MIFID II: RTS 28 REPORT INFORMATION ON EXECUTION VENUES AND QUALITY OF EXECUTION HPC SA

Transcription

1 MIFID II: RTS 28 REPORT INFORMATION ON EXECUTION VENUES AND QUALITY OF EXECUTION HPC SA HPC SA: RTS 28 REPORT I

2 INTRODUCTION As part of the European Directive 2014/65/EU (Mifid II), which took effect on January 3rd, 2018, HPC publishes on annual basis information for each class of financial instruments, the main execution venues in terms of trading volumes where they executed client orders in the preceding year and information on the quality of execution obtained. Please note that the list of Execution venues directly accessible by HPC and the list of execution venue accessible through third-party firms can be found on HPC Client order handling and execution policy. This report relates to trading activity conducted in HPC SA: RTS 28 REPORT I

3 1. Equities Shares & Depositary Receipts 1.1 Information on the top five execution venues HPC will not provide split for passive, aggressive and directed order due to the lack of data available. Regarding Equities split, HPC will not display a breakdown for tick size liquidity bands as the information was not available for 2017 transactions Class of Instrument Notification if <1 average trade per business day in the previous year Equities Shares & Depositary Receipts 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 LONDON STOCK EXCHANGE (XLON) 30.1% 13.6% EURONEXT PARIS S.A. (XPAR) 19.3% 31.2% BORSA ITALIANA S.P.A. (XMIL) 10.7% 1.9% BOLSA DE MADRID (XMAD) 8.1% 3.3% NEW YORK STOCK EXCHANGE, INC. (XNYS) 7.1% 15.1% 1.2 Information on quality of execution a) Relative importance the firm gave to the execution factors of price, costs, speed, likelihood of execution or any other consideration including qualitative factors when assessing the quality of execution; The origins of orders placed with each desk can be either: - transmitted in DMA through the selected intermediaries for execution (see selection policy) - or several counterparties are put in competition (RFQ) when the size of the order does not allow for satisfactory execution on a market HPC SA: RTS 28 REPORT I

4 When executing transactions where best execution applies, HPC will take into account the execution factors of the HPC Best Execution and Selection Policy. Whilst we have provided these in order of relative priority below, a variety of criteria will be taken into account in assessing the prioritization of execution factors. Criteria for consideration includes the characteristics of each individual order such as client preferences, market conditions, when the order is received and the size of order. It is important to note that in certain circumstances, for example high volatility or an illiquid market, likelihood of execution may become the primary execution factor. Outside of any Specific Instructions provided by the client, the most important execution factor when handling orders will be the price of the relevant financial instrument. Subject to any Specific Instruction, the following provides an example of the execution factors prioritization that may be applied: 1. Price 2. Liquidity 3. Speed 4. Total cost b) Description of any close links, conflicts of interests, and common ownerships with respect to any execution venues used to execute orders; There are no close links, conflict of interests, and common ownerships with respect to any execution venues used to execute orders c) Description of any specific arrangements with any execution venues regarding payments made or received, discounts, rebates or non-monetary benefits received; There are no specific arrangements with any execution venues regarding payments made or received, discounts, rebates or non-monetary benefits received. d) Explanation of the factors that led to a change in the list of execution venues listed in the firm s execution policy, if such a change occurred; No factor of execution has led to a change in the list of execution venues listed in the firm s execution policy for transactions executed in e) Explanation of how order execution differs according to client categorisation, where the firm treats categories of clients differently and where it may affect the order execution arrangements; HPC executes orders for professional clients and eligible counterparties only. Order execution does not differ according to client categorization. HPC SA: RTS 28 REPORT I

5 f) Explanation of whether other criteria were given precedence over immediate price and cost when executing retail client orders and how these other criteria were instrumental in delivering the best possible result in terms of the total consideration to the client; HPC does not executes orders for retail clients g) Explanation of how the investment firm has used any data or tools relating to the quality of execution, including any data published under Commission Delegated Regulation (EU) / to be inserted before publication [RTS 27]; HPC did not use data from any external system provider, an internal analysis was performed by Compliance department. h) Where applicable, an explanation of how the investment firm has used output of a consolidated tape provider established under Article 65 of Directive 2014/65/EU. HPC SA: RTS 28 REPORT I

