Top 5 Execution Investment Firms and Venues by Volume and ...

Top 5 Execution Investment Firms and Venues by Volume and Quality of Execution Disclosures

April 2021

Rothschild & Co Wealth Management UK Limited New Court St. Swithin’s Lane London EC4N 8AL +44 20 7280 5000

© 2021 Rothschild & Co Wealth Management UK LimitedPublication date: April 2021.

Cover image: Extract from 1926 letter from Siegmund Warburg to Lionel and Anthony de Rothschild, thanking them for teaching him about business and ‘the fine tradition of New Court, which combines business with humanity without neglecting either.’ Courtesy of The Rothschild Archive.

MiFID II1 requires firms such as Rothschild & Co (or, “the Firm”) who place for execution its clients’ orders with other investment firms to publish annually the top five investment firms used in terms of trading volumes in the preceding year. We would also publish information on the quality of execution obtained from these investment firms. Similarly, MiFID II requires firms who directly execute client orders to publish the same information in relation to the top five execution venues used.

Execution and the importance of execution factorsIn accordance with its Order Execution Policy, Rothschild & Co has assessed total consideration (price and cost of execution) as the most important execution factor. This is because almost all Rothschild & Co’s clients are retail clients and the best total consideration can represent the best possible result for retail clients.

However, in relation to a few large orders placed in 2020, we also took into account speed and likelihood of execution (i.e. liquidity) to achieve the best possible result for our clients. In these cases, we selected the investment firms, or broker/s we considered most likely to fulfil our clients’ orders in a timely manner. Because of increased volatility seen in markets in 2020, a higher level of involvement was required from the broker/s to fulfil these large orders, therefore on average, clients paid a higher rate of brokerage commission for such orders; however overall best market price was still achieved.

Where client orders have multiple fills and take time to complete, the best possible result for the client is determined by reference to the “volume weighted average price” over the period from the first fill to the last fill.

The rate of commission charged by brokers on the Firm’s Approved Brokers list depends on the extent of broker involvement required to fulfil the order, and/or the specialism demands of the asset to be traded. We have agreed with all our approved brokers the same commission rates for orders which require “low touch” or “high touch” involvement. Similarly, we have agreed the same commission rates for orders in specialist assets as with general assets. In this way, the brokerage costs clients incur are the same regardless of which broker we select to execute the order. We consider the commission rates we have agreed to be consistent with market rates. We review all commission rates with our brokers annually.

In practice, Rothschild & Co treats retail and professional clients the same when executing clients’ orders and placing clients’ orders for execution, this includes using the same execution venues and best execution factors.

Introduction

Page 3 | Top 5 Execution Investment Firms and Venues by Volume and Quality of Execution Disclosures | April 2021

Close links, conflicts of interest and common ownershipAs disclosed in its Order Execution Policy and Conflicts of Interest Policy2, where an affiliated Rothschild & Co Group entity provides custody services to the Firm’s clients, the Firm executes foreign exchange forward orders within the Rothschild & Co Group. These execution arrangements give rise to a conflict of interest because the use of a single intra-group entity for execution may not result in the best execution of clients’ orders. However, we reasonably expect that this execution arrangement will enable us to obtain results for our clients that are at least as good as the results that could reasonably be expected from using an alternative and external entity for execution.

Rothschild & Co monitors foreign exchange forward transactions for best execution so that it can assure itself on an on-going basis that it achieves the best possible result for its clients.

Best execution monitoring The Firm regularly monitors the execution of its clients’ orders using various data and tools to, as mentioned, determine if it is achieving the best possible result for its clients. The Firm especially scrutinises executed transactions which fall outside the best execution thresholds set by the Firm’s Best Execution Committee. The results of the monitoring is presented to the Best Execution Committee for review on a periodic basis so that the committee can instruct action in the event Rothschild & Co is not obtaining, or may not obtain, the best possible result for its clients.

In 2020, the result of this monitoring concluded that Rothschild & Co placed its clients’ orders for execution or executed directly its clients’ orders across all financial instrument classes at best market price.

Please note that the Firm does not use a consolidated tape provider in such monitoring activities.

Changes to list of Approved BrokersRothschild & Co reviews its list of Approved Brokers at least annually to help ensure on an ongoing basis the Firm will be able to achieve the best possible result for its clients. The annual review we performed in 2020 did not result in any brokers being removed from the list. During 2020, we added additional brokers to the list. This was because the Firm wished to increase the brokers available to it for execution and placing of orders, in particular in relation to fixed income instruments and exchange traded funds.

