Case Study – ALM for Interest Rate Risk in the Banking Book (IRRBB)

Southern European Bank goes live with MORS ALM for Interest Rate Risk in the Banking Book (IRRBB)

Systematically Important bank in southern Europe has selected and implemented MORS ALM for IRRBB in a project that has concluded both on time and on budget.

In April 2022, a Systematically Important bank in southern Europe, selected MORS Asset Liability Management (MORS ALM) to improve their Interest Rate Risk in the Banking Book (IRRBB) calculation and scenario analysis capabilities.

Lasting nearly 6 months, the bank conducted a rigorous selection process including a 3 stage Proof of Concept (PoC). Finally, in the beginning of 2022, the bank selected MORS and the project began.

The bank selected MORS ALM for IRRBB and MORS Analytics for Prepayment and Non-maturing Deposits (NMD) modelling. The chosen deployment mode was SaaS on Microsoft Azure. MORS also provides a fully Technical Managed Service to the bank, an innovative Service as a Service allowing the bank to maximise the value it gets from the solution without having to manage the technical aspects. MORS Analytics has also been delivered complete with a managed service including back testing and periodic model calibration.

MORS ALM is a complete and integrated solution encompassing multiple risk surfaces all based on a single transaction level view of the data.  MORS ALM includes Balance Sheet Management, Market Risk, Liquidity Risk, Credit Risk and Capital Adequacy, Stress Testing, Scenario Analysis, Financial and Capital Planning, and Analytics. MORS ALM fully integrates with MORS Treasury Management, a complete front, middle, and back-office solution.

“The implementation project started in April and completed in September, on time and within budget. I think one of the keys to the successful delivery of the project was the decision by the bank to choose a SaaS deployment which meant that many key tasks could be completed quickly.” says Jari Ojanen, COO at MORS Software.  

“From the outset, even during the selection process, there was a strong sense of cooperation. This made the project run smoothly, and remarkably the entire project (and selection process) was conducted remotely. This is testament to the MORS culture of very open communication.” concludes Ojanen.

“We are delighted to welcome another Systematically Important bank to the MORS family. It has been a smooth and pleasurable journey from start to finish. We are very happy that the bank put their trust in us to deliver such an important project. We worked very well and very hard together to realise the project’s objectives in an incredibly short timeframe.  We are looking forward to a long and productive relationship.” says Niklas Fellman, Chief Commercial Officer of MORS.

Recent articles: