Calculate Implicit & Explicit Costs for Derivatives & Cash Products
Generating the specific data required for immediate regulatory compliance
Requirements
The 3 key transaction cost reporting obligations
01.
Immediate Response to Investor Cost Requests
Expected (ex-ante) transaction costs must be given to all prospective investors before they make an investment decision.
02.
Reporting Costs for the Last Three Years
The last three years worth of (ex-post) costs must be provided to each investor on an annual basis.
03.
Cumulative Impact of Costs on Investment Returns
Illustrations showing the cumulative impact of costs on returns must be provided.
Mifid Ii Costs & Charges Product Tour
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Costs & Charges
Challenges
To estimate implicit costs a set of detailed rules must be followed
If you’re subject to MIFID II, you automatically have to comply with the much tougher PRIIPs standards to estimate implicit (bid offer spread) costs.
A set of detailed rules must be followed to estimate implicit costs when arrival prices are not available, which requires sophisticated modelling for OTC, ETD and FX products.
The ‘slippage cost approach’ defined in PRIIPs to estimate implicit costs requires the execution price as well as the order-transmitted price (or ‘arrival’ price) for each trade for the last 3 years.
Even if you have no MiFID or PRIIPs obligation, investors will increasingly expect transaction cost reporting as standard.
Opengamma Solution
The OpenGamma model estimates implicit costs for OTC, ETD and FX products by using machine-learning & statistical techniques on historical transaction data.
For all other products e.g. equity, bonds and money markets, transaction data is consolidated, ensuring full product coverage for regulatory reporting.
The simple-to-use interface allows you to download transaction cost output on-demand, with reports and analytics built to the specifications of the Costs & Charges Disclosure.
Simple Set-Up
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Data Input
Integrating your data is our problem, not yours
Simulations
We run millions of calculations using our proprietary analytics
Results
Receive the specific output required for immediate regulatory compliance