Asset Liability Management
MORS is an award winning ALM solution that covers Financial Risk Management for interest rate, liquidity and credit risk. We offer fully fledged profitability and performance forecasting.
MORS Asset Liability Management Solution is an award winning ALM software solution that covers Financial Risk Management for Interest rate, liquidity and credit risk. It also offers fully fledged profitability and performance forecasting. While MORS is available as one integrated ALM system, it is also available as point solutions. Some of the key MORS ALM differentiators include:
- Balance sheet imported into MORS on single deal level, providing excellent data lineage and superb analysis from a top of the house view to single deal and single cashflow analysis
- Largely automated data management which will heavily reduce operational costs normally associated with ALM systems
- Real-time time system always providing up to date reporting and the ability to generate new scenarios on the fly, even for heavy calculations such as Net Interest Income forecasts
- Superb Visualization tools especially for use at for example board level and ALCO meetings, providing excellent key decision support
- Especially for small and medium sized entities, using MORS Treasury Management System (TMS) as an add on to MORS ALM makes perfect sense, providing one holistic and integrated system, without the operational hassle and cost of operating two separate systems
Asset Liability Management
MORS ALM offers comprehensive Financial Risk Management across all risk surfaces. Financial risks are covered both from prudential and from internal risk management points of view.
MORS covers an extensive set of market risks. These include Interest Rate Risk in the Banking Book (IRRBB) from an Economic Value of Equity (EVE) and from an Earnings at Risk (EaR) points of view. Related to IRRBB, MORS covers Gap, Basis and Option Risk. It should be noted that MORS can be used seamlessly for Interest Rate Risk management both for day to day or operational IR Risk management and for scenario type risk management. Offering a transparent rules engine, the user can easily modify, copy & paste or create new scenarios from scratch.
An off the shelf and very fast historic Value at Risk (VaR) analysis is provided as part of the Market Risk repertoire.
FX risk analysis is available both as specific and tailored FX analysis, as well as across all reports which can be broken down by currency or consolidated into base currency.
MORS Liquidity Risk covers both Liquidity and Intraday Liquidity Risk Management.
With MORS, it is easy to measure key Liquidity Risk Indicators such as the LCR, NSFR and Survival Horizon in real-time or near-time. MORS also provides liquidity ladder style reporting, meaning calculations such as the Additional Liquidity Monitoring Metrics (ALMM) are supported.
The MORS rule engine allows a broad range of scenarios to be set up, both regulatory scenarios and scenarios for internal use. In the scenario definition, the user can for example define inflow and outflow assumptions, as well as assumptions for the liquid asset buffer.
Forecasts for ratios are fully supported as well as historical analysis of key ratios and their components.
MORS supports Intraday Liquidity Risk Management both for regulatory purposes, for operative intra-daily cash management, as well as for forecasting liquidity in the next business days. Nostro account balances and payments can be imported from Swift messages (MT and Camt formats). MORS also supports IBM MQ messages. Finally, Open Banking style APIs are also an option for importing account balances and payments. A comprehensive set of reports for intraday analysis is included. These cover both the historical angle, as well as forward looking analysis.
MORS offers Credit Risk features primarily for Expected Credit Loss (ECL) calculations and for Counterparty Credit Risk (CCR) management.
ECL in MORS is heavily focused around income forecasting, i.e., forward looking earnings projections with ECL as one of the key components in the projections. For the ECL calculations and forecasts, MORS offers flexible ways of importing or entering key variables, such as Probabilities of Default (PD) and Loss Given Defaults (LGD)
MORS Counterparty Credit Risk functionality allows banks to set up almost any type of Counterparty, including single counterparty, groups / segments, countries, sectors, etc. The Limit classes are also fully configurable and can for example be set up as, settlement, short term, long term and Equity / Capital Limits. All of the exposures versus limits can be monitored in real-time, allowing for full drill down of a consolidated exposure, to a single deal and counterparty exposure.
Balance Sheet Management
MORS is an award-winning balance sheet management solution, based on our unique transaction-based integration, providing a consistent view across all risk surfaces.
The powerful scenario engine, combined with in-memory analytics and virtual modelling, enable our clients to manage their financial resources in real-time.
With complexity and multi-dimensional interaction between risk drivers and financial constraints, good scenario analysis capability and the possibility to visualise online different outcomes and how they impact profitability is paramount – MORS supports our clients in optimising their financial resources.
MORS award-winning balance sheet management solution allows banks to cross the bridge from balance sheet to income statement alike. Profitability drivers can be analysed, the impact on financial constraints measured, as banks are able to understand the impact and correlation between net commissions / provisions and net interest income.
Real-time visualisation further enhances the offering, as decision-makers can understand the potential implications of their decisions online.
The sensitivity to all material risk drivers, is incorporated, with the ability to simulate online how different KPI’s, financial resources and profitability would evolve under different stressed scenarios.
Real-time earnings forecasting and scenario analysis, combined with loan loss provisioning support and the ability to incorporate net commissions, as part of the integrated income statement forecast in MORS, are some of the key features that support banks as part of their capital planning process.
Online stress-testing capabilities, combined with ability to utilise the powerful visualisation layer further enhances the offering.
MORS Solution - An Atomic Structure
MORS is based on an atomic architecture centred around a common core of contract level data and common services. All functionality in this atomic structure is interconnected, providing a holistic system for optimising the performance and profitability of the bank at group and at entity level.
MORS supports complex group structures and the establishment and management of organisational models and respective Balance Sheet structures, creating a centralised and unified view of ALM and Risk management as well at individual entity level.
At a high level, MORS is made up of 3 distinct functional domains based on a common core, as depicted in the picture.
Depending on your priorities, MORS solution and its modules are packaged to meet the following needs
MORS Core is the central hub of MORS. It’s home to the data management layer, where contract level data is stored and managed for all products and instruments. It is also the home of Market Data which can be interfaced directly and automatically for all the market leading provider’s data subscriptions or internally from the bank.
MORS Core is also the place from which all central services and functionality is managed and then used by all modules of MORS. It takes care of many general administrative services such as user roles and permissions, audit trail, interfacing rules in and out of MORS. It also takes care of all scheduling matters for running processes, calculations, and reports either in real-time or on a periodic basis.
MORS Core provides configurable and flexible functionality for Stress Testing and Scenario Analysis applicable across all risk surfaces, Funds Transfer Pricing, and Limit Management. Virtual Modelling is provided for Deposit and Loan analytics, is highly configurable and can easily incorporate external models via a programmatic interface. MORS Core also provides a powerful built-in Cash Flow Engine for generating contracted and forecasted cash-flows. MORS Core is also where MORS manages Covered Bond Pools.
As an integral part of all aspects of MORS, both from a data perspective and functionally, MORS Core is the Engine Room of MORS. As such, MORS Core is the facilitator that ensures that MORS is truly atomic, and that all aspects of the solution work in a cohesive and holistic manner.
MORS Deployment options