Electronic Trading Risk Control Analysis and Oversight Governance Council Framework

Under the obligation set out by the OCC and CFTC, the client required assistance for full self-disclosure in the form of documented due-diligence of their Automated Trading Programs (ATP) across their Securities and FX business.

In order to establish the self-disclosure process, the client sought to develop a governance framework to create an organisation that could provide the leadership necessary to deliver a cohesive approach to self-disclosure across the businesses through a formation of an Electronic Trading Oversight Council.

The Oversight Council was charged with the responsibility to uphold the Electronic Trading Oversight Charter, which provides the mandate and authority to establish the standards for Electronic Trading protocols and controls.

The client partnered with GreySpark industry subject matter experts to remediate gaps in their Electronic Trading self-disclosure documentation.

GreySpark deployed a team of experienced subject matter experts in risk management and electronic trading. For each algorithm, the following was conducted:

• Extensive engagement with sponsors to drive the project and manage the stakeholders.
• GreySpark completed a series of in-depth studies with relevant business and technology stakeholders.
• A detailed documentation schedule was developed as the backbone of organisational, technological and regulatory analyses.
• Consultants leveraged their experience and market knowledge to perform functional roles as defined by the programme.

GreySpark targeted the Securities and FX businesses across all functional lines.

By leveraging GreySpark’s highly experienced consultants and knowledge across technology due diligence, benchmarking and market trends and competitor analysis, the project output included:

• An Electronic Trading Oversight Council Charter;
• An Electronic Trading Oversight Handbook;
• An Electronic Trading Test Control Handbook;
• A Kill Switch Playbook;
• An Algorithmic Trading Program Executive Summary;
• Electronic Trading Risk Registers;
• Algorithmic Trading Program Playbooks; and
• Implementation Project Plans.

• GreySpark was able to develop a recurrent process by identifying common themes and standards across the various algorithm types and host platforms and frameworks that support them. This vastly improved the quality and timeliness of each deliverable.
• As a result of the work, the client was able to satisfy the OCC / CFTC auditors with self-disclosure documentation meeting the auditors’ timescales and quality standards.
• The bank was able to implement and form the Oversight Council with a clear mandate to operate and gained confidence that the Oversight Governance Framework would scale the Electronic Trading systems with increasing sophistication.