1 Directive 2014/65/EU (commonly referred to as “MiFID II”) Article 27(6) and Commission Delegated Regulation (EU) 25/04/2016 Article 65(6)2 https://www.rothschildandco.com/en/legal-information/

Class of Instrument Equity – Tick size liquidity bands 1 and 2

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


Percentage of passive

orders

Percentage of aggressive

orders

Percentage of directed

orders

KBC PEEL HUNT LTD – LONDON 19.49% 0.28% 22.40% 0.14% 4.83%

INSTINET EUROPE LTD 16.51% 49.85% 44.00% 49.89% 77.02%

NUMIS SECURITIES LTD – LONDON 14.50% 0.25% 0.80% 0.25% 0.21%

LIBERUM CAPITAL LTD – LONDON 13.12% 0.46% 0.00% 0.46% 0.00%

MERRILL LYNCH NEW YORK 11.80% 7.53% 0.00% 7.58% 0.00%









orders


orders


orders



SANFORD C BERNSTEIN – LONDON 10.75% 21.04% 24.10% 20.96% 34.93%

MERRILL LYNCH INTERNATIONAL – LONDON 0.92% 16.65% 0.00% 17.04% 0.01%

RAYMOND JAMES FINANCIAL INTERNATIONAL LIMITED 0.10% 2.53% 0.00% 2.59% 0.00%









orders


orders


orders



SANFORD C BERNSTEIN – NEW YORK 15.58% 42.46% 0.46% 46.19% 8.15%


MERRILL LYNCH NEW YORK 5.26% 0.00% 0.00% 0.00% 0.00%

Class of Instrument Debt Instrument – Bonds








orders


orders


orders

GOLDMAN SACHS INTERNATIONAL 16.68% 5.58% 3.60% 6.35% 6.67%


CITIGROUP GLOBAL MARKETS LTD – LONDON 11.83% 11.55% 9.14% 12.49% 15.00%

HSBC TREASURY AND CAP. MKTS-LONDON 10.71% 10.70% 19.11% 7.43% 5.00%

NATWEST MARKETS PLC LONDON 8.73% 5.50% 6.65% 5.06% 1.67%


Top 5 Execution Venues Trading Volumes by Asset Class

Class of Instrument Currency Derivatives – FX Forwards








orders


orders


orders

ROTHSCHILD BANK AG 100.00% 100.00% 0.00% 100.00% 0.42%

Class of Instrument Exchange traded products








orders


orders


orders

FLOW TRADERS BV 34.78% 8.43% 9.09% 8.41% 8.20%

INVESTEC BANK PLC – LONDON 19.77% 8.43% 4.55% 8.52% 6.89%

JANE STREET FINANCIAL LTD. 16.72% 15.85% 4.55% 16.14% 8.85%

OPTIVER VOF 13.10% 3.22% 0.00% 3.30% 3.28%

SUSQUEHANNA INTERNATIONAL SECURITIES LTD. 12.51% 3.33% 0.00% 3.41% 4.59%

Class of Instrument Securitised Derivatives – Warrants and Certificate Derivatives








orders


orders


orders

CITIGROUP GLOBAL MARKETS FUNDING LUXEMBOURG 79.64% 84.47% 0.00% 84.86% 0.00%

BNP PARIBAS ISSUANCE B.V. 19.03% 8.22% 0.00% 8.26% 0.00%

J.P. MORGAN SECURITIES PLC 1.01% 6.05% 0.00% 6.08% 0.00%

CACEIS PARIS 0.32% 0.57% 100.00% 0.11% 0.00%

CREDIT SUISSE FUTURES-OPTIONS – ZURICH 0.00% 0.68% 0.00% 0.69% 0.00%

Class of Instrument Other instruments

Notification if <1 average trade per business day in the previous year Y







orders


orders


orders

SVCTR ROTHSCHILD BANK AG – ZURICH 85.49% 74.67% 0.00% 74.67% 47.62%SVCTR ROTHSCHILD & Co Bank AG, ZURICH – CUSTODY IT 10.20% 5.33% 0.00% 5.33% 19.05%

NUMIS SECURITIES LTD – LONDON 1.99% 2.67% 0.00% 2.67% 9.52%


JEFFERIES INTERNATIONAL LTD – LONDON 0.57% 1.33% 0.00% 1.33% 4.76%

Price and cost will normally be the most significant factors. However, if there is a lack counterparties offering the relevant financial instrument this may mean that the firm’s investigation into price is not as varied as it might have been in other cases.


Class of Instrument Debt Instrument – Money markets Instruments








orders


orders


orders

DANSKE BANK AKTIESELSKAB – COPENHAGEN 33.35% 43.36% 36.73% 46.91% 32.79%

THE TORONTO-DOMINION BANK – LONDON 32.13% 28.20% 22.45% 31.27% 40.98%

MORGAN STANLEY + CO INTL – LONDON 24.74% 7.58% 17.69% 2.18% 3.28%

HSBC TREASURY AND CAP. MKTS-LONDON 3.92% 9.48% 8.16% 10.18% 9.84%

UBS AG – LONDON 1.33% 0.47% 0.00% 0.73% 0.00%


Top 5 Execution Venues (RTS 28)

RTS 28 (regulatory technical standards) for the annual publication by investment firms of information on the identity of execution venues and on the quality of execution.

Class of Instrument Securitised Derivatives – Warrants and Certificate Derivatives








orders


orders


orders

CITIGROUP GLOBAL MARKETS FUNDING LUXEMBOURG 79.64% 84.47% 0.00% 84.86% 0.00%

BNP PARIBAS ISSUANCE B.V. 19.03% 8.22% 0.00% 8.26% 0.00%

J.P. MORGAN SECURITIES PLC 1.01% 6.05% 0.00% 6.08% 0.00%

CACEIS PARIS 0.32% 0.57% 100.00% 0.11% 0.00%

CREDIT SUISSE FUTURES-OPTIONS – ZURICH 0.00% 0.68% 0.00% 0.69% 0.00%

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