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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