Investment and Derivative Data Analysis Services
Another service that ITCI offers is data analysis on a company’s investments and derivative trading activity. This offsite service is a way for us to offer our very popular “data mining” services to more clients through-out the year. The program starts by your company sending us trade data to be analyzed over a selected time period. In addition, we will review your investment and/or derivative policy allowances, delegation of authorities and limitations. We perform data analysis on your trade data comparing against market data, your policy requirements — searching for unauthorized derivative strategies, non-compliance with limits in the policy, unauthorized counterparty, anomalies in trade data etc. Over 30 different tests are processed against the trade data (depending on your limitations). Examples of these programs include:
• Authorized traders against the delegations of authority
• Authorized trading of products against the policy limitations (i.e., not writing uncovered options)
• Authorized tenor limits (maturity and duration) against the policy limitations
• Authorized average quality and concentration against the policy limitations
• Trade execution price within average closing price of the market or within tolerable ranges of valuation of trade plus one.
• Concentration limits with any one broker not greater than XX%
• Inter-book transfers at market prices not at average of closing price.
You might be interested to know that more than half of our audit findings that we issue in our reports from our co-sourcing engagements are developed or discovered from the data analysis processes that we complete.
Once we analysis your data, we will prepare a complete report highlighting the results of the examination of the trade data. This report will note any areas of concerns, will highlight areas where substantive testing should be completed to validate data evidence and we can even judgmentally select sample for review if requested.
This process from start to finish usually takes us approximately three weeks once we get your data and it is very transparent to you and your staff, once we have our initial meetings.