTION VENUES RANKED IN TERMS OF TRADING VOLUMES (DESCENDING ORDER)
PROPORTION OF VOLUME TRADED AS A
PERCENTAGE OF TOTAL IN THAT CLASS
PROPORTION OF ORDERS EXECUTED AS
PERCENTAGE OF TOTAL IN THAT CLASS
PERCENTAGE OF PASSIVE
ORDERS
PERCENTAGE OF AGGRESSIVE
ORDERS
PERCENTAGE OF DIRECTED
ORDERS
FX CONNECT – MTF 96.96 93.11 0.00 0.00 0.00
Citibank National Association (E57ODZWZ7FF32TWEFA76)
0.81 2.12 0.00 0.00 0.00
HSBC Bank PLC (MP6I5ZYZBEU3UXPYFY54)
0.76 1.41 0.00 0.00 0.00
Goldman Sachs International (W22LROWP2IHZNBB6K528)
0.74 1.69 0.00 0.00 0.00
J.P. Morgan Securities PLC (K6Q0W1PS1L1O4IQL9C32)
0.33 0.90 0.00 0.00 0.00
RTS 28
42
BEST EXECUTION REVIEW 2018
RTS 28 Extra Information
The table below shows the Top 5 Investment Firms ranked in terms of trading volume of all orders executed via FX Connect – MTF
CLASS OF INSTRUMENT Currency derivativesSwaps, forwards, and other currency derivatives
TOP FIVE INVESTMENT FIRMS RANKED IN TERMS OF TRADING VOLUMES (DESCENDING ORDER)
PROPORTION OF VOLUME TRADED AS A PERCENTAGE
OF TOTAL IN THAT CLASS
PROPORTION OF ORDERS EXECUTED AS A PERCENTAGE
OF TOTAL IN THAT CLASS
Citibank National Association (E57ODZWZ7FF32TWEFA76)
24.90 30.64
Goldman Sachs International (W22LROWP2IHZNBB6K528)
23.93 29.09
HSBC Bank PLC (MP6I5ZYZBEU3UXPYFY54)
21.89 14.86
J.P. Morgan Securities PLC (K6Q0W1PS1L1O4IQL9C32)
12.73 10.90
Standard Chartered Bank (RILFO74KP1CM8P6PCT96)
7.18 6.28
BEST EXECUTION REVIEW 2018
43
a. Relative importance given to the Execution Factors A substantial amount of our execution volume is esoteric in nature and large in scale, hence we are conscious of market footprint whilst sensitive to pricing throughout the life of the transaction, thus considering the full cost of accessing liquidity since trade inception. It would be difficult to suggest speed and likelihood of execution are prioritised ahead of price, however we do have efficient process to enable efficient execution of orders of standard market size. Our price discovery process which includes the review of transaction cost analysis and pre-trade analysis enables us to locate the most efficient counterparty depending on the characteristics of the order(s). Credit support annex (‘CSA’) coverage across mandates at the point of trade does play a role in broker selection. The standard settlement nature means this becomes lower priority with nature of the transaction due to the focus on price, size and cost.
b. Common Ownerships and Conflicts of Interest There are no close links or conflicts of interest with any venue that we currently use for fixed income execution.
c. Venue Arrangements There are no specific arrangements concerning rebates or non-monetary benefits with any current execution venues.
d. Execution Venues During the course of the year we added two additional counterparties to our approved list to for this financial instrument. Both were added in order for us to be able to increase our global foreign exchange derivative execution scope.
We also added an additional execution platform provided by Flextrade to improve the efficiency of our execution.
e. Client Categories All clients were treated in exactly the same way by our independent Trading Desk in accordance with our Execution Policy.
f. Retail Clients This is not applicable, as we do not currently trade retail client orders.
g. Quality of Execution Our pre-trade liquidity and price discovery ensured our trade execution was of the highest quality. For the 2018 review we have not made use of any RTS 27 venue execution data. We are however currently in the process of considering how to make best use of the RTS 27 tables in order to ascertain which of these tables would be most relevant to our trading activity monitoring requirements. We have been in contact with a t hird-party data provider who will be able to help us with this assessment.
