MORS December 2020 release

We are pleased to announce the release of MORS version 6.2. The new release includes several new and improved features. These include: improved Intraday Liquidity monitoring and management capabilities, new analytics for Expected Credit Loss (ECL) calculations, a number of improvements in general ease of use and two added audit logs to help system auditability.

Intraday Liquidity monitoring and management capabilities have been greatly improved. The improvements include a new set of reports for Nostro account monitoring. The reports will support banks in complying with Basel’s intraday Liquidity Management requirements (BCBS 248). The reports will also support banks in complying with local regulatory Intraday requirements such as with the UK’s Prudential Regulation Authority’s (PRA) and the European Banking Authority’s (EBA) intraday requirements. The new functionality now also enables banks and MORS users, to fully incorporate Intra-day exposure as part of their wider liquidity risk management and stress testing framework.

The new release includes compatibility  with IBM MQ middleware. The IBM MQ messaging compatibility can be used for multiple purposes. However, as Intraday Liquidity management requires real-time capabilities, IBM MQ compatibility is suitable and useful for Intraday purposes.

A third Intraday improvement is Open Banking integration. A new interface to Nordea Bank’s Open Banking API enables Nostro account monitoring. The Open Banking integration has been developed to provide an alternative to importing Swift (MT or CAMT format) messages.

New analytics for Expected Credit Loss (ECL) calculations as part of IFRS9 support have been added to MORS. Probability of Default (PD) and Loss Given Default (LGD) values can be imported into MORS on single agreement level or generated in MORS using new PD and LGD editors. The editors enable easy generation of default PD and LGD values based on e.g., portfolio or instrument. Calculated ECL values are now included in the off the shelf scenario reports. This allows the user to easily generate complete and highly transparent income statement forecasts including credit risk. The incorporation of ECL in the scenario reports, will enable all-encompassing integrated financial planning and stress testing, as banks can simulate and stress how ECL changes will impact their capital position and support them with their capital planning.

Improving Ease of Use in MORS is always high on the agenda for any new MORS release. For this version we wanted to highlight three features that we believe will make it easier to use MORS. The first is the setup of instruments. Clients using Bloomberg’s Data License market data service can now enter an ISIN code into MORS and the instrument is automatically created in MORS. This is available through Bloomberg’s Web Service Data License. This improvement makes it faster and easier to setup new instruments without manually having to set up the instrument. The second ease of use improvement is allowing the user to store default report execution parameters. This saves time for users that frequently run reports with the same or similar execution parameters. The third ease of use improvement concerns setting up Position Matching criteria. Setting up criteria is now more intuitive after the editor having been re-arranged and labels having been added to highlight relevant criteria.

Given the increased requirements on system auditability, we also want to highlight two added audit logs. The Deal version log allows for transparent audit of treasury deals and their steps through the defined workflow states. The User activity log allows for detailed and complete audit of any user actions in the system. Both of the logs are also available as datasets that can be subscribed for, meaning that the data can be easily exported from MORS for integration with third party audit databases or systems.