RTS 28

Overview

Directive 2014/65/EU in MiFID II requires investment firms who execute client orders to summarise and make public on an annual basis, for each class of financial instruments, the top five execution venues in terms of trading volumes.

The required details that need to be specified are prescribed in the directive's annexes.

Trading business relates to professional clients only (no retail clients). Accordingly, all orders are passive.

The trades, for 2017, were in respect of eight distinct categories (classes, as defined in RTS 28) of instrument.

Annexes

Where Theorema had traded instruments in a given category, this resulted in a corresponding table (see below) being produced - the table displays the top five brokers responsible for filling the trades, ranked by the broker's associated percentage of volume (that is, quantity of order) across all brokers in the category.

Please note that equities were sub-divided by their liquidity into three separate bands, determined by the relevant exchange's measure of trades per day.

The percentage of orders in the specific category, for each of the top five brokers, is also shown.

The table also indicates the activity of trading, in each category, by the presence of a "Y" or "N" against the (average) number of trades per day.

The tables contain mnemonics for the broker, and the Broker/LEI table shows the unique LEI code allowing identification of the broker.

Broker LEI
AKRO 549300GRXFI7D6PNEA68
DBIA 7LTWFZYICNSX8D621K86
INTM YMUU1WGHJKORF9E36I98
JPML K6Q0W1PS1L1O4IQL9C32
MDIN PSNL19R2RXX5U3QWHI44
MLIN GGDZP1UYGU9STUHRDP48
MSIN 4PQUHN3JPFGFNF3BB653
OPPE 213800CH6IZ9J98PIS59
SAX 529900EV6BXWNSFD7E06
TDBK 5493002FO2Q9EGLQ2416
UBIN BFM8T61CT2L1QCEMIK50


"Y" - Less than 1 average trade, per day


Category Liquidity
1 Equities Bands 1 and 2
Rank Broker % of Volume % of Orders
1 MSIN 57.24% 76.74%
2 UBIN 25.59% 17.44%
3 AKRO 16.54% 1.16%
4 OPPE 0.43% 3.49%
5 MLIN 0.20% 1.16%
100.00% 100.00%

"Y" - Less than 1 average trade, per day


Category Liquidity
2 Equities Bands 3 and 4
Rank Broker % of Volume % of Orders
1 MDIN 22.96% 7.73%
2 JPML 16.47% 10.31%
3 MSIN 16.14% 19.59%
4 TDBK 15.36% 13.92%
5 UBIN 13.33% 31.96%
84.26% 83.51%

"Y" - Less than 1 average trade, per day


Category Liquidity
3 Equities Bands 5 and 6
Rank Broker % of Volume % of Orders
1 UBIN 37.27% 38.81%
2 INTM 34.44% 1.49%
3 JPML 8.98% 16.42%
4 MSIN 6.41% 11.94%
5 MLIN 3.10% 2.24%
90.21% 70.90%

"N" - Greater than 1 average trade, per day


Category
4 CFDs
Rank Broker % of Volume % of Orders
1 MLIN 31.39% 17.05%
2 JPML 15.64% 16.57%
3 MSIN 14.88% 25.95%
4 UBIN 7.09% 8.77%
5 DBIA 5.39% 7.01%
74.39% 75.36%

"Y" - Less than 1 average trade, per day


Category
5 Currency Derivatives - daily rolling
Rank Broker % of Volume % of Orders
1 SAX 100.00% 100.00%
2
3
4
5
100.00% 100.00%

"Y" - Less than 1 average trade, per day


Category
6 Bonds
Rank Broker % of Volume % of Orders
1 MLIN 100.00% 100.00%
2
3
4
5
100.00% 100.00%

"Y" - Less than 1 average trade, per day


Category
7 Interest Rate Derivatives
Rank Broker % of Volume % of Orders
1 SAX 100.00% 100.00%
2
3
4
5
100.00% 100.00%

"Y" - Less than 1 average trade, per day


Category
8 Equity Derivatives
Rank Broker % of Volume % of Orders
1 MSIN 94.20% 92.02%
2 SAX 5.80% 7.98%
3
4
5
100.00% 100.00%

download as spreadsheet

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+44 20 7318 5330


Fax:

+44 20 7318 5350



Email:

theorema@theoremafunds.com For details about careers or marketing, or for our Spanish/UK address, please visit the contact page.

Our Structure

Theorema Advisors UK LLP, based in the UK, currently manages the Plurima Theorema European Equity Long-Short Fund on behalf of Theorema Advisors Ltd.

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Our Philosophy

We endeavour to generate a high level of alpha, irrespective of the market environment, whilst maintaining a low level of volatility and continue to have a strong emphasis on capital preservation.

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Our Team

Theorema has a highly experienced team, led by Giovanni Govi, Founder and Chief Investment Officer. The team also includes two portfolio managers, three analysts, one trader, a risk manager, a CEO, a COO and two support staff.

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