UnaVista

UNAVISTA CASE STUDY OCTOBER 2012

WHAT WAS THE ISSUE?

ABN is using an in house build system to support the back-testing process. A number of different departments were involved in this process and it was very labour intensive and vulnerable to inaccuracy, so the decision was made to look for an alternative that could help improve the process with a couple of objectives in mind:

qChung Au, IT Project Manager, ABN Amro said:

“Priority 1 for the bank was to replace the incumbent inefficient process with an automated workflow that will enable Market Risk Management and Product Control to perform their investigation in a timely manner.

“Priority 2, once the current process is replaced, was to look at gaining further improvements such as added reconciliation functions, and use of more accurate input data.”

HOW DID UNAVISTA HELP?

After an internal and external review process London Stock Exchange Group’s UnaVista was chosen as the ideal software solution to fulfil ABN’s objectives. UnaVista was configured to accept data via SFTP on a daily basis from multiple source systems across the business. Each file is validated, enriched and normalised in accordance with predefined business rules and then consolidated into a centralised daily report summarising risk positions at several levels of granularity.

UnaVista also supports mandatory regulatory reporting via the generation of a month-end back-testing report. ABN can now refine their risk model through the analysis of key performance indicators that show the proficiency of the back-testing processes.

ABN Amro looks for automated Market Risk back-testing tool to fulfil regulatory requirements

BACKGROUND

New European financial regulations, such as Basel II and MiFIR, have led a number of firms to look at their internal processes and ensure they are continuing to be compliant. ABN Amro were looking at one aspect of Basel II that requires all firms to ensure that credit risk, operational risk and market risk are quantified based on data and formal techniques.

Specifically they were required to do back-testing on their market risk position to ensure they had an accurate reading. This back-testing process is a daily process that compares the predictions of a maximum loss that should occur on a given day, against the actual P&L on that selected day.

OCTOBER 2012UNAVISTA CASE STUDY

Overview of Functionality:

• Automated import of operational and reference data sources into UnaVista

• Data validation, enrichment and normalisation on all ABN’s data sources

• Creation of daily back-testing reports using configurable business rules, enabling fast and efficient refinement of the process should ABN’s requirements change in the future

• Provision of meta data in relation to back-testing report composition and support of fully audited user annotation

• Creation of final (non-amendable) month end back-testing reports for submission to the appropriate regulator

• Back-testing report analysis based on user defined parameters and metrics

• Long term retention of all back-testing data enabling user access to (read-only) historical reports

• Automated exception handling, notifying key ABN stakeholders by email in the event of missing or late files and data anomalies

• Provision of KPI reports to enable ABN to monitor the efficiency of the back-testing process and refine the risk model where necessary

• Support of multiple user profiles enabling variable data access privileges and functionality depending on roles

Following a period of requirements analysis discussions with ABN, the UnaVista solution was implemented within an 8 week time-period, achieving an optimal delivery time whilst allowing ample time for User Acceptance Testing and live system release.

HOW HAS THIS HELPED ABN AMRO?

The UnaVista solution has resulted in greater transparency for all parties involved within the back-testing process, supporting dissemination of critical information whilst recording complete audit history. The inbuilt KPI feedback mechanisms and automated exception handling have also enabled the efficiency of back-testing to be monitored in real-time, facilitating refinement of the overall process over time resulting in improved risk reporting accuracy. The flexible and scalable nature of UnaVista also allows for easy and cost efficient growth of the solution in line with ever changing business requirements.

For more information on UnaVista reconciliations or any of the other services available on UnaVista, please visit

http://unavista.londonstockexchangegroup.com or phone +44 (0)20 7797 1214.

UNAVISTA FEATURES

• Upload data in any format allowing firm to let UnaVista worry about the formatting and freeing up time for your workforce

• Bespoke interactive reporting dashboards allowing firms to view both high-level and low-level detail.

• Full audit trails provide management with the tools they need to prove regulatory compliance

• Adaptable reconciliation services ensure UnaVista can be used in any part of the business

• Scalable service gives company the piece of mind for future years.