44
BEST EXECUTION REVIEW 2018
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BEST EXECUTION REVIEW 2018
45
Structured finance instruments
CLASS OF INSTRUMENT Structured finance instruments
NOTIFICATION IF <1 AVERAGE TRADE PER BUSINESS DAY IN THE PREVIOUS YEAR
Y
TOP FIVE EXECUTION VENUES RANKED IN TERMS OF TRADING VOLUMES (DESCENDING ORDER)
PROPORTION OF VOLUME TRADED AS A
PERCENTAGE OF TOTAL IN THAT CLASS
PROPORTION OF ORDERS EXECUTED AS
PERCENTAGE OF TOTAL IN THAT CLASS
PERCENTAGE OF PASSIVE
ORDERS
PERCENTAGE OF AGGRESSIVE
ORDERS
PERCENTAGE OF DIRECTED
ORDERS
Barclays Bank PLC (G5GSEF7VJP5I7OUK5573)
43.91 48.15 0.00 0.00 0.00
Wells Fargo Securities International Limited (BWS7DNS2Z4NPKPNYKL75)
20.60 29.63 0.00 0.00 0.00
Merrill Lynch International (GGDZP1UYGU9STUHRDP48)
17.89 11.11 0.00 0.00 0.00
Goldman Sachs International (W22LROWP2IHZNBB6K528)
9.47 7.41 0.00 0.00 0.00
J.P. Morgan Securities PLC (K6Q0W1PS1L1O4IQL9C32)
8.13 3.70 0.00 0.00 0.00
RTS 28
46
BEST EXECUTION REVIEW 2018
Article 65(6)
CLASS OF INSTRUMENT Structured finance instruments
NOTIFICATION IF <1 AVERAGE TRADE PER BUSINESS DAY IN THE PREVIOUS YEAR:
Y
TOP FIVE INVESTMENT FIRMS RANKED IN TERMS OF TRADING VOLUMES (DESCENDING ORDER)
PROPORTION OF VOLUME TRADED AS A PERCENTAGE
OF TOTAL IN THAT CLASS
PROPORTION OF ORDERS EXECUTED AS A PERCENTAGE
OF TOTAL IN THAT CLASS
Investec Asset Management North America, Inc. (549300O7JGTAQICP0Q97)
87.81 93.10
Citigroup Global Markets Limited (XKZZ2JZF41MRHTR1V493)
12.19 6.90
BEST EXECUTION REVIEW 2018
47
CLASS OF INSTRUMENT Structured finance instruments
TOP FIVE INVESTMENT FIRMS RANKED IN TERMS OF TRADING VOLUMES (DESCENDING ORDER)
PROPORTION OF VOLUME TRADED AS A PERCENTAGE
OF TOTAL IN THAT CLASS
PROPORTION OF ORDERS EXECUTED AS A PERCENTAGE
OF TOTAL IN THAT CLASS
Barclays Bank PLC (G5GSEF7VJP5I7OUK5573)
43.38 37.93
Wells Fargo Securities LLC (VYVVCKR63DVZZN70PB21)
23.14 13.79
Bank Of America National Association (B4TYDEB6GKMZO031MB27)
11.65 17.24
Goldman Sachs International (W22LROWP2IHZNBB6K528)
5.35 20.69
Article 65(6) Extra Information
The table below shows information on orders placed with Investec Asset Management North America, Inc. The values shown are a proportion of the volume traded with each of the top 5 Investment Firms as a percentage of the total in that class of financial instruments.
48
BEST EXECUTION REVIEW 2018
a. Relative importance given to the Execution Factors For the credit linked notes traded within this category price was the most important factor to consider. We are also highly conscious of market impact through the life of a full transaction hence we always consider the full cost of accessing the underlying bond liquidity, particularly impact cost and trade size. As part of our price discovery process we thoroughly assess the speed and likelihood of execution to ensure the optimal execution strategy is implemented with the chosen counterparty.
b. Common Ownerships and Conflicts of Interest We do not execute any securitised derivatives trades with any affiliated execution counterparties of IAM.
c. Venue Arrangements Explicit commission rates per instrument are typically common across all execution counterparties. No commission is charged on securitised derivatives so this is therefore not a consideration in the venue that we use, as our most important execution factor is price, as explained above. In addition, there are no specific arrangements concerning rebates or non-monetary benefits with any current execution venues.
d. Execution Venues The securitised derivatives traded during the period under review were credit linked notes where we utilised one execution counterparty to construct the note and execute the underlying bond.
e. Client Categories All clients were treated in exactly the same way by our independent Trading Desk in accordance with our Execution Policy.
f. Retail Clients This is not applicable, as we do not currently trade retail client orders.
g. Quality of Execution The best execution process followed by our traders ensures a high quality of execution for securitised derivatives. For the 2018 review we have not made use of any RTS 27 venue execution data. We are however currently in the process of considering how to make best use of the RTS 27 tables in order to ascertain which of these tables would be most relevant to our trading activity monitoring requirements. We have been in contact with a third-party data provider who will be able to help us with this assessment.
