Quality of Execution reports

Under MiFID II, RTS 27 seeks to provide both the public and investment firms with relevant data on execution quality to help them determine the best way to execute client orders. This data is specified fully in RTS27 and the Annex (see the relevant regulatory texts located on http://ec.europa.eu/finance/securities/docs/isd/mifid/its-rts-overview-table_en.pdf)

As mandated under the regulation, the data is represented in different reports as detailed in the following table:

Report Name Frequency Content Summary RTS27  RTS27 Annex
QOE_YYYYQn_ddMM_MarketInformation.csv
One file per day per quarter
Publication of information on execution venue and financial instrument
Article 3 (1)
Table 1
QOE_YYYYQn_ TypeOfInstrument.csv
One file per quarter
Identification of Financial Instruments
Article 3 (2)
Table 2
QOE_ YYYYQn_ddMM _PriceInformationIntraday.csv
One file per day per quarter
Intra-day Price Data
Article 4 (a)
Table 3
QOE_YYYYQn_ddMM_DailyPriceInformation.csv
One file per day per quarter
Daily Price Data
Article 4 (b)
Table 4
QOE_YYYYQn_ CostInformation.csv
One file per quarter
Costs Article 5 Table 5
QOE_YYYYQn_ddMM_LikelihoodOfExecution.csv
One file per day per quarter
Likelihood of Execution
Article 6 Table 6
QOE_YYYYQn_ddMM_LikelihoodOfExecutionAdditionalInfo.csv
One file per day per quarter
Additional price and volume data for LMEselect
Article 7 (1)
Table 7
QOE_YYYYQn_ddMM_AdditionalInfoExecutionVenues.csv
One file per day per quarter
Additional information for LMEselect
Article 7 (2)
Table 8
QOE_YYYYQn_ddMM_FXConversionRates.csv One file per day per quarter
Exchange Rates
N/A

For quarterly reports the report name defines the year and quarter of the file contents e.q. QOE_2018Q1_ TypeOfInstrument.csv

For daily reports the report name defines the tear and quarter and the month and day of the file contents e.g. QOE_2018Q1_2803_DailyPriceInformation.csv

All reports will be produced quarterly and no later than three months after the end of each quarter, as follows:
(a) by 30 June, information regarding the time period 1 January to 31 March;
(b) by 30 September, information regarding the time period 1 April to 30 June;
(c) by 31 December, information regarding the time period 1 July to 30 September;
(d) by 31 March, information regarding the time period 1 October to 31 December.

For further information regarding the contents of each report please refer to the QofE User Guide.

 

 

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For further information about MiFID II implementation, please email our MiFID II team.

For all other regulatory change related questions, please email the Head of Regulation, Risk and Compliance.