RE: Transaction Costs Disclosure: Improving Transparency in Workplace Pensions: Call for Evidence

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1 6 May 2015 Department for Work and Pensions Transparency Team Department for Work and Pensions 3rd Floor West, Zone G Quarry House Leeds, LS2 7UA Submitted via to: Ms Carol McGinley and Mr Michael Collins Strategy & Competition Financial Conduct Authority 25 The North Colonnade Canary Wharf London E14 5HS Submitted via to: reinvigorating.pensions@dwp.gsi.gov.uk and dp15-02@fca.org.uk RE: Transaction Costs Disclosure: Improving Transparency in Workplace Pensions: Call for Evidence Dear Sirs, BlackRock is pleased to have the opportunity to respond to the Call for Evidence on Transactions Costs Disclosure BlackRock is a premier provider of asset management, risk management, and advisory services to institutional, intermediary, and individual clients worldwide. As of 31 March 2015, the assets BlackRock manages on behalf of its clients totalled 3.22 trillion across equity, fixed income, cash management, alternative investment and multi-investment and advisory strategies including the ishares exchange traded funds. BlackRock represents the interests of its clients by acting in every case as their agent. It is from this perspective that we engage on all matters of public policy. BlackRock supports policy changes and regulatory reform globally where it increases transparency, protects investors, facilitates responsible growth of capital markets and, based on thorough costbenefit analysis, preserves consumer choice. We welcome the opportunity to address, and comment on, the issues raised by the Call for Evidence and we will continue to contribute to the thinking of the DWP and the FCA on any specific issues that may assist in providing a standard and comparable industry approach to reporting transaction costs. Key points Effectively supporting investors to make informed decisions We are supportive of increased transparency and helping investors improve their decisionmaking. We believe that that the key purpose of recent regulatory changes is to empower Independent Governance Committees (IGCs) and trustees by providing them with comprehensive and comparable information which allows them to understand the money spent in obtaining the risk adjusted performance the fund achieves: i.e. cost versus benefit. This should then allow investors to identify the most suitable asset allocation and product choice for their investment needs. 1

2 In this context, understanding market dynamics is critical in achieving the most efficient balance between cost and performance. The Call for Evidence puts forwards a number of proposed data points, some of which, we believe, run the risk of generating confusion and misinterpretation by investors. The process of delivering meaningful transaction costs data to investors will rely on the development of large sets of standardised trading history which allow the development of reliable and consistent models. This is likely to be an iterative process as the industry collectively develops consistent quantitative methods which can provide reliable guidepoints to assist in the prediction of risk and return. We recommend focus on those costs which are relatively stable and predictable, e.g. commissions and, to a lesser extent, spreads as opposed to other elements which can be highly volatile and thereby statistically less representative. Managing transaction costs within the context of performance We set out below a number of key considerations and potential pitfalls which should drive the analysis of how to report transaction costs. Inherent within this are our assumptions that: Transaction costs should be presented alongside performance It should be clear to clients that performance figures are after the deduction of transaction costs, not before, i.e. the management fee and other ongoing charges connected with running the scheme are costs that the client explicitly pays and components such as market impact are already reflected in reported performance via the executions achieved by the manager. Given the complexity of transaction cost analysis, and the various methods that can be used by different asset managers, unless a standardised approach is used, there is a risk of clients being misled by a simple comparison of transaction costs: for example if one asset manager is more conservative in their estimates versus a competitor, the same objective cost may be reported quite differently. We therefore recommend: Reporting on the transaction costs in the context of the risk and return delivered by the portfolio. Provided they are presented in this context, portfolio turnover rates can provide a useful objective measure, and could be presented (as a percentage of the asset under management within the relevant portfolio) alongside transaction costs. Avoiding the "moral hazard" of differences in models, by ensuring that regulatory guidance is as specific as is reasonable and practical in what is reported to clients. Recommended approach to asset classes where elements of cost are explicit (e.g. equities and futures) For asset classes where elements of cost are explicit, such as equities and futures, BlackRock considers the most appropriate solution at present is to only reflect explicit costs, namely commissions and taxes, rather than using a total cost approach. We recognise that our proposal aligns closely with the existing Dutch Pension Federation model of including only explicit costs for commission-based products. This methodology provides transparency and objectivity in the client reporting and builds on Level 2 disclosure requirements currently in place. It does fall short of representing all possible costs inherent with trading and investing though, as mentioned above other implicit costs are reflected in reported performance so their effect is not, as such, hidden from the investor. Recommended approach where to asset classes where elements of costs are implicit (e.g. fixed income and FX) Transactions costs are generally not explicit in fixed income transactions as these costs are embedded in the quoted price. Estimates of implicit commission costs for fixed income 2