BEST EXECUTION REVIEW 2018
49
Equity Derivatives Options and Futures admitted to trading on a trading venue
RTS 28
CLASS OF INSTRUMENT Currency derivativesSwaps, forwards, and other currency derivatives
NOTIFICATION IF <1 AVERAGE TRADE PER BUSINESS DAY IN THE PREVIOUS YEAR
N
TOP FIVE EXECUTION VENUES RANKED IN TERMS OF TRADING VOLUMES (DESCENDING ORDER)
PROPORTION OF VOLUME TRADED AS A
PERCENTAGE OF TOTAL IN THAT CLASS
PROPORTION OF ORDERS EXECUTED AS
PERCENTAGE OF TOTAL IN THAT CLASS
PERCENTAGE OF PASSIVE
ORDERS
PERCENTAGE OF AGGRESSIVE
ORDERS
PERCENTAGE OF DIRECTED
ORDERS
J.P. Morgan Securities PLC (K6Q0W1PS1L1O4IQL9C32)
73.74% 60.75% 0.00 0.00 0.00
Goldman Sachs International (W22LROWP2IHZNBB6K528)
13.34% 14.21% 0.00 0.00 0.00
Bank Of America National Association (B4TYDEB6GKMZO031MB27)
6.14% 2.88% 0.00 0.00 0.00
Morgan Stanley & Co. International PLC (4PQUHN3JPFGFNF3BB653)
5.78% 18.39% 0.00 0.00 0.00
Citigroup Global Markets Limited (XKZZ2JZF41MRHTR1V493)
0.96% 2.18% 0.00 0.00 0.00
50
BEST EXECUTION REVIEW 2018
Article 65(6)
CLASS OF INSTRUMENT Currency derivativesSwaps, forwards, and other currency derivatives
NOTIFICATION IF <1 AVERAGE TRADE PER BUSINESS DAY IN THE PREVIOUS YEAR
N
TOP FIVE EXECUTION VENUES RANKED IN TERMS OF TRADING VOLUMES (DESCENDING ORDER)
PROPORTION OF VOLUME TRADED AS A PERCENTAGE
OF TOTAL IN THAT CLASS
PROPORTION OF ORDERS EXECUTED AS PERCENTAGE
OF TOTAL IN THAT CLASS
Goldman Sachs International (W22LROWP2IHZNBB6K528)
43.72 35.90
Investec Asset Management Hong Kong Limited (213800T9WL75FWKGWG76)
43.02 25.50
Citigroup Global Markets Limited (XKZZ2JZF41MRHTR1V493)
13.24 38.37
Morgan Stanley & Co. International PLC (4PQUHN3JPFGFNF3BB653)
0.02 0.06
BEST EXECUTION REVIEW 2018
51
Article 65(6) Extra Information
The table below shows information on orders placed with Investec Asset Management Hong Kong Limited. The values shown are a proportion of the volume traded with each of the top 5 Investment Firms as a percentage of the total in that class of financial instruments.
CLASS OF INSTRUMENT Currency derivatives Swaps, forwards, and other currency derivatives
TOP FIVE INVESTMENT FIRMS RANKED IN TERMS OF TRADING VOLUMES (DESCENDING ORDER)
PROPORTION OF VOLUME TRADED AS A PERCENTAGE
OF TOTAL IN THAT CLASS
PROPORTION OF ORDERS EXECUTED AS A PERCENTAGE
OF TOTAL IN THAT CLASS
Goldman Sachs International (W22LROWP2IHZNBB6K528)
38.48 18.39
J.P. Morgan Securities PLC (K6Q0W1PS1L1O4IQL9C32)
2.66 4.64
Citigroup Global Markets Limited(XKZZ2JZF41MRHTR1V493)
1.88 2.47
52
BEST EXECUTION REVIEW 2018
a. Relative importance given to the Execution Factors The majority of transactions were reasonably liquid and execution could be achieved on the primary execution venue in all countries, so price was relatively the most important factor followed by counterparty selection to source liquidity. Additionally a reasonable proportion of our futures and options orders are relatively large in size, so great care is taken by the trader over the execution strategy for these trades making size of the order another important factor. In times of increased market volatility, as was seen during the most of 2018, speed of execution can become more of a focus. Where there is relatively low volatility, speed of execution was generally lower in importance except for larger sized trades where we had to be more sensitive to this factor. Costs for futures and options trading and clearing are generally negotiated up front and therefore do not have to be re-negotiated at the point of execution, particularly as most listed futures and options are traded on just one primary venue. All conditions around each trade are clearly communicated to the Trading Team through our order management system and adhered to by the trader.
b. Common Ownerships and Conflicts of Interest We do not execute any listed futures and options trades with any affiliated execution counterparties of IAM. We also do not have any clearing arrangements with any affiliated counterparties.
c. Venue Arrangements Explicit commission rates per instrument are typically common across all execution counterparties. This is therefore not a consideration in the venue that we use, as our most important execution factor is price, as explained above. In addition, there are no specific arrangements concerning rebates or non-monetary benefits with any current execution venues.
d. Execution Venues During the course of the year we did not add any listed futures and options execution counterparties to our approved list. We endeavoured to achieve trade execution on the venue that produced the best overall result which in most cases was the primary market.
e. Client Categories All clients were treated in exactly the same way by our independent Trading Desk in accordance with our Execution Policy.
f. Retail Clients This is not applicable, as we do not currently trade retail client orders
g. Quality of Execution Our pre-trade liquidity and price discovery ensured our trade execution was of the highest quality. We expect to be able to review transaction cost analysis for this asset class during 2019 utilising data from a third-party global transaction cost analysis provider. For the 2018 review we have not made use of any RTS 27 venue execution data. We are however currently in the process of considering how to make best use of the RTS 27 tables in order to ascertain which of these tables would be most relevant to our trading activity monitoring requirements. We have been in contact with a third-party data provider who will be able to help us with this assessment.
