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Case Study

MiFID II Best Execution Reporting – RTS 27

Exception Based Quality Assurance and Reconciliation

Customer Challenge

A tier one Global Investment Bank acting as a multi-channel (high, low and zero touch flow), multi-asset class execution venue was required to generate MiFID II RTS 27 best execution reports for each in scope asset class.

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Citihub Consulting consultants working across front office and technology divisions defined, developed and executed an exception driven Quality Assurance solution for cash equities.

Deliverables included attribute specific test cases, raw data validation and a rule based and  reusable reconciliation toolset.

How Citihub Consulting Helped

Under MiFID II, Investment Firms acting as Execution Venues have an obligation to publish a quarterly Best Execution report that details, by product and trade date, Quote, Order and Execution details.

The client is operating as a cash equity Systematic Internaliser and this created a vast data set with over 120 attributes. Each attribute had to be populated each time any of the 3,000 unique products were traded on an average of 50 trading days per quarter.

Ensuring consistent quality across the data set was a critical activity and was completed by the Citihub Consulting team. In the initial phase the team defined and executed a manual review process before converting this into executable queries allowing the automation, and a first step towards an exception based review process for future quarterly reports.

Citihub Consulting’s deep knowledge of the client’s business, the underlying dataset and the regulatory text enabled the team to add value beyond the baseline QA role. Key deliverables included:

  • Identified and investigated outliers based on the regulatory text (RTS 27) & on market convention;
  • Converted manual checks to automated exception identification;
  • Data analytics to validate & reconcile full data sets;
  • What-if scenarios – defining and building rules for future proofing;
  • Reviewing competitor RTS 27 reports to both validate the approach taken by the client and providing competitive intelligence to benchmark the client’s own submissions.

Customer Benefits

Improved Data Quality

Identification of areas for investigation of data quality through SME knowledge and,  later, automated reconciliation to drive continuous improvements to data quality.

Enhanced Reporting Process

The design and implementation of the report validation enabled the client to move towards an exception based report review process. This significantly reduced manual effort and reduced the time and effort required for each report to go through an approval process prior to publication.

Traceable Documentation

Clear and direct links from regulatory text to requirements and test cases.

Transition towards Exceptions

Reduction in time spent reviewing draft versions of reports allied to an increase in confidence in quality of report. The client became a BAU process with involvement from resources only to investigate anomalies.