3 transactions may be based on a number of assumptions and measured in a number of ways. Different assumptions can significantly impact cost estimates, making meaningful comparisons difficult. The provision of client reporting reports will inevitably have to be based on a number of assumptions since the vast majority of fixed income products are traded OTC on a principal basis. From the various options available, we recommend using the model used by the Dutch Pension Federation for fixed income as a basis and enhancing this framework by including additional asset classes. Market impact costs We do not recommend separate reporting on market impact costs as there is no agreed standard formula or benchmark. There is too much subjectivity in the calculation and too many qualitative interpretations required in order to properly interpret and understand how the choice of benchmarks and inclusion of various elements of cost impact the overall numbers reported to clients. As such it will not assist clients in assessing comparability of costs between managers or how market impact affects the portfolio s risk and return profile. In any case, as mentioned above, market impact is already reflected in reported performance figures. Ex ante calculations In terms of ex ante transaction cost reporting for a fund prior to launch, we would assume that selecting a comparable fund and providing the previous quarter s (or previous four quarters ) costs relative to assets under management (AUM) for that fund would be sufficiently representative. In terms of ex ante transaction cost reporting for an ongoing fund prior to client entry: we would assume the previous quarter s (or 4 quarters ) costs for that fund could be used. Consistency across regulations The issue of transaction cost reporting is now embedded in a number of other pieces of legislation (e.g. MiFID and PRIIPs). It is essential that the final reporting process adopted by the UK dovetails closely to that adopted for MiFID which in turn drives product cost disclosure for retail product disclosure in PRIIPS and which will lead to additional disclosure in both UCITS and AIFMD. Although the presentation may vary e.g. the provision of an aggregated figure under MiFID, it is essential that the figures are derived from the same building blocks in order to deliver consistency of approach thereby enabling meaningful comparability between providers. Joint implementation group We strongly support the Investment Association s call for a joint cross-industry implementation group to devise a standardised framework for reporting across mandate and product types, especially in terms of delivering the necessary consistency with the implementation of MiFID and PRIIPs. 3

4 Responses to questions Question 1: Should the requirements for standardised, comparable disclosure of transaction costs apply only to those schemes that will be subject to the new governance and charges measures from April 2015? If not, are there differences that should be taken into account when considering transparency in other schemes? While it is important to focus on the new disclosure requirements which apply from April 2015, it is also important to ensure that the new disclosure requirements are consistent with forthcoming disclosure requirements in MiFID and PRIIPs which will affect many other collective investment schemes. Question 2: What are the advantages and disadvantages of capturing and reporting bid-ask spreads? Do you have any views on the ease of identifying bid-ask spreads, or modelling them? What practical challenges are there in calculating bid-ask spreads? Do you have any views on estimation models of bid-ask spreads? In answering this question we recognise that the capturing and reporting of bid-ask spreads for the purposes of cost measurement could take 3 or more forms, namely: An institution requests, receives and stores a 2-way market on each and every quote request An institution captures and stores a real-time composite of firm or indicative bid-ask spreads from a data vendor or trading platform An institution captures and stores some static indicative bid-ask spreads via a periodic survey of market participants for some pre-defined size The first proposal is the most comprehensive and would lead to the most accurate representation of the cost of trading however request for market (a 2-way quote). It is currently uncommon in some asset classes and would be considered a significant change of practice. The second proposal is in theory achievable for many instruments but would require significant technical investment from most firms and would not achieve the same level of accuracy as the first proposal as it would be independent of size of order. Then, recognising that the third proposal is the least accurate, it is the most easily achievable and is in fact existing practice for some firms and is most closely akin to the Dutch Pension Federation model. We note that the approach adopted by the Dutch Pension Federation model for fixed income cost disclosure includes: (a) a transaction-cost "grid" showing spreads by asset class for a limited number of asset classes, and (b) detailed formulae e.g. that cost is equal to half of the bid-ask spread. Our own internal transaction cost models use a similar methodology, although using a more detailed "grid" than the simple 5x1 matrix shown in the Dutch model. We believe that the Dutch model could be developed further with a more detailed grid using more instrument types. A potential pitfall with the Dutch model is that different asset managers could use materially different grids of bid-ask spread, and not all asset managers may agree that half the bidask spread is the right measure. These issues could be addressed by industry participants agreeing an industry standard bid-ask spread, in order to avoid the moral hazard that would be generated if different models were employed by different asset managers and regulatory specification of the different base formulae to be used. 4