BEST EXECUTION REVIEW 2018
53
Securitized Derivatives Other securitized derivatives
RTS 28
CLASS OF INSTRUMENT Securitized DerivativesOther securitized derivatives
NOTIFICATION IF <1 AVERAGE TRADE PER BUSINESS DAY IN THE PREVIOUS YEAR
Y
TOP FIVE EXECUTION VENUES RANKED IN TERMS OF TRADING VOLUMES (DESCENDING ORDER)
PROPORTION OF VOLUME TRADED AS A
PERCENTAGE OF TOTAL IN THAT CLASS
PROPORTION OF ORDERS EXECUTED AS
PERCENTAGE OF TOTAL IN THAT CLASS
PERCENTAGE OF PASSIVE
ORDERS
PERCENTAGE OF AGGRESSIVE
ORDERS
PERCENTAGE OF DIRECTED
ORDERS
Standard Chartered Bank (RILFO74KP1CM8P6PCT96)
81.81 78.57 0.00 0.00 0.00
Bloomberg Trading Facility - MTF 18.19 21.43 0.00 0.00 0.00
54
BEST EXECUTION REVIEW 2018
SECURITIZED DERIVATIVES Securitized Derivatives Other securitized derivatives
TOP FIVE INVESTMENT FIRMS RANKED IN TERMS OF TRADING VOLUMES (DESCENDING ORDER)
PROPORTION OF VOLUME TRADED AS A PERCENTAGE OF
TOTAL IN THAT CLASS
PROPORTION OF ORDERS EXECUTED AS A PERCENTAGE
OF TOTAL IN THAT CLASS
Standard Chartered Bank (RILFO74KP1CM8P6PCT96)
18.19 21.43
RTS 28 Extra Information
The table below shows the Top 5 Investment Firms ranked in terms of trading volume of all orders executed via Bloomberg Trading Facility – MTF
BEST EXECUTION REVIEW 2018
55
a. Relative importance given to the Execution FactorsThe majority of transactions were reasonably liquid and
execution could be achieved across multiple venues in most countries, so price was relatively the most important factor. Given the fragmented liquidity across many of the global equity markets, careful venue choices had to be made in order to maximise the likelihood of execution particularly where the instrument is less liquid. A reasonable proportion of our equity orders are above a normal tradeable size, so great care is taken by the trader over the execution strategy for these trades. Our traders have the ability to utilise various different execution strategies which include algorithmic, programme, crossing networks and block trading. Execution costs are always carefully considered when selecting execution strategy and assessing which venue offers the lowest execution impact. In times of increased market volatility, as was seen during the most of 2018, speed of execution can become more of a focus. Where there is relatively low volatility, speed of execution was generally lower in importance except for larger sized trades where we had to be more sensitive to this factor. Finally any conditions around each trade are always clearly communicated to the Trading Team through our order management system and adhered to by the trader.
b. Common Ownerships and Conflicts of Interest Investec Securities is a part of the Investec Group, together with IAM, and provides us with essential liquidity access to certain equity markets and therefore forms a natural part of our best execution process. We do not consider this a conflict of interest and they are subject to the same Best Execution rules as all other venues.
c. Venue Arrangements All commission Sharing Arrangements, as referenced in last year’s Best Execution Review, were terminated by Investec Asset Management Limited London at the end of 2017. As a result of this all execution counterparties and venues were changed to an execution-only commission rate structure from the beginning of 2018. Also at the beginning of 2018 we undertook our annual commission rate review against a comprehensive third-party global consultation survey in order to ensure our rates across all trade-types remained fair and competitive.In addition, there are no specific arrangements concerning rebates or non-monetary benefits with any current execution venues.
d. Execution Venues During the course of the year we added two equity execution counterparties to our approved list. One in order to improve our access to liquidity in the local Dutch market and another in order to improve our access to liquidity in the local Japanese market with a particular focus on their block execution product. One execution counterparty was removed from our approved list due to a deterioration in our liquidity access requirement from them. This did not impact our best execution process. We also ensured that the execution counterparty chosen was able to access all the required execution venues in order to ensure the most efficient price discovery.
56
BEST EXECUTION REVIEW 2018
e. Client Categories All clients were treated in exactly the same way by our independent Trading Desk in accordance with our Execution Policy.
f. Retail Clients This is not applicable, as we do not currently execute retail client orders.
g. Quality of Execution Our pre-trade liquidity and price discovery ensured our trade execution was of the highest quality. Equity transaction cost analysis was performed using Bloomberg’s BTCA product. We utilise BTCA in various different ways which include a daily exception process as well as monthly and quarterly reports that analyse our trading data in several different ways. For the 2018 review we have not made use of any RTS 27 venue execution data. We are however currently in the process of considering how to make best use of the RTS 27 tables in order to ascertain which of these tables would be most relevant to our trading activity monitoring requirements. We have been in contact with a third-party data provider who will be able to help us with this assessment.
