RTS28 2020
Atlantic House Investments Limited
Top 5 Venues Execution Report 2020

Introduction

This document has been issued by Atlantic House Investments Limited (AHI) who is authorised and regulated by the Financial Conduct Authority (‘FCA’) as a MiFID Investment Firm; the main regulated activity it performs is portfolio management for clients that meet the FCA handbook definition of ‘professional client’ and ‘retail client’. AHI has published this document in line with the requirements of MiFID II and supplementing Regulatory Technical Standards (RTS). The legislation requires portfolio managers to summarise and disclose annually the top five execution venues in terms of trading volumes where they executed decisions to deal in the preceding year and associated information on the quality of execution for each class of financial instrument. AHI do not have a centralised dealing team however trade execution must follow the AHI Execution Policy; the dealing element of the investment management team’s responsibilities is overseen as part of the firm’s compliance monitoring programme. Transactions are concluded with external counterparties in relation to the discretionary investment decisions made by AHI’s portfolio management teams.

During 2020, AHI undertook dealing in the following financial instruments for clients:

  • Debt Instruments: Bonds
  • Interest Rate Derivatives: Swaps, forwards, and other interest rates derivatives
  • Equity Derivatives: Swaps and other equity derivatives
  • Securitised Derivatives: Other securitised derivatives

Glossary & Abbreviation of Terms

Abbreviation/TermDefinition
Aggressive OrdersAggressive order means an order entered into the order book that took liquidity.
AHIAtlantic House Investments Limited
Directed OrdersDirected order means an order where a specific execution venue was specified by the client prior to the execution of the order
FCAFinancial Conduct Authority
MiFIDMarkets in Financial Instruments Directive
OTCOver the counter (OTC) is a security traded outside of a formal exchange via an agreement between two parties.
Passive OrdersPassive order means an order entered into the order book that provided liquidity.
Total Return Swap (TRS)A total return swap is a swap agreement in which one party makes payments based on a set rate, either fixed or variable, while the other party makes payments based on the return of an
VenueA venue is where a client order is executed. For this report we show the legal name of the venue that the order was passed to.

Quantitative Report and Qualitative Commentary for Each Asset Class

Class of Instrument: Debt Instruments: Bonds
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 classProportion of orders executed as percentage of total in that classPercentage of passive ordersPercentage of aggressive ordersPercentage of directed orders
JP Morgan Securities plc63.68%36.99%
Citigroup Global Markets Ltd16.39%8.22%
RBC Europe Ltd16.28%21.92%
King & Shaxson Ltd3.65%32.88%

Qualitative Commentary: The primary trading factors considered for this asset class when selecting the venue were price and likelihood of execution and size. The majority of the trades by notional are traded alongside OTC interest rate contracts where simultaneous bond execution ensures reduced risk and tighter liquidity. AHI regularly reviews its bond counterparties and, where appropriate, adds counterparties based on execution ability, transaction cost and operational capabilities.

Class of Instrument: Interest Rate Derivatives: Swaps, forwards, and other interest rates 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 classProportion of orders executed as percentage of total in that classPercentage of passive ordersPercentage of aggressive ordersPercentage of directed orders
JP Morgan Securities plc56.70%67.31%
Citigroup Global Markets Ltd29.27%26.92%
RBC Europe Ltd9.14%3.85%
Merrill Lynch International4.89%1.92%

Qualitative Commentary: Trades were split between these 4, as mostly the interest derivatives trades were linked to the bonds’ transactions detailed above. We have internal models to ensure best execution is provided by the counterparty.

Class of Instrument: Equity Derivatives: Swaps and other equity 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 classProportion of orders executed as percentage of total in that classPercentage of passive ordersPercentage of aggressive ordersPercentage of directed orders
Merrill Lynch International51.11%8.82%
Citigroup Global Markets Ltd19.19%30.85%
UBS Europe SE12.00%20.39%
Société Générale5.93%12.12%
RBC Europe Ltd4.66%3.03%

Qualitative Commentary: AHI trades some equity index/basket product through OTC swaps. These are executed with a counterparty under ISDA documentation, which needs to be in place for all funds/accounts trading the swap. AHI have a rich list of top tier investment banks to choose from, each Swap transaction goes through an RFQ process. A significant percentage of the trades completed in 2020 were top ups of the original transaction with the counterparty. We have internal pricing models to ensure pricing received is of good standing.

