TOKYO—Japanese securities regulators looking into the alleged disappearance of billions of dollars in pension-fund money are examining whether the money may have been channeled into Cayman Islands investment trusts set up by a small Tokyo brokerage, according to a person familiar with the situation.

While such moves wouldn’t violate Japanese law, regulators are checking on overseas accounts to pin down the status of the funds, according to this person. The brokerage firm, ITM Securities Co., was listed in archived websites as a broker for AIJ Investment Advisors Co., which told regulators last month that it can’t account for most of the roughly ¥200 billion ($2.45 billion) in pension-fund money that it managed. It isn’t clear if there currently is a relationship between the two firms.

Japan’s Securities and Exchange Surveillance Commission is continuing to look at whether AIJ channeled the pension funds into private investment trusts in the Cayman Islands and whether it set up accounts with financial institutions in other locations, including Bermuda and Hong Kong, the person familiar with the situation said.

Japanese regulators are examining whether AIJ’s investment returns, which its investors have described as stable in difficult markets, were accurate and are trying to confirm that the money was invested. Officials at ITM Securities have told regulators that they had no knowledge of whether AIJ was reporting false information on its investment returns when they were selling AIJ’s services, according to the person.

An employee at ITM Securities reached Tuesday said he wasn’t authorised to comment on the probe since it is continuing. Calls to AIJ were routed to a voice-mail message. The two firms’ headquarters are both located in the same building in central Tokyo.

According to an archived version of ITM’s website as well as the person familiar with the company’s operations, the brokerage firm sold investment trusts in the tax-friendly Cayman Islands and did business in Hong Kong. Both areas are being examined by SESC inspectors to see if any AIJ pension money ended up there, according to the person.

ITM founder Hideaki Nishimura and other ITM sales employees are visiting clients across the country, apologizing for their role in promoting and selling AIJ services, a person familiar with the company’s situation said. Mr. Nishimura couldn’t be reached for comment.

According to the company’s homepage, Mr. Nishimura founded the company in 1998 along with several other former colleagues at Yamaichi Securities Co., one of Japan’s “Big Four” brokers that filed for bankruptcy in 1997. Mr. Nishimura served as the equities general manager at Yamaichi’s Sydney office and headed the Melbourne branch in the late 1980s.

ITM’s initial business was quite different from the services it offers today. In the early years, the brokerage provided advisory services to startup companies and helped them list their shares, according to the person familiar with the company’s situation.

According to an archived version of the company’s website, ITM began selling the private investment trusts in the Cayman Islands in 1998 and in Guernsey, another tax-friendly locale in the Channel Islands between France and the U.K., in 1999, well before its relationship with AIJ was established.