Case Study
LIBOR transition: Automating LIBOR transition reporting with Alteryx
Digital & Automation | Banks | London
The Background
- Global regulatory submissions required from organisations to demonstrate and track the run-off of GBP based LIBOR based contracts and exposure
- Quarterly reporting breaking down the exposure type, product and durations
- Required to cover each entity and all trading / banking within the entities
- Business critical reporting required SMF sign-off
The Challenge
- The organisation did not have a single repository to reference for all current exposure and trades
- Sourcing data from multiple sources required joining, patching and filtering of the files using bespoke logic for each file
- Reporting driven in Excel requiring macros to perform complex bucketing calculations
- Physical execution times and capabilities challenging with Excel limitations and system failures
The Approach
- Two Alteryx Designer certified consultants spent 8 weeks understanding the current manual process and building the logic into Alteryx
- The process was split down into logical gates to allow reconciliations and check-points through the execution of the process including detailed audit trails of decisions and overrides
- Direct population of the regulator templates to avoid any re-keying possibility
- Control and reconciliation Alteryx maps created to evidence the integrity of the front to back flow, comparison between submissions and trend reporting
- Parallel run for first quarterly report to evidence the accuracy and integrity of the reporting
The Impact
- Overall execution time reduced from 4 weeks to 5 minutes with fully automated data quality and exception reporting
- Business now able to run the process on a much higher frequency allowing the business to track progress from the same outputs rather than running an ad-hoc process to the side
- Historic issues due to manual errors in previous runs identified during the testing phase
- Build out created a single source of all trading which is now being leveraged for other risk free rate reporting
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