6 2. Debt instruments (Bonds and Money markets instruments) Not applicable HPC only acted in an arranging capacity in this class of financial instrument type in Interest rates derivatives 3.1 Information on the top five execution venues HPC will not provide split for passive, aggressive due to the lack of data available. For 2017, all client orders on Interest Rate Derivatives were directed orders based on client instructions. Futures and options admitted to trading on a trading venue: Class of Instrument Interest rates derivatives Notification if <1 average trade per business day in the previous year Top five execution venues ranked in terms of trading volumes (descending order) Proportion of volume traded as a percentage of total in that class N Proportion of orders executed as percentage of total in that class EUREX DEUTSCHLAND (XEUR) 87.4% 90.3% CHICAGO MERCANTILE EXCHANGE (XCME) CHICAGO BOARD OF TRADE (XCBT) ICE FUTURES EUROPE - FINANCIAL PRODUCTS DIVISION (IFLL) EURONEXT PARIS - MONEP (XMON) 4.9% 2.7% 4.1% 4.8% 3.5% 2.1% 0.06% 0.05% HPC SA: RTS 28 REPORT I

7 3.2 Information on quality of execution a) Relative importance the firm gave to the execution factors of price, costs, speed, likelihood of execution or any other consideration including qualitative factors when assessing the quality of execution; The origins of orders placed with each desk for futures and options can be as follow : - Transmission to a regulated market; - or several counterparties are put in competition (RFQ) when the size of the order does not allow for satisfactory execution on a market. A variety of criteria will be taken into account in assessing the prioritisation of execution factors. Outside of any Specific Instructions provided by the client, the most important execution factor when handling orders will be the price of the relevant financial instrument. Subject to any Specific Instruction, the following provides an example of the execution factors prioritisation that may be applied: 1. Price 2. Liquidity 3. Speed 4. Total cost b) Description of any close links, conflicts of interests, and common ownerships with respect to any execution venues used to execute orders; There are no close links, conflict of interests, and common ownerships with respect to any execution venues used to execute orders c) Description of any specific arrangements with any execution venues regarding payments made or received, discounts, rebates or non-monetary benefits received; HPC participated at the Eurex volume-based revenue sharing scheme (Eurex circular 116/16) as such was eligible to rebates. d) Explanation of the factors that led to a change in the list of execution venues listed in the firm s execution policy, if such a change occurred; No factor of execution has led to a change in the list of execution venues listed in the firm s execution policy for transactions executed in e) Explanation of how order execution differs according to client categorisation, where the firm treats categories of clients differently and where it may affect the order execution arrangements; HPC executes orders for professional clients and eligible counterparties only. Order execution does not differ according to client categorization. HPC SA: RTS 28 REPORT I

8 f) Explanation of whether other criteria were given precedence over immediate price and cost when executing retail client orders and how these other criteria were instrumental in delivering the best possible result in terms of the total consideration to the client; HPC does not execute orders for retail clients. g) (g) an explanation of how the investment firm has used any data or tools relating to the quality of execution, including any data published under Commission Delegated Regulation (EU) / to be inserted before publication [RTS 27]; HPC did not use data from any external system provider, an internal analysis was performed by Compliance department. h) Where applicable, an explanation of how the investment firm has used output of a consolidated tape provider established under Article 65 of Directive 2014/65/E 4. Credit derivatives 5. Currency derivatives 6. Structured finance instruments Not applicable HPC only acted in an arranging capacity in this class of financial instrument type. HPC SA: RTS 28 REPORT I

9 7. Equity Derivatives 7.1 Information on the top five execution venues HPC will not provide split for passive, aggressive due to the lack of data available. For 2017, all client orders on Equity Derivatives were directed orders based on client instructions Options and Futures admitted to trading on a trading venue: Class of Instrument Notification if <1 average trade per business day in the previous year Top five execution venues ranked in terms of trading volumes (descending order) Proportion of volume traded as a percentage of total in that class Equity Derivatives N Proportion of orders executed as percentage of total in that class EUREX DEUTSCHLAND (XEUR) 86.6% 72.1% ICE FUTURES EUROPE - FINANCIAL PRODUCTS 7.2% 3.9% DIVISION (IFLL) EURONEXT PARIS - MONEP (XMON) 3.9% 15.9% CHICAGO BOARD OF TRADE (XCBT) 1.4% 5.4% CHICAGO MERCANTILE EXCHANGE (XCME) 0.82% 2.5% 7.2 Information on quality of execution a) Relative importance the firm gave to the execution factors of price, costs, speed, likelihood of execution or any other consideration including qualitative factors when assessing the quality of execution; The origins of orders placed with each desk for futures and options can be either: - either transmitted on a regulated market - or several counterparties are put in competition (RFQ) when the size of the order does not allow for satisfactory execution on a market4. Total cost HPC SA: RTS 28 REPORT I

