Fund Transaction Costs Calculation
Slippage and New PRIIPS Method
PRIIPS transaction costs / MIFID transaction costs
The PRIIPs regulation requires a complete cost transparency for investment products in their Key Information Document (‘KID’). This includes disclosure of the implicit fund transaction costs of trading underlying instruments. To capture these implicit fund transaction costs, the regulator imposes the slippage or arrival price methodology. New products, or products for which insufficient data are available, can use the new PRIIPs methodology (half-spread).
With regards to MIFID, the ESMA expects alignment with the PRIIPs methodology for the MIFID transaction reporting.
The European Supervisory Authorities recently confirmed that the slippage/arrival price is there to stay.
Capture both explicit and implicit fund transaction costs.
Slippage or Arrival Price Methodology
Slippage is the difference between the arrival price and the execution price of a trade. Sourcing arrival prices requires large amounts of costly tick history.
New PRIIPs Methodology
An estimation of the implicit costs can be made. This approximation uses the turnover at the asset-class level and the corresponding half bid-ask spread. This methodology is also known as the half-spread or portfolio turnover methodology.
How it works
TCALab is a “one-stop-shop” for the calculation of your priip transaction costs as required by the PRIIPs Regulation. TCALab is available as a Managed Service or SaaS (Software as a Service).
STEP 1: Trade File
We are flexible with regards to the type and delivery of the trade files.
STEP 2: Enrichment
All trades are enriched with tick history (to source the arrival price) and half-spread data.
STEP 3: Calculation
TCALab calculates the transaction cost for each trade and aggregates them at fund level.
Why Choose RiskConcile
RiskConcile is a FinTech with a focus on Risk and Regulatory Technology. We combine a deep operational experience in the financial sector with a technological mindset. Our clients are asset managers based across the globe and include multi-billion investment management firms, hedge funds, law firms, private equity funds and Big-4 audit firms.
Operational Experience
Our team consists of former derivatives’ traders, portfolio managers, risk managers and private equity professionals.
Complexity
We have a strong experience with calculating transaction costs for a wide variety of (complex) instruments.
Quick Turnaround
Timing is important and we promise to deliver on time.
Client-Oriented
We are able to adapt our solutions on-the-fly to accommodate your needs.
Pricing
We are proud to offer strong value for a competitive price.
Want more information?
Do you need assistance with your priip transaction costs calculation?
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Contact us to discuss your case
RiskConcile is a European FinTech company with a focus on Risk and Regulatory Technology. We assist clients in tackling complex topics by providing innovative technological solutions. Our areas of expertise include PRIIPs, Transaction Costs, AIFMD Annex IV, ESG, Risk Management and data science.
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