Mirai offers a fully automated regulatory reporting workflow for the Pass-Through Rate (PTR), ensuring banks can comply with EBA ITS requirements effortlessly and with full accuracy.
Once PTR configurations such as beta values, repricing data, core/non core structures, are defined within Mirai’s behavioral engine, the platform automatically computes, aggregates, and populates the ITS J08 regulatory templates without user intervention. This seamless integration eliminates manual reporting processes, reduces operational risk, and guarantees consistency between modelling assumptions and regulatory outputs.
PTR is integrated into the Non-Maturing Deposits (NMDs) behavioral modeling area of Mirai’s parametrization framework. To enable PTR for a given contract, the following components must be configured within the non-maturing liabilities customer behavior:
Core/Non core model, including beta (β), unstable balance percentage, and maturity
Applicable repricing curve
Repricing tenor/term
Once the behavioral inputs are defined, Mirai channels the results directly into the STE J8 Template, which is part of the standard EBA IRRBB (Interest Rate Risk in the Banking Book) regulatory reporting package. This table is automatically generated within the regulatory reports workspace.
This ensures seamless integration from contract level modelling to scenario level regulatory outputs. Mirai ensures a single source of truth from modeling to regulatory disclosure.
The core innovation of this feature is its end to end automation pipeline, which removes any need for manual intervention, Excel adjustment, or secondary calculation. Because PTR is computed using exactly the same behavioral and repricing assumptions as the ALM engine, the regulatory outputs are fully aligned with internal ALM methodologies, an advantage that manual reporting simply cannot provide.
Mirai computes PTR using contract level behavioral variables defined during parameterization:
Core amount and stable amount
Repricing tenor
Market rate from the repricing curve over a 1 year horizon
These inputs allow Mirai to compute the customer's pass-through rate and the market rate without requiring modelers to perform additional steps. Values for both baseline and stressed scenarios are computed and stored.
Mirai then pushes the results directly into the ITS output structure where the required calculations, according to the regulator directives, are taken into account. All logic follows the formulas defined in the official ITS methodology, no user formulas, macros, or spreadsheets needed.
Modeler configures the NMD behavior with beta, core/non core split, and repricing tenor.
Mirai computes ptr_customer and ptr_market for each contract using the 6 month forward curve.
Mirai populates the ITS J08 table directly with:
Customer amounts
Rate amounts
Stable balances
Contract level and aggregated metrics
Mirai calculates the final PTR ratio for each hierarchy.
The final PTR appears instantly in the regulatory module, ready for download or submission.
Banks can rely on Mirai to deliver regulatory-ready outputs without human intervention or technical overhead.
Mirai’s automated PTR regulatory reporting feature eliminates complexity by linking behavioral modeling directly to regulatory outputs. Once PTR inputs are defined, the platform handles everything, from computing contract level elasticity values to populating the official ITS J08 tables and calculating final PTR metrics.
The result is a seamless, reliable, audit ready reporting pipeline that reduces operational risk, improves consistency, and ensures compliance with EBA IRRBB standards.
With Mirai, banks can trust that every PTR configuration automatically flows into the correct regulatory disclosures: accurately, transparently, and effortlessly.
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