RTS 28 Quality of Execution Annual Report

Transcription

1 Firm: Brevan Hward Asset Management LLP ( BHAM r the Firm ) Calendar Year Disclsure Perid: 1 January 2017 t 31 December 2017 Date: 30 April 2018 RTS 28 Quality f Executin Annual Reprt Summary f classes f instruments included in this reprt, and class f instruments nt included in this reprt (because the Firm has nt executed client rders in that class f instruments): Classes f instruments included in this reprt Classes f instruments nt included in this reprt Debt instruments Bnds Interest rate derivatives Futures and ptins admitted t trading n a trading venue Currency derivatives Swaps, frwards and ther interest rates derivatives Futures and ptins admitted t trading n a trading venue Equity derivatives Swaps, frwards and ther interest rates derivatives Futures and ptins admitted t trading n a trading venue Cmmdity derivatives Futures and ptins admitted t trading n a trading venue Equities Debt Instruments Credit derivatives Mney market instruments Structured finance instruments Equity Derivatives Swaps, frwards and ther interest rates derivatives Cmmdity derivatives Swaps, frwards and ther interest rates derivatives Securitised derivatives Cntracts fr differences Exchange traded prducts Emissin allwances Other instruments

2 General BHAM is authrised and regulated in the United Kingdm by the Financial Cnduct Authrity ( FCA ) as an Alternative Investment Fund Manager ( AIFM ) under the EU Alternative Investment Fund Managers Directive ( AIFMD ). BHAM acts as the AIFM fr a nn-eu dmiciled Alternative Investment Fund ( AIF ) and as investment manager fr a number f nn-eu dmiciled Alternative Investment Funds ( AIFs ) that are managed by Brevan Hward Capital Management Limited in its capacity as a nn-eu based AIFM. The Firm als has certain additinal tp-up regulatry permissins under the Markets in Financial Instruments Directive and Regulatin (tgether MiFID II ), in rder t carry ut prtfli management activities n behalf f UCITS funds and the afrementined AIFs. MiFID II impses a regulatry bligatin upn BHAM, as an FCA authrised AIFM, t publish, n an annual basis, a reprt summarising specific infrmatin relating t the executin btained fr each relevant financial instrument traded during the previus year. This infrmatin includes disclsure relating t trading vlumes with the tp five cunterparties expressed as a percentage f BHAM s ttal executin vlume and a percentage f the number f executed rders in relatin t each relevant class f financial instrument, this is quantitative element cntained within the reprt belw. In additin t the quantitative element, BHAM is als required t prvide a qualitative reprt summarising the cnclusins drawn frm its mnitring f the quality f executin. Fr the avidance f dubt, BHAM s quantitative and qualitative disclsure reprt belw nly prvides data n BHAM s MIFID II tp-up permissin activity, in respect f indirect executin, including using a brker s Direct Electrnic Access ( DEA ) system t access a trading venue; they d nt include any transactin activity where BHAM traded directly with its cunterparties r where it acted as AIFM fr its nn-eu AIF. As this is a BHAM disclsure reprt, activity undertaken by any ther investment management entities within the wider Brevan Hward grup is nt included within this reprt. Debt instruments - Bnds LEI Venue Order Passive Aggressive Directed LGG2RLWD21SU97 Amherst Pierpnt Securities LLC BWPDUCYG6EQ3 E D & F Man Capital Markets Inc O0P1GJ0O8CI80 Industrial and Cmmercial Bank f China Financial Services LLC IPXPSM9EJFC92 Mischler Financial Grup Inc ZE2ZWJBTIQJ8M0C6K3 RBS Securities Inc

3 Interest rate derivatives - Futures and ptins admitted t trading n a trading venue LEI Venue Order Passive Aggressive Directed 1 XKZZ2JZF1MRHTR1V93 Citigrup Glbal Markets Limited RRDC6K7UD291 Sigma Brking Limited WYFIFDMB6POR0 JB DRAX Hnre (UK) Ltd REYPIEJN7XZHSUI0N3 UBS Lim ited ZWNFQ8RUL8VJZ2AIC12 BGC Brkers LP Interest rate derivatives - Swaps, frwards, and ther interest rates derivatives LEI Venue Order Passive Aggressive Directed WYFIFDMB6POR0 JB DRAX Hnre (UK) Ltd ZHCHIKYZG2WVRT8631 Macquarie Bank Limited ACVHHYSDIK2029 Archr LLP Currency derivatives - Futures and ptins admitted t trading n a trading venue LEI Venue Order Passive Aggressive Directed 1 1V8Y6QCX6YMJ2OELII6 Credit Suisse Securities (USA) LLC DL6FFRRLF7S01HE2M1 Credit Suisse Securities Eurpe Limited DL6FFRRLF7S01HE2M1 Credit Suisse Securities Eurpe Limited Currency derivatives - Swaps, frwards, and ther currency derivatives LEI Venue Order Passive Aggressive Directed WYFIFDMB6POR0 JB DRAX Hnre (UK) Ltd BMVW8YF9FGN67 Tullett Prebn (Securities) Limited O26QTPAJC1X708KCW11 Jefferies Bache Financial Services Inc KX1WK8MPDY2NCUIZ63 Natixis S.A BMVW8YF9FGN67 Tullett Prebn (Securities) Limited