BEST EXECUTION REVIEW 2018
57
Commodities derivatives and emission allowances Derivatives Options and Futures admitted to trading on a trading venue
RTS 28
CLASS OF INSTRUMENT Commodities DerivativesOptions and Futures admitted to trading on a trading venue
NOTIFICATION IF <1 AVERAGE TRADE PER BUSINESS DAY IN THE PREVIOUS YEAR
Y
TOP FIVE EXECUTION VENUES RANKED IN TERMS OF TRADING VOLUMES (DESCENDING ORDER)
PROPORTION OF VOLUME TRADED AS A
PERCENTAGE OF TOTAL IN THAT CLASS
PROPORTION OF ORDERS EXECUTED AS
PERCENTAGE OF TOTAL IN THAT CLASS
PERCENTAGE OF PASSIVE
ORDERS
PERCENTAGE OF AGGRESSIVE
ORDERS
PERCENTAGE OF DIRECTED
ORDERS
Morgan Stanley & Co. International PLC (4PQUHN3JPFGFNF3BB653)
70.88 50.43 0.00 0.00 0.00
J.P. Morgan Securities PLC(K6Q0W1PS1L1O4IQL9C32)
20.63 36.52 0.00 0.00 0.00
Goldman Sachs International (W22LROWP2IHZNBB6K528)
8.49 13.04 0.00 0.00 0.00
58
BEST EXECUTION REVIEW 2018
CLASS OF INSTRUMENT Commodities derivatives and emission allowances DerivativesOptions and Futures admitted to trading on a trading venue
NOTIFICATION IF <1 AVERAGE TRADE PER BUSINESS DAY IN THE PREVIOUS YEAR
Y
TOP FIVE INVESTMENT FIRMS RANKED IN TERMS OF TRADING VOLUMES (DESCENDING ORDER)
PROPORTION OF VOLUME TRADED AS A PERCENTAGE OF
TOTAL IN THAT CLASS
PROPORTION OF ORDERS EXECUTED AS A PERCENTAGE
OF TOTAL IN THAT CLASS
Goldman Sachs International(W22LROWP2IHZNBB6K528)
91.10 83.78
Citigroup Global Markets Limited(XKZZ2JZF41MRHTR1V493)
8.90 16.22
Article 65(6)
BEST EXECUTION REVIEW 2018
59
a. Relative importance given to the Execution FactorsThe majority of transactions were reasonably liquid and
execution could be achieved on the primary execution venue in all countries, so price was relatively the most important factor.
Given the majority of listed futures and options are traded on one primary execution venue the choice of execution counterparty played an important part in our selection process to increase the chances of finding a range of liquidity.
A reasonable proportion of our futures and options orders are above a normal tradeable size, so great care is taken by the trader over the execution strategy for these trades and size is an important execution factor.
In times of increased market volatility, as was seen during the most of 2018, speed of execution can become more of a focus. Where there is relatively low volatility, speed of execution was generally lower in importance except for larger sized trades where we had to be more sensitive to this factor.
Implicit costs were carefully considered when choosing an execution strategy, particularly when executing a relatively large order. Explicit costs for futures and options trading and clearing are generally negotiated up front and therefore do not have to be re-negotiated at the point of execution.
All conditions around each trade are always clearly communicated to the Trading Team through our order management system and adhered to by the trader.
b. Common Ownerships and Conflicts of Interest We do not execute any listed futures and options trades with any affiliated execution counterparties of IAM. We also do not have any clearing arrangements with any affiliated counterparties.
c. Venue Arrangements Explicit commission rates per instrument are typically common across all execution counterparties. This is therefore not a consideration in the venue that we use, as our most important execution factor is price, as explained above. In addition, there are no specific arrangements concerning rebates or non-monetary benefits with any current execution venues.
d. Execution Venues During the course of the year we did not add any listed futures and options execution counterparties to our approved list. We endeavoured to achieve trade execution on the venue that produced the best overall result which in most cases was the primary market.
e. Client Categories All clients were treated in exactly the same way by our independent Trading Desk in accordance with our Execution Policy.
f. Retail Clients This is not applicable, as we do not currently trade retail client orders.
60
BEST EXECUTION REVIEW 2018
g. Quality of Execution Our pre-trade liquidity and price discovery ensured our trade execution was of the highest quality. We expect to be able to review transaction cost analysis for this asset class during 2019 utilising data from a third-party global transaction cost analysis provider. For the 2018 review we have not made use of any RTS 27 venue execution data. We are however currently in the process of considering how to make best use of the RTS 27 tables in order to ascertain which of these tables would be most relevant to our trading activity monitoring requirements. We have been in contact with a third-party data provider who will be able to help us with this assessment.
BEST EXECUTION REVIEW 2018
61
Contracts for difference
RTS 28
CLASS OF INSTRUMENT Contracts for difference
NOTIFICATION IF <1 AVERAGE TRADE PER BUSINESS DAY IN THE PREVIOUS YEAR
N
TOP FIVE EXECUTION VENUES RANKED IN TERMS OF TRADING VOLUMES (DESCENDING ORDER)
PROPORTION OF VOLUME TRADED AS A
PERCENTAGE OF TOTAL IN THAT CLASS
PROPORTION OF ORDERS EXECUTED AS
PERCENTAGE OF TOTAL IN THAT CLASS
PERCENTAGE OF PASSIVE
ORDERS
PERCENTAGE OF AGGRESSIVE
ORDERS
PERCENTAGE OF DIRECTED
ORDERS
Morgan Stanley & Co. International PLC (4PQUHN3JPFGFNF3BB653)
62.22 23.83 0.00 0.00 0.00
UBS AG(BFM8T61CT2L1QCEMIK50)
22.64 75.39 0.00 0.00 0.00
Deutsche Bank Aktiengesellschaft (7LTWFZYICNSX8D621K86)
15.14 0.78 0.00 0.00 0.00
62
BEST EXECUTION REVIEW 2018
a. Relative importance given to the Execution FactorsThe majority of transactions were reasonably liquid and
execution could be achieved across multiple venues in most countries, so price was relatively the most important factor.
