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Transaction Cost Analysis
Transaction Cost Analysis
FX
no of deals
mid-rate benchmark
mid-rate slippage
avg 5min(15,30) mid quote slippage
WM Fixing Rate
WM Fixing Rate Slippage
Market High/Low Avg Slippage
Market Avg Mid Rate Slippage
FI
RFQ Analysis
Hit Rate
Cover-1 Hit Rate
Challlenge
Volume lack
Price Quality
Last Far Touch Slippage
Last Mid Slippage
Quotes Min BO Price Diff
Quote Max BO Price Diff
Quotes Avg BO Price Diff
Equity
Arrival Price
Day Close
Limited-adj Format
Rating of the spread between two possible prices ("Slippage")
Particular transaction if it were executed at the prevailing price at the time the PM decided to buy or sell
Actual price of the txn, including commissions, taxes and other costs
How?
Compared traded price to benchmark prices
Volume-weighted average price (VWAP analysis)
mid point of the bid/offer spread (implementation shortfall analysis)
consider the opportunity cost that the trade not completed
very detrimental to port performance if the trade turned out to be very profitable if been completed
Procedures
Portfolio Management Decision
Order Execution
RFQ Going out
Quote Back
Execution Time
same trade different times the liquidity