5 Question 3: What are the advantages and disadvantages of capturing and reporting market impact? Do you have any views on the ease of identifying market identifying market impact costs? What practical challenges are there in calculating market impact costs? Do you have any views on the possible estimation models of market impact? Do you have any views on the availability of these models, their consistency, and the costs providers charge to access them? A potential advantage of capturing and reporting market impact is that it will enhance an investor s understanding of the total cost of investing, for example, an investor who was considering investing in a large cap-focused product versus a small cap-focused fund would be able to see that the former, on average, incurred less costs through market impact. The investor would then be considering whether the diversification benefits and potential for additional risk premium outweighed the higher costs and liquidity they would bear with the small cap-focused investment. The disadvantage is that market impact costs can be highly volatile especially where trades are executed over long horizons. In these situations, it can be difficult to separate out the cost of demanding liquidity from the consequences of execution timing. Additionally, the evaluation of market impact only becomes more reliable when there are an ample number of transactions to measure. Portfolios which trade infrequently or have a high degree of concentration in orders will not have sufficient data to properly assess market impact, they only become statistically reliable when one builds up a big enough data set and the majority of traditional active portfolios with concentrated positions risk fail to have sufficient data to be useful. Estimation models could be used to provide more consistent and stable measures of total cost. Most models are, however, calibrated against transaction data which is uniquely available to the model builder. This means the estimates will not be consistent among different providers or transaction cost models because the underlying data is not identical. Model estimates will also be susceptible to sampling bias if there isn t sufficient representation of a particular population within the transaction data. For instance, models may be less reliable for predicting costs of large orders if the data used to build the model primarily consists of small orders. Overall market impact is a function of the liquidity available in the market, volatility, and the size of the order. As the abundance or lack of liquidity on any given day (or level of volatility) is out of the control of the investment manager, the impact of availability of liquidity is more closely related to market risk than cost. Costs calculations therefore should be limited to observed implicit cost such as spreads, commissions, and taxes. As such we do not believe that it is practical to develop a standardised comparable model for market impact costs for asset classes such as equity and futures. Implicit in the analysis is a question as to whether the manager is meeting its duty to obtain best execution which contains a number of qualitative criteria which are not capable of being reduced to a single numerical value. Question 4: Do you believe that missed trade opportunity costs and delay costs are transaction costs? Do you believe that there is merit in reporting them as part of the disclosure regime and in governance bodies reviewing them? Do you believe that the practical issues, for example around the subjective nature of some of the inputs needed to calculate them could be addressed? When conducting Transaction Cost Analysis BlackRock does measure and monitor delay costs and opportunity costs as it believes they are an integral part of the total cost of trading. This said we do not believe they should be included as part of the disclosure regime as, once more, they are fraught with the risk of misinterpretation. While we also measure the costs of unexecuted orders as part of a holistic assessment of transaction cost analysis, these are not costs which are borne by the client portfolios since there are no actual realised 5

6 transactions. For example, we may have an investment idea to execute a strategy at a specified entry level (e.g. we believe a stock is undervalued but only at a certain price point) if the market doesn t reach that level disclosure this would not provide meaningful, comparable information to investors. A further example of opportunity cost would be a fund s participation in Initial Public Offerings. A fund may apply for a large position following due diligence that the offering represents good value. In circumstances where many investors reach this same conclusion, the offer is heavily over-subscribed and the stock trades significantly better than the placing price this will look very costly from the perspective of opportunity cost. In our internal analysis we would therefore look to exclude these orders. Question 5: Do you have any further thoughts on the analysis of transaction costs outlined in this chapter? Are there any alternative approaches to identifying transaction costs, or other considerations to take into account? We believe that that the key purpose of greater transparency in workplace pensions is to empower IGCs and trustees by providing them with comprehensive and comparable information which allows them to understand the money spent in obtaining the performance the fund achieves: i.e. cost vs. benefit. In this context understanding market dynamics is critical in achieving the most efficient balance between cost and performance. Transaction costs may be represented alongside performance, however, it should be made clear to clients that transaction costs are not an additional deduction from the performance which is shown. Given the complexity of transaction cost analysis, and the various methods that can be used by different asset managers, there is risk of clients being misled by a simple comparison of transaction costs. For example if one asset manager is more conservative in their estimates versus a competitor, the same objective cost may be reported quite differently. We therefore recommend: Reporting on the transaction costs in the context of the risk and return delivered by the portfolio. Provided they are presented in this context, portfolio turnover rates can be a useful objective measure, and could be presented (as a percentage of the asset under management within the relevant portfolio ) alongside transaction costs Avoiding the "moral hazard" of differences in models, by ensuring that regulatory guidance is as specific as is reasonable and practical in what is reported to clients. Question 6: Do you have any comments about the different frameworks within which information might be reported and their respective strengths and weaknesses? No comment we refer the DWP and FCA to the comments made by the Investment Association. Question 7: How should transaction costs incurred at product level be captured and reported? Would there be merit in splitting out costs incurred for different reasons? How could this be achieved in practice? Are there any other costs incurred at a product level that are not administration charges, and that could potentially be considered transaction costs? No comment. 6