Given the fragmented liquidity across many of the global equity markets upon which our Contracts for Difference (CFD) are executed, careful venue choices had to be made in order to maximise the likelihood of execution. In some countries, due to there not being a give-up to Prime Broker facility, our execution counterparty choice is limited. Our prime Broker choice was therefore very careful in order to ensure likelihood of execution on all required execution venues.
The majority of CFD transactions during 2018 were of a relative small size but great care had still to be taken over counterparty choice in order to ensure access to all required execution venues.
In times of increased market volatility, as was seen during the most of 2018, speed of execution can become more of a focus. Where there is relatively low volatility, speed of execution was generally lower in importance except for larger sized trades where we had to be more sensitive to this factor.
Implicit costs were carefully considered when choosing execution strategy, and which venues may offer the lowest execution impact. Explicit costs for all CFD trades were typically common within each country.
All conditions around each trade are always clearly communicated to the Trading Team through our order management system and adhered to by the trader
b. Common Ownerships and Conflicts of Interest We do not execute any CFD trades with any affiliated execution counterparties of IAM.
c. Venue Arrangements Explicit commission rates per instrument are typically common across all execution counterparties. This is therefore not a consideration in the venue that we use, as our most important execution factor is price, as explained above. In addition, there are no specific arrangements concerning rebates or non-monetary benefits with any current execution venues.
d. Execution Venues During the course of the year we did not add or remove any CFD execution counterparties to or from our approved list. We also ensured that the execution counterparty chosen was able to access all the required execution venues in order to ensure the most efficient price discovery.
e. Client Categories All clients were treated in exactly the same way by our independent Trading Desk in accordance with our Execution Policy.
f. Retail Clients This is not applicable, as the Firm does not currently trade retail client orders.
g. Quality of Execution Our pre-trade liquidity and price discovery ensured our trade execution was of the highest quality. We expect to be able to review transaction cost analysis for this asset class during 2019 utilising data from a third-party global transaction cost analysis provider. For the 2018 review we have not made use of any RTS 27 venue execution data. We are however currently in the process of considering how to make best use of the RTS 27 tables in order to ascertain which of these tables would be most relevant to our trading activity monitoring requirements. We have been in contact with a third-party data provider who will be able to help us with this assessment.
BEST EXECUTION REVIEW 2018
63
Exchange traded products (Exchange traded funds, exchange traded notes and exchange traded commodities)
RTS 28
CLASS OF INSTRUMENT Exchange traded productsExchange traded funds, exchange traded notes and exchange traded commodities
NOTIFICATION IF <1 AVERAGE TRADE PER BUSINESS DAY IN THE PREVIOUS YEAR
Y
TOP FIVE EXECUTION VENUES RANKED IN TERMS OF TRADING VOLUMES (DESCENDING ORDER)
PROPORTION OF VOLUME TRADED AS A
PERCENTAGE OF TOTAL IN THAT CLASS
PROPORTION OF ORDERS EXECUTED AS
PERCENTAGE OF TOTAL IN THAT CLASS
PERCENTAGE OF PASSIVE
ORDERS
PERCENTAGE OF AGGRESSIVE
ORDERS
PERCENTAGE OF DIRECTED
ORDERS
Jane Street Financial LTD (549300ZHEHX8M31RP142)
53.68 45.07 0.00 0.00 0.00
Credit Suisse Securities (Europe) Limited(DL6FFRRLF74S01HE2M14)
25.91 18.31 0.00 0.00 0.00
HSBC Bank PLC(MP6I5ZYZBEU3UXPYFY54)
11.52 19.01 0.00 0.00 0.00
J.P. Morgan Securities PLC (K6Q0W1PS1L1O4IQL9C32)
6.91 8.45 0.00 0.00 0.00
Societe Generale SA(O2RNE8IBXP4R0TD8PU41)
1.68 2.11 0.00 0.00 0.00
64
BEST EXECUTION REVIEW 2018
CLASS OF INSTRUMENT Exchange traded productsExchange traded funds, exchange traded notes and exchange traded commodities
NOTIFICATION IF <1 AVERAGE TRADE PER BUSINESS DAY IN THE PREVIOUS YEAR
N
TOP FIVE INVESTMENT FIRMS RANKED IN TERMS OF TRADING VOLUMES (DESCENDING ORDER)
PROPORTION OF VOLUME TRADED AS A PERCENTAGE OF
TOTAL IN THAT CLASS
PROPORTION OF ORDERS EXECUTED AS A PERCENTAGE
OF TOTAL IN THAT CLASS
Jane Street Financial Ltd(549300ZHEHX8M31RP142)
29.85 17.28
Investment Technology Group Limited(213800EEC95PRUCEUP63)
15.46 18.41
Virtu Financial Ireland Limited(549300XG5LFGN1IGYC71)
15.07 14.16
Flow Traders B.V.(549300CLJI9XDH12XV51)
15.00 13.31
Credit Suisse sSecurities (Europe) Limited(DL6FFRRLF74S01HE2M14)
8.88 5.38
Article 65(6)
BEST EXECUTION REVIEW 2018
65
a. Relative importance given to the Execution Factors The majority of transactions were reasonably liquid and
execution could be achieved either through an efficient Request for Quote (RFQ) price discovery process or executing on an alternative venue, so price was relatively the most important factor.