4 Equity Derivatives - Futures and ptins admitted t trading n a trading venue LEI Venue Order Passive Aggressive Directed 1 1V8Y6QCX6YMJ2OELII6 Credit Suisse Securities (USA) LLC DL6FFRRLF7S01HE2M1 Credit Suisse Securities Eurpe Limited WYFIFDMB6POR0 JB DRAX Hnre (UK) Ltd O2RNE8IBXPR0TD8PU1 Sciete Generale S.A GGSEF7VJPI7OUK73 Barclays Bank PLC Cmmdity derivatives and emissin allwance derivatives - Futures and ptins admitted t trading n a trading venue LEI Venue Order Passive Aggressive Directed 1 R0MUWSFPU8MPRO8KP83 BNP Paribas - Paris K6Q0W1PS1L1OIQL9C32 JP Mrgan Securities plc W22LROWP2IHZNBB6K28 Gldman Sachs Intl DL6FFRRLF7S01HE2M1 Credit Suisse Securities Eurpe Limited XKZZ2JZF1MRHTR1V93 Citigrup Glbal Markets Limited Class f instrument Debt Instruments Bnds Interest rate derivatives futures and ptins admitted t trading n a trading venue Interest rate derivatives swaps, frwards and ther interest rate derivatives Currency Derivatives Futures and ptins admitted t trading n a trading venue Currency Derivatives Swaps, frwards and ther currency derivatives Equity Derivatives Futures and ptins admitted t trading n a trading venue Cmmdity Derivatives futures and ptins admitted t trading n a trading venue General bservatins When making and executing investment decisin, BH traders are required t act in gd faith and in the best interests f their clients, the funds. With respect t executin, this is achieved by taking all sufficient steps, as required under the FCA rules, t btain the best pssible result fr the clients, taking int accunt the relative imprtant f the executin factrs utlined belw. BHAM mnitrs the effectiveness f its rder executin arrangements t identify and, where necessary, crrects any deficiencies. There were n deficiencies identified during the reprting perid. N single cunterparty is favured cmpared t thers, unless it can be demnstrated that such a cunterparty cnsistently prvides a superir service, which wuld include, fr example, prviding better pricing, liquidity r speed f executin than its cmpetitrs. There were n material changes t BHAM s executin arrangements during the reprting perid. Executin factrs Summary f analysis A number f executin factrs may be cnsidered depending n the transactin and the market in questin. These may include: 1) Price; 2) Speed; Cnclusin During the perid under review, BHAM s verarching executin prcess was based n these executin factrs and criteria as detailed in the Firm s Order Executin Plicy. When effecting transactins n behalf f clients, BHAM will generally

5 Clse links, cnflicts f interest and cmmn wnership with respect t executin venues Specific arrangements with executin venues regarding payments made r received, discunts, rebates r nn-mnetary benefits received Factrs leading t a change in the list f executin venues listed in the rder executin plicy Differentiatin acrss client categries Use f data / tls relating t quality f executin Use f cnslidated tape prvider utput 3) Likelihd f executin and settlement; ) Csts; ) Size and nature f the rder; and 6) Any ther cnsideratin relevant t the rder. The relative imprtance f the executin factrs detailed abve was determined by the fllwing executin criteria: the characteristics f the Client, including the categrisatin f the Client as prfessinal; the characteristics f the Client rder, including where the rder invlves a securities financing transactin ( SFT ); the characteristics f the financial instrument that are the subject f that rder; and the characteristics f the brkers and/r executin venues t which that rder can be directed. Clse links The Firm has n clse links t reprt. Cnflicts f interest The Firm has n cnflicts f interest t reprt. Cmmn wnerships The Firm has n cmmn wnership t reprt. Certain Brevan Hward funds have purchased memberships n certain cmmdity and derivatives exchanges. Such memberships may entitle the member t reduced cmmissin rates in cnnectin with transactins effected n such exchanges, any reduced cmmissin rates are t the benefit f the relevant fund. Brevan Hward has negtiated vlume discunts with certain cunterparties, any vlume discunts that have been negtiated are t the benefit f the relevant funds and never t the Firm. There were n significant changes t the list f executin venues in the Firm s Order Executin Plicy. - all f the Firm s clients are prfessinal clients During 2017, the Firm did nt use any third party data and/r tls relating t quality f executin during the relevant perid. The Firm has implemented a third party TCA tl fllwing the implementatin f MiFID II in January The Firm has nt used utput frm cnslidated tape prviders. weight executin factrs in an rder f pririty based n the asset class in questin and the prevailing market cnditins, all f which may be subject t changes depending n the executin criteria at the time f the transactin. Ordinarily, price will merit a high relative imprtance in btaining the best pssible result. Hwever, BHAM may, in its abslute discretin, decide that any ther factr r factrs are r may be mre imprtant than price in determining the best pssible executin result. This is particularly the case in less liquid r OTC markets. The relative imprtance given t these executin factrs was in line with BHAM s rder executin plicy and cnsistent with BHAM s prcess in respect f these classes f financial instruments. Clse links Cnflicts f interest Cmmn wnerships The Firm fllwed its inducements prcedures in line with its regulatry bligatins in relatin t these arrangements. In additin, these arrangements did nt influence the Firm s selectin f thse executin venue(s)/brker(s), as the Firm fllwed its rder executin plicy and cnflicts f interest plicy when selecting thse executin venues/brkers. As specified previusly, all discunts r reduced cmmissin rates are t the benefit f the relevant funds and never t the Firm.