7 Question 8: Do you have any views on whether pension schemes should be required to look through to the transaction costs of all listed, exchange-traded investment schemes? Do you have any particular comments on how the transaction costs incurred by property, (and other real asset investments), private equity and hedge funds should be identified and disclosed? Is separate guidance needed on how to disclose transaction costs in these areas, or can the principles used in securities markets be applied? No comment. Question 9: Do you have any comments on the treatment of derivatives? Should the costs of derivatives be disclosed separately somewhere within the disclosure reports? Do you have any comment about the transaction costs associated with structured products? The costs of employing derivatives are no simpler than what we have described above and in some circumstances are more difficult. Listed derivatives will tend to attract explicit commissions and often have reliable and stable spreads, some OTC derivatives will have reliable and stable spreads, others will not and there is unlikely to be much, if any, measurement of market impact in any OTC derivative products. Question 10: Do have any views on the different approaches to calculating transaction costs? Do you agree that a principles-based approach is appropriate to set how transaction costs should be reported for each type of asset? Do you have any comments on the reporting of negative transaction costs? Given that there are different approaches to calculating transaction costs and that inclusion or exclusion of different components is subjective we do not agree with a principles-based approach. We would recommend a rules-based approach which removed the potential for moral hazard and misinterpretation. As noted above, we recommend using explicit costs and other metrics which are reliable and stable, e.g. spreads: this would mean that negative transaction costs could not occur in the context of this disclosure regime. Question 11: Should portfolio turnover rates be reported alongside transaction costs? If so, do you have any comments on the best methodology to use to ensure comparability of portfolio turnover and transaction costs? We consider that the turnover rates are a useful data point provided they sit alongside reporting on risk and return. In this respect, we recommend the Investment Association s work on reporting portfolio turnover rates. We believe this could form the basis if an industry agreed calculation of turnover to be shown alongside transactions costs and fund performance. Question 12: Do governance bodies need risk and return information to be reported alongside transaction costs, or is it sufficiently readily available to them from other sources, considering the balance of costs and benefits that such new requirements may impose? If you think risk information should be reported, do you have any feedback on the best risk measures to use when considering transaction costs? We believe governance bodies will find it most useful to have this information reported alongside transaction costs as this will facilitate comparability of information. 7

8 Question 13: Do you have any views on the value and/or costs of benchmarking? Are there any other issues to be taken into account when exploring benchmarking? Please see our response to question 3 on the types of asset classes where benchmarked information is available. Question 14: Do you have any feedback on the reporting of the costs of securities lending, foreign exchange and related activities, and on how these should be reported? Are there any other areas or practices that you would It is essential that the reporting of costs is set in an appropriate context. We support efforts to increase transparency on securities lending activities for investors to ensure that they are fully informed of the nature of risks and returns involved from this activity. Securities lending is a resource-intensive activity. A high proportion of securities lending trades are executed automatically, which requires significant investment in systems and technology. A smaller number of trades are negotiated manually, where pricing can be influenced by many variables, and the outcome for investors can be significantly improved through the application of quantitative and fundamental research and analytics. In addition, investment in risk management capabilities is required to continuously review counterparties and collateral parameters. Significant resources are also required to monitor settlement, collateralisation and corporate actions activity. As a result, investors and the securities lending industry have established a model whereby the lending agent receives a percentage of gross revenues to cover the costs of providing securities lending services. This model ensures that the lending agent is compensated only if the lending client generates revenue for the fund, thereby ensuring alignment between the interests of the investors and the lending agent. There are at least three active compensation models being used for securities lending in the markets today: Affiliated model: In-house lending programmes, where the asset manager or an affiliate performs securities lending services as the lending agent. The agent receives a proportion of the gross securities lending revenue generated. Outsourced model: All securities lending services are outsourced to a lending agent, which could be a custodian, another asset manager or a specialised third-party lending provider. As before, the agent receives a proportion of the gross securities lending revenue generated. Three-way split model: Securities lending is outsourced as in the second model, but the investment manager also receives part of the securities lending revenues. Fees are split between lending agent, fund and asset manager. In all cases, to have full comparability across managers, we believe it is important to make full disclosure of the total (i.e. gross) revenue generated and the proportion paid to the client/fund and the proportion paid to the lending agents and to any other parties that benefit from some of the revenue. In this way investors can clearly identify securities lending earnings that go to the fund and to the lending agent and other third parties. 8

