hot topics treasury seminar - pwc · pdf file18.06.2015 · to or less than...

PwCPwC
Hot topics treasury seminar
18 June 2015Discover and unlockyour potential

PwC
Program
2
Market value direct Introduction process mining in treasury
environments Process mining: fact based process
monitoring
Live demo process mining using
dimension data
18 June 2015Hot topics treasury seminar

PwC
Market Value direct
Technology and treasury control and accounting

PwC
Market Value Direct
- Tool developed by PwC New Zealand and UK
- Uses Super Derivatives for OTC derivatives, including data
- Uses multiple data vendors for listed securities
- Run and serviced by a team in UK, with back up in New Zealand
- Service centres in Poland and Philippines

PwC
How we audit OTC derivatives two approaches possible
1) Test models and data input
- Internal control environment should be solid, including change management
- Be careful with ISAE 3402
- Market data should be available
- Against what criteria are you testing the model?
2) Independent revaluation
- Lot of positions
- But may be efficient
- Need to understand (inquiry) the models used
- Need a threshold

PwC
ISA 540 use of tresholds
ISA 540.A93 When the auditor concludes that it is appropriate to use a range to evaluate the reasonableness of management's point estimate (the auditor's range), paragraph 13(d)(ii) requires that range to encompass all "reasonable outcomes" rather than all possible outcomes. The range cannot be one that comprises all possible outcomes if it is to be useful, as such a range would be too wide to be effective for purposes of the audit. The auditor's range is useful and effective when it is sufficiently narrow to enable the auditor to conclude whether the accounting estimate is misstated.
https://inform.pwc.com/inform2/show?action=informContent&id=0906110811160076#apb_isa_540_2010_pr13

PwC
What are reasonable outcomes?
Threshold should be:
- Instrument specific
- Type
- Number of underlyings
- Maturity
- Notional
- Data input specific
- Volatility
- Liquidity

PwC
Threshold and materiality
ISA 540.A94 Ordinarily, a range that has been narrowed to be equal to or less than performance materiality is adequate for the purposes of evaluating the reasonableness of management's point estimate. However, particularly in certain industries, it may not be possible to narrow the range to below such an amount. This does not necessarily preclude recognition of the accounting estimate. It may indicate, however, that the estimation uncertainty associated with the accounting estimate is such that it gives rise to a significant risk.

PwC
Thresholds should not be based on materiality
In theory, threshold could be higher than Performance Materiality
Materiality and SUM are not instrument specific

PwC
How to interpret differences
ISA 540.A116 Based on the audit evidence obtained, the auditor may conclude that the evidence points to an accounting estimate that differs from management's point estimate. Where the audit evidence supports a point estimate, the difference between the auditor's point estimate and management's point estimate constitutes a misstatement. Where the auditor has concluded that using the auditor's range provides sufficient appropriate audit evidence, a management point estimate that lies outside the auditor's range would not be supported by audit evidence. In such cases, the misstatement is no less than the difference between management's point estimate and the nearest point of the auditor's range.

PwC
Differences outside of the tolerable range
Difference outside of tolerable range (MVOTR):
- Below SUM -> accepted, as difference would not be adjusted
- Above SUM -> follow up required
- Total MVOTR (net) is untested balance and should be compared to Performance Materiality
- Differences should be assessed on portfolio level to ensure there is no bias in management estimates

PwC
Developments expected
- Improved CVA/DVA solution
- Coordination with US and Luxemburg valuation practices
- Hedge accounting tool on top of MVD
-

PwC
Introduction
Process mining in treasury environments

PwC
Treasury process common control pitfalls
Violation of segregation of duties
Insufficient authorisations
Exceeding trade limits
Insufficient quotes
Differences between trade and treasury system
Suspicious trades (holidays, volumes, etc)
Hot topics Treasury seminar
1418 June 2015

PwC
Process mining: fact based process monitoring
Process mining in treasury environments

PwC
Add closing statement here...
2014 PwC. All rights reserved. Not for further distribution without the permission of PwC.
"PwC" refers to the network of member firms of PricewaterhouseCoopers International Limited
(PwCIL), or, as the context requires, individual member firms of the PwC network.
Please see www.pwc.com/structure for further details.
Allowed?
Performance?
Secure?
Why?
http://www.pwc.com/structure

PwCPwC
Why processes are difficult to understand
17
Hot topics Treasury seminar 18 June 2015

PwC
Process mining tracing (ir)regularities from digital trails
Process discovery
Conformance checking
Performance analysis
Demonstration of a working model
18Hot topics Treasury seminar 18 June 2015

PwC 19
Control
Control !
! !
Control
Control
Happy flow Process including deviations happy flow

PwC
Live demo process mining using dimension data

PwC
Questions
21Hot topics Treasury seminar 18 June 2015

PwC
More information
Trainer:Name trainer Mark BrouwerPhone number: +31 88 792 5523E-mail: [email protected]
18 June 2015Hot topics Treasury seminar
22
Trainer:Name trainer Kees-Jan de VriesPhone number: +31 88 792 4922E-mail: [email protected]
Trainer:Name trainer Ron van der WoudePhone number: +31 88 792 3128E-mail: [email protected]
mailto:[email protected]:[email protected]:[email protected]

hot topics treasury seminar - pwc · pdf file18.06.2015 · to or less than...

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