10 A variety of criteria will be taken into account in assessing the prioritisation of execution factors. Outside of any Specific Instructions provided by the client, the most important execution factor when handling orders will be the price of the relevant financial instrument. Subject to any Specific Instruction, the following provides an example of the execution factors prioritisation that may be applied: 1. Price 2. Liquidity 3. Speed 4. Total cost b) Description of any close links, conflicts of interests, and common ownerships with respect to any execution venues used to execute orders; There are no close links, conflict of interests, and common ownerships with respect to any execution venues used to execute orders c) Description of any specific arrangements with any execution venues regarding payments made or received, discounts, rebates or non-monetary benefits received; HPC participated at the Eurex volume-based revenue sharing scheme (Eurex circular 116/16) as such was eligible to rebates. d) Explanation of the factors that led to a change in the list of execution venues listed in the firm s execution policy, if such a change occurred; No factor of execution has led to a change in the list of execution venues listed in the firm s execution policy for transactions executed in e) Explanation of how order execution differs according to client categorisation, where the firm treats categories of clients differently and where it may affect the order execution arrangements; HPC executes orders for professional clients and eligible counterparties only. Order execution does not differ according to client categorization. f) Explanation of whether other criteria were given precedence over immediate price and cost when executing retail client orders and how these other criteria were instrumental in delivering the best possible result in terms of the total consideration to the client; HPC does not execute orders for retail clients. g) Explanation of how the investment firm has used any data or tools relating to the quality of execution, including any data published under Commission Delegated Regulation (EU) / to be inserted before publication [RTS 27]; HPC SA: RTS 28 REPORT I

11 HPC did not use data from any external system provider, an internal analysis was performed by Compliance department. h) Where applicable, an explanation of how the investment firm has used output of a consolidated tape provider established under Article 65 of Directive 2014/65/E 8. Securitized Derivatives 9. Commodities derivatives 9.1 Information on the top five execution venues HPC will not provide split for passive, aggressive and directed order due to the lack of data available. Options and Futures admitted to trading on a trading venue: Class of Instrument Commodities derivatives Notification if <1 average trade per business day in the previous year Top five execution venues ranked in terms of trading volumes (descending order) Proportion of volume traded as a percentage of total in that class Y Proportion of orders executed as percentage of total in that class CHICAGO BOARD OF TRADE (XCBT) 59.4% 73.7% EURONEXT LIFFE- MATIF (XMAT) 36.2% 16.6% ICE FUTURES EUROPE - OIL AND REFINED PRODUCTS DIVISION (IFEN) 4.3% 7.3% HPC SA: RTS 28 REPORT I

12 9.2 Information on quality of execution a) Relative importance the firm gave to the execution factors of price, costs, speed, likelihood of execution or any other consideration including qualitative factors when assessing the quality of execution; The origins of orders placed with each desk for futures and options can be either: - either transmitted on a regulated market - or several counterparties are put in competition (RFQ) when the size of the order does not allow for satisfactory execution on a market4. Total cost A variety of criteria will be taken into account in assessing the prioritisation of execution factors. Outside of any Specific Instructions provided by the client, the most important execution factor when handling orders will be the price of the relevant financial instrument. Subject to any Specific Instruction, the following provides an example of the execution factors prioritisation that may be applied: 1. Price 2. Liquidity 3. Speed 4. Total cost b) Description of any close links, conflicts of interests, and common ownerships with respect to any execution venues used to execute orders; There are no close links, conflict of interests, and common ownerships with respect to any execution venues used to execute orders c) Description of any specific arrangements with any execution venues regarding payments made or received, discounts, rebates or non-monetary benefits received; There are no specific arrangements with any execution venues regarding payments made or received, discounts, rebates or non-monetary benefits received. d) Explanation of the factors that led to a change in the list of execution venues listed in the firm s execution policy, if such a change occurred; No factor of execution has led to a change in the list of execution venues listed in the firm s execution policy for transactions executed in e) Explanation of how order execution differs according to client categorisation, where the firm treats categories of clients differently and where it may affect the order execution arrangements; HPC SA: RTS 28 REPORT I

13 HPC executes orders for professional clients and eligible counterparties only. Order execution does not differ according to client categorization. f) Explanation of whether other criteria were given precedence over immediate price and cost when executing retail client orders and how these other criteria were instrumental in delivering the best possible result in terms of the total consideration to the client; HPC does not execute orders for retail clients. g) Explanation of how the investment firm has used any data or tools relating to the quality of execution, including any data published under Commission Delegated Regulation (EU) / to be inserted before publication [RTS 27] HPC did not use data from any external system provider, an internal analysis was performed by Compliance department. h) Where applicable, an explanation of how the investment firm has used output of a consolidated tape provider established under Article 65 of Directive 2014/65/E 10. Contracts for difference 11. Exchange traded products 12. Emission allowances HPC SA: RTS 28 REPORT I