Deutsche Bank
Deutsche Bank’s Autobahn TCA is designed to deliver the intelligence to analyse and manage the trading performance and implicit costs. Post-trade reporting offers in-depth customised analysis of trading performance broken down by various characteristics like security, sector, strategy, market cap, trader etc.
Asset classes and markets
Autobahn TCA products are available globally for equity trading, and support for FX and credit coverage is in development. Autobahn TCA accepts clients’ order flow combined with historical trades and quotes. The order flow information can be uploaded from the Autobahn transaction database or from custom format files.
Benchmarks
Autobahn TCA measures trading performance relative to a variety of pre-defined benchmarks such as: previous day close, market open, arrival and close price, full day VWAP, interval VWAP and marketable VWAP market snap prices 5/10/15/30/60 minutes after order completion. Custom benchmarks are also available.
Reporting options
Autobahn daily TCA reports are distributed by email at the end of day in PDF or Excel format. Custom formats can be supported. Aggregated weekly/monthly/quarterly and reports can be delivered on request. All reports are encrypted and password protected. The TCA report includes trading totals over the period with breakdowns for buys/sells, strategy, sector, market capitalisation, average daily volume and participation rate. Additionally, an execution venue and country breakdown is provided.
Consultancy services
The Autobahn Execution Consulting Services (ECS) team provides a range of consultative options from custom post-trade reporting to in-depth performance reviews and strategy customisation. An ECS report is typically provided monthly or quarterly and includes a qualitative write up incorporating trading recommendations and is presented in person whenever possible.
Pre-trade analysis
Autobahn pre-trade market impact and block pricing models use factors such as market volatility, participation rate, liquidity and trading strategy to estimate execution costs.
Future plans
Deutsche Bank plans to make post-trade analytics available via the Autobahn Web Portal and give clients access to pre- and post-trade analytics tools in real time.