Given the underlying structure of Exchange Traded Products (ETP) the execution venue has to be carefully chosen. The primary source of price discovery and liquidity for the majority of the larger trades was via an RFQ process. Alternatively, efficient execution could also be sought in some cases on the primary listing exchange.
A careful choice was made over venue choice in order to maximise the likelihood of execution.
A reasonable proportion of our ETP orders are above a normal tradeable size, so great care is taken by the trader over the execution strategy for these trades as described above.
In times of increased market volatility, as was seen during the most of 2018, speed of execution can become more of a focus. Where there is relatively low volatility, speed of execution was generally lower in importance except for larger sized trades where we had to be more sensitive to this factor.
Implicit costs were carefully considered when choosing execution strategy, and which venues may offer the lowest execution impact. Explicit costs were considered when we were presented with a cheaper venue for the same result.
All conditions around each trade are always clearly communicated to the Trading Team through our order management system and adhered to by the trader.
b. Common Ownerships and Conflicts of Interest We do not execute any ETP trades with any affiliated execution
counterparties of IAM.
c. Venue ArrangementsAll commission Sharing Arrangements, as referenced in last
year’s Best Execution Review, were terminated by Investec Asset Management Limited London at the end of 2017. As a result of this all execution counterparties and venues were changed to an execution-only commission rate structure from the beginning of 2018.
Also at the beginning of 2018 we undertook our annual commission rate review against a comprehensive third-party global consultation survey in order to ensure our rates across all trade-types remained fair and competitive.
In addition, there are no specific arrangements concerning rebates or non-monetary benefits with any current execution venues.
d. Execution VenuesDuring the course of the year we did not add or remove any ETP
execution counterparties to or from our approved list.
We also ensured that the execution counterparty chosen was able to access all the required execution venues in order to ensure the most efficient price discovery.
e. Client CategoriesAll clients were treated in exactly the same way by our
independent Trading Desk in accordance with our Execution Policy.
f. Retail ClientsThis is not applicable, as we do not currently trade retail
client orders.
g. Quality of ExecutionOur pre-trade liquidity and price discovery ensured our
trade execution was of the highest quality.
Exchange Traded Product transaction cost analysis was performed using Bloomberg’s BTCA product. We utilise BTCA in various different ways which include a daily exception process as well as monthly and quarterly reports that analyse our trading data in several different ways.
For the 2018 review we have not made use of any RTS 27 venue execution data. We are however currently in the process of considering how to make best use of the RTS 27 tables in order to ascertain which of these tables would be most relevant to our trading activity monitoring requirements. We have been in contact with a third-party data provider who will be able to help us with this assessment.
66
BEST EXECUTION REVIEW 2018
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BEST EXECUTION REVIEW 2018
67
RTS 28
CLASS OF INSTRUMENT Other instruments
NOTIFICATION IF <1 AVERAGE TRADE PER BUSINESS DAY IN THE PREVIOUS YEAR
Y
TOP FIVE EXECUTION VENUES RANKED IN TERMS OF TRADING VOLUMES (DESCENDING ORDER)
PROPORTION OF VOLUME TRADED AS A
PERCENTAGE OF TOTAL IN THAT CLASS
PROPORTION OF ORDERS EXECUTED AS
PERCENTAGE OF TOTAL IN THAT CLASS
PERCENTAGE OF PASSIVE
ORDERS
PERCENTAGE OF AGGRESSIVE
ORDERS
PERCENTAGE OF DIRECTED
ORDERS
UBS AG(BFM8T61CT2L1QCEMIK50)
58.56 12.77 0.00 0.00 0.00
HSBC Bank PLC(MP6I5ZYZBEU3UXPYFY54)
25.21 40.43 0.00 0.00 0.00
Morgan Stanley & Co.International PLC(4PQUHN3JPFGFNF3BB653)
8.42 19.15 0.00 0.00 0.00
J.P Morgan Securities PLC(K6Q0W1PS1L1O4IQL9C32)
5.51 21.28 0.00 0.00 0.00
Citigroup Global Markets Limited(XKZZ2JZF41MRHTR1V493)
1.19 2.13 0.00 0.00 0.00
Other instruments
The majority of instruments in this category are non-EEA equities where no tick size data was available.
68
BEST EXECUTION REVIEW 2018
Article 65(6)
CLASS OF INSTRUMENT Other Instruments
NOTIFICATION IF <1 AVERAGE TRADE PER BUSINESS DAY IN THE PREVIOUS YEAR
N
TOP FIVE INVESTMENT FIRMS RANKED IN TERMS OF TRADING VOLUMES (DESCENDING ORDER)
PROPORTION OF VOLUME TRADED AS A PERCENTAGE
OF TOTAL IN THAT CLASS
PROPORTION OF ORDERS EXECUTED AS A PERCENTAGE
OF TOTAL IN THAT CLASS
Investec Asset Management Hong Kong Limited (213800T9WL75FWKGWG76)
29.27 28.41
J.P. Morgan Securities PLC (K6Q0W1PS1L1O4IQL9C32)
14.77 12.15
HSBC Bank PLC (MP6I5ZYZBEU3UXPYFY54)
9.85 10.45
CLSA (UK) (213800VZMAGVIU2IJA72)
6.10 4.51
China International Capital Corporation Hong Kong Securities Limited (529900A2OXHI3I5TPV90)
6.01 3.91
BEST EXECUTION REVIEW 2018
69
Article 65(6) Extra Information
The table below shows information on orders placed with Investec Asset Management Hong Kong Limited. The values shown are a proportion of the volume traded with each of the top 5 Investment Firms as a percentage of the total in that class of financial instruments.