Class of Instrument: Securities Derivatives: Other securitised 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 classProportion of orders executed as percentage of total in that classPercentage of passive ordersPercentage of aggressive ordersPercentage of directed orders
Crédit Agricole Corporate & Investment Bank66.67%78.58%
Credit Suisse International33.33%7.14%
Investec Bank20.57%7.14%
JP Morgan Securities plc11.59%7.14%
 

Qualitative Commentary: AHI trades some equity index/basket product through OTC swaps. These are executed with a counterparty under ISDA documentation, which needs to be in place for all funds/accounts trading the swap. AHI have a rich list of top tier investment banks to choose from, each Swap transaction goes through an RFQ process. A significant percentage of the trades completed in 2020 were top ups of the original transaction with the counterparty. We have internal pricing models to ensure pricing received is of good standing.

Class of Instrument: Exchange traded products (Exchange 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 classProportion of orders executed as percentage of total in that classPercentage of passive ordersPercentage of aggressive ordersPercentage of directed orders
Winterflood Securities43.96%75.00%
Citigroup Global Markets Ltd24.51%6.25%
RBC Europe Ltd19.82%6.25%
JP Morgan Securities plc6.11%6.25%
Flow Traders B.V.5.60%6.25%

Qualitative Commentary: Winterflood Securities are the market leading ETF liquidity provider in the UK, given the volume of flow which they see from other participants in the market. During the process of selecting Winterflood for this business we assessed several counterparties and found that both the likelihood and cost of execution at Winterflood was the best available at the time. AHI also executes ‘risk price’ ETFs with other counterparties as we find we are able to access senior traders who offer competitive prices which we are not able to find elsewhere in the market for specific assets classes.

Class of Instrument: Equities – Shares & Depositary Receipts – Tick size liquidity bands 5 and 6 (from 2000 trades per day)
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 classProportion of orders executed as percentage of total in that classPercentage of passive ordersPercentage of aggressive ordersPercentage of directed orders
RBC Europe Ltd63.26%80.22%
Winterflood Securities16.88%4.46%   
Merrill Lynch International13.74%14.48%
Flow Traders B.V.6.12%0.84%

Qualitative Commentary: AHI runs a regular review of their counterparties for cash equities and has access to multiple trading venues across several leading banks/brokers in the cash equity market. RBC, the largest counterparty, provides a high level of service and access to multiple trading venues both through its algorithmic trading platform. In addition, we are able to access senior traders and sales traders with in depth knowledge of individual security liquidity information and price movements.

Class of Instrument: Currency Derivatives: swaps, forwards, and other currency 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 classProportion of orders executed as percentage of total in that classPercentage of passive ordersPercentage of aggressive ordersPercentage of directed orders
JP Morgan Securities plc60.99%76.43%
RBC Europe Ltd39.01%23.57%

Qualitative Commentary: AHI ran a pre trade survey of all currency counterparties based on several indicators including but not limited to market share of counterparty, service, cost, execution abilities and range of products offered. JP Morgan, the party where we have executed the most transactions, are the world’s largest FX banks and provide AHI access to the wider banks offsetting flow when executing transactions. Additionally, we are able to access senior traders and persons to assist in trade execution queries or operational issues.

Qualitative Report

In accordance with Article 3(3) of RTS 28, AHI hereby publishes a summary of the analysis and conclusions the firm has drawn from detailed monitoring of the quality of execution obtained during 2020. This qualitative report attempts to provide a more transparent picture of the firm’s order execution policy in practice, execution strategies and tools used to assess the strategies’ quality.  The qualitative commentary has been inserted at the bottom of each asset class above.