Introduction
As a growing bank with operations across multiple markets faced increased regulatory requirements and a more complex balance sheet, a modernization of risk management and financial reporting was required. The challenge was to strengthen control over liquidity risk and interest rate risk in the bank’s internal reporting system (IRRBB), while integrating fragmented data sources and processes within tight deadlines.
To establish a future-proof infrastructure and meet the expectations of regulatory authorities, the bank implemented Asset Liability Management (ALM) and Treasury system MORS. was NFC hired to support the transformation and contributed with a combination of project management and deep specialist expertise in risk modeling, capital adequacy and regulatory reporting.
NFC's Contribution in Brief
Background
Previously, parts of the bank’s Treasury and ALM work relied on manual, spreadsheet-based models. This involved time-consuming data collection, manual processes, and increased operational risk as business volumes grew.
To support the bank’s continued expansion, a centralized and scalable platform with a high degree of automation and full traceability was needed. The choice fell on MORS thanks to the system’s ability to gather IRRBB analysis, liquidity risk, and cash flow calculations in a single flow. By combining Treasury (TMS) and ALM in a single platform, the prerequisites for more cohesive processes and reduced reliance on manual labor were also created.
Critical challenges in the project:
- Data harmonizationExtracting and cleansing data from multiple underlying core and product systems to establish a unified database structure.
- Standardization of risk modelsConsolidation and adaptation of calculation methods to a uniform and robust framework in MORS.
- Regulatory time pressureTo operationalize the solution and ensure that the next cycle of government reporting could be delivered on time and with high quality.
Execution
NFC He stepped into the project early to lead the implementation work and contribute with specialist expertise in relevant risk areas. The work was driven iteratively in close collaboration with the bank’s Treasury, risk and IT functions.
Within IRRBB, work began on reviewing and quality-assuring the bank’s calculation methods. These served as the reference point for the development of MORS, where those NFC responsible for reasonableness assessment, adaptation of behavioral assumptions, and quality assurance of the system’s output were involved. In parallel, full alignment with the latest EBA guidelines and reporting requirements was ensured.
Work on liquidity risk (including LCR and ALMM) focused on the interpretation of regulatory frameworks, cash flow mapping, and the development of underlying calculation logic in MORS. A key element was establishing automated categorization of deposit and refinancing sources to create a stable and transparent data base.
In addition to the actual implementation, NFC:s consultants acted as systems specialists and superusers, ensuring stable daily operations in the Treasury function throughout the transformation phase.
Outcome
The project resulted in a modern and fully integrated platform for the bank's risk management and reporting:
Are you facing similar challenges or planning to strengthen your work in Treasury and ALM? Read more about our regulatory reporting services or contact us for a dialogue about how we can support your business.