CLASS OF INSTRUMENT Other Instruments
TOP FIVE INVESTMENT FIRMS RANKED IN TERMS OF TRADING VOLUMES (DESCENDING ORDER)
PROPORTION OF VOLUME TRADED AS A PERCENTAGE
OF TOTAL IN THAT CLASS
PROPORTION OF ORDERS EXECUTED
AS A PERCENTAGE OF TOTAL IN THAT CLASS
The Hong Kong Shanghai Banking Corporation Limited(2HI3YI5320L3RW6NJ957)
5.52 1.80
Merrill Lynch International (GGDZP1UYGU9STUHRDP48)
5.29 6.08
China International Capital Corporation Hong Kong Securities Limited(529900A2OXHI3I5TPV90)
3.99 1.61
J.P. Morgan Securities PLC (K6Q0W1PS1L1O4IQL9C32)
2.76 2.94
Citigroup Global Markets Limited (XKZZ2JZF41MRHTR1V493)
2.17 2.34
70
BEST EXECUTION REVIEW 2018
a. Relative importance given to the Execution FactorsWe remain highly conscious of market impact through the
life of a full transaction hence we always consider the full cost of accessing liquidity, particularly implicit costs given the size of each order and achievable price.
As part of our price discovery process we thoroughly assess the speed and likelihood of execution to ensure the optimal counterparty is selected.
b. Common Ownerships and Conflicts of Interest There are no close links or conflicts of interest with any venue that we currently use for fixed income execution.
c. Venue Arrangements There are no specific arrangements concerning rebates or non-monetary benefits with any current.
d. Execution Venues During the course of the year we did not add any execution counterparties for these assets to our approved list.
e. Client Categories All clients were treated in exactly the same way by our Trading Desk in accordance with our Execution Policy.
f. Retail Clients This is not applicable, as we do not currently trade retail client orders.
g. Quality of Execution The best execution process followed by our traders ensures a high quality of execution for all assets traded. For the 2018 review we have not made use of any RTS 27 venue execution data. We are however currently in the process of considering how to make best use of the RTS 27 tables in order to ascertain which of these tables would be most relevant to our trading activity monitoring requirements. We have been in contact with a third-party data provider who will be able to help us with this assessment.
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www.investecassetmanagement.com
AUSTRALIA
Level 23, The Chifley Tower
2 Chifley Square
Sydney, NSW 2000
Telephone: +61 2 9293 6257
BOTSWANA
Plot 64511, Unit 5
Fairgrounds, Gaborone
Telephone: +267 318 0112
CHANNEL ISLANDS
PO Box 250, St Peter Port
Guernsey, GY1 3QH
Telephone: +44 (0)1481 710 404
GERMANY
Bockenheimer Landstraße 23
60325 Frankfurt am Main
Telephone: +49 (0)69 7158 5900
HONG KONG
Suites 3609-3614, 36/F Two International Finance Centre
8 Finance Street, Central
Telephone: +852 2861 6888
Outside the US, telephone calls will be recorded for training, monitoring and regulatory purposes. For more details please visit www.investecassetmanagement.com/contactus.
SWEDEN
Grev Turegatan 3,
114 46, Stockholm
Telephone: +46 709 550 449
SWITZERLAND
Seefeldstrasse 69
8008 Zurich
Telephone: +41 44 262 00 44
UNITED KINGDOM
Woolgate Exchange
25 Basinghall Street
London, EC2V 5HA
Telephone: +44 (0)20 7597 [email protected]
UNITED STATES
666 5th Avenue, 37th Floor
New York, NY10103
US Toll Free: +1 800 434 5623
ITALY
Palazzo Toschi Corneliani Corso Venezia 44
20121, Milan
Telephone: +39 02 3658 1590
LUXEMBOURG
2-4, avenue Marie-Thérèse
L-2132 Luxembourg
Telephone: +352 28 12 77 20
NAMIBIA
100 Robert Mugabe Avenue
Office 1, Ground Floor
Heritage Square Building, Windhoek
Telephone: +264 (61) 389 500
SINGAPORE
25 Duxton Hill #03-01
Singapore 089608
Telephone: +65 6653 5550
SOUTH AFRICA
36 Hans Strijdom Avenue
Foreshore, Cape Town 8001
Telephone: +27 (0)21 416 2000
Important information
Nothing herein should be construed as an offer to enter into any contract, investment advice, a recommendation of any kind, a solicitation of clients, or an offer to invest in any particular fund, product, investment vehicle or derivative. Investec’s internal data may not be audited. © 2019 Investec Asset Management. All rights reserved. Issued by Investec Asset Management.