9 Question 15: Do you have any comments on the practical issues with presenting costs and charges information? Do you have any comments on the degree of standardisation that will both enable governance bodies to take decisions on their scheme and achieve comparability across the market? Are there any other factors in the presentation of transaction costs in a report that would enable governance bodies to make better decisions? In terms of ex ante transaction cost reporting for a fund prior to launch, we would assume that selecting a comparable scheme and providing the previous quarter s (or previous four quarters ) transaction costs relative to AUM for that scheme would be sufficiently representative. In terms of ex ante transaction cost reporting for an ongoing scheme prior to client entry: we would assume the previous quarter s (or 4 quarters ) transaction cost for that scheme could be used. On balance we would not recommend the alternative of using pre-trade transaction cost models. Although these models are estimates which reflect only the implied cost of trading they do however create further issues around the moral hazard of managers each using different model assumptions / calculations. Question 16: Do you agree with the use of portfolio turnover rates and unit transaction costs to enable better prediction of likely transaction costs? Should providers be required to provide reasons if turnover rates are likely to be different in the forthcoming period? Is there any other information that would enable the governance body or scheme members to understand potential future transaction costs? Please see our response to question 11. Question 17: Do you have any comments on whether a transaction cost disclosure regime will have any other consequences for the way that pension schemes and their agents transact? No comment. Question 18: Should regulations and rules on transaction cost disclosure only directly apply to pension providers and trustees? If not, on whom would additional disclosure requirements be necessary to ensure that transaction costs are reported accurately to relevant people? Please see our response to question 1. Question 19: What information on transaction costs would be useful to employers and members? How and when should this be reported to them? Generally we believe that reporting should be made consistent with the reporting regime to retail clients under PRIIPs and the general design of disclosures should take into account the consumer testing and analysis of behavioural finance currently being considered by the ESAs. The specific details of disclosure may need to be modified to take into account the type of information trustees and IGCs feel is most useful for their members. In terms of disclosure we believe that an annual disclosure of transaction costs will be sufficient for members, however, there may be merit in allowing to trustees and IGCs to request more frequent updates to allow more detailed monitoring to take place. 9

10 Question 20: What information on costs and charges should be made publicly available? When and how should this be information be provided? Please see our response to question 19 above. Question 21: Are there any areas that you would highlight where firms, trustees or asset managers may not comply with the disclosure regime in the way intended? If you are concerned that this may be the case, are there steps that could be taken to reduce the incentive to get around reporting transaction costs? Would third-party oversight of reports enhance their value and usefulness? As mentioned above using standardised reporting models should minimise the opportunity for subjective analysis and potential underreporting of costs. On this basis, we believe it should be sufficient to rely on a manager s own internal controls and supervision as required under MiFID. In this respect we strongly support the Investment Association s recent Statement of Principles which call on managers to use standardised approaches to disclosure of costs to provide comparability. Question 22: Do you have any comment on the likely costs involved in implementing transaction cost disclosure along the lines described in this call for evidence? As an indication in implementing transaction cost reporting for Dutch Pension funds using the disclosure requirements provided by the Dutch Pension Federation, we incurred approximately 2 full time employees (FTE) worth of effort over the course of one year for the set up and methodology, and at least 1 FTE for ongoing reporting (though this does not include the time spent explaining the new methodology to clients). We anticipate similar effort required for this reporting set-up, assuming the methodologies are similarly straightforward as described above. Should UK methodologies not be aligned with those in MiFID and PRIIPs, costs will inevitably be higher. Conclusion We appreciate the opportunity to address and comment on the issues raised by the Call for Evidence and will be delighted to work with the DWP and FCA on any specific issues which may assist in reaching a standardised approach for reporting costs We would welcome any further discussion on any of the points that we have raised. Yours faithfully, Scott Cowling Managing Director Head of Market Structure & Electronic Trading, Europe scott.cowling@blackrock.com Martin Parkes Director Public Policy, EMEA martin.parkes@blackrock.com

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