As of January 2025, the transaction cost calculations cover the period 2022-2023 and 2024. It is hence indeed possible that those that started collecting timestamps in 2024, are still missing this important datapoint for the initial part of the period. In such a case, one has to deal with several missing arrival timestamps, in which case one must follow the regulator-prescribed waterfall method: 

• First: Use a justifiable independent price. 

• If unavailable: Use the opening price of the same day. 

• If still unavailable: Use the closing price of the same day. 

• Ultimate fallback: Apply the half-spread for the asset class to which the instrument belongs. 

Trades are gathered from a variety of systems and repositories: portfolio management systems, order management systems, fund accounting systems, etc...We identified two major categories of issues: 

1. Incorrect Data: 

• Inclusion of cancelled trades or option exercises, which do not impact slippage calculations and should be excluded. 

• Timestamp errors, such as using local time instead of UTC. 

• Some participants have corporate actions (stock-splits, dividend payoments,...) nested amongst the bulk of the transactions, 

2. Incorrect Data: 

• Unclear currency denominations, such as confusion between pounds and pence. 

• Missing MIC codes, which are essential to identify the trading market for trades identified by the ISIN number of the underlying asset. 

According to regulations 2017/653 and 2021/2268, updates are required once per year. However we advice to update quarterly or bi-annually. Updating and calculating more frequently has clear advantages: 

• One has clearly a “finger on the pulse” and is able to  monitor closelychanges throughout the year. 

• Gain a deeper understanding of how the final transaction cost values are derived.  

This is a common question that many hesitate to ask. Here’s a simple breakdown in a two bullet point summary in tw: 

• EU Transaction Costs: Here the overall  value of the transaction cost is floored at the level of  the explicit transaction cost, which can never be negative. If implicit transaction costs or Anti-Dilution Levies (ADL) are negative, the disclosed transaction costs will still equal the explicit transaction cost. If explicit costs are unavailable (e.g., 0.00), the total transaction costs disclosed will be at least 0.00 or higher. 

• UK Transaction Costs: The total value can become negative, except when a negative ADL would be the cause of it. Negative implicit transaction costs, however, may still result in a negative overall disclosed transaction cost. 

There are two scenarios, each requiring a distinct approach. The difference resides mainly in the calculation of the turnover 

1. Funds less than 1 year old: 

• Estimated turnover is based on the investment policy described in the prospectus of the fund. 

• The estimated turnover and assets under management are combined with the expected composition of the fund in terms of possible asset classes  to calculate the transaction costs. 

2. Funds between 1 and 3 years old:  The 3-year period contains more than one year of real transactions. In this case, the period is split into two components: 

• A first period covers  full 6-month periods containing real trades (buckets). For example, if the fund is 29 months old (2 years, 5 months), one can identify 4 complete 6-month buckets (24 months of data). Here one should use the arrival price method to calculate transaction costs for these 4 complete buckets. 

• For the  remaining 12 months (5 months with trade data, 7 months with no trades at all, estimate the turnover in all asset classes based on the data from the complete buckets. Use this data to estimate the transaction costs for these 2 remaining buckets. 

As shown, calculating transaction costs using the slippage method involves several considerations. This blog focused on frequently asked questions, but it’s important to note the complexity of building a trade database, sourcing relevant tick history, and ensuring transparency before disclosure in the PRIIPs KID. 

We hope this overview helps clarify common challenges and questions. If you require further guidance or assistance with your PRIIPs KIDs and transaction cost calculations, feel free to reach out to us.