In 2024, ARM introduced a new module in the CADCalc® Market software solution – the Regulatory IRRBB Report, which significantly simplifies and streamlines compliance with the Czech National Bank's regulatory requirements for managing interest rate risk in the banking book (IRRBB).
This module enables automated report processing according to the EBA template, adopted by the Czech National Bank, and intended for quarterly reporting. With just one click, the entire Excel template is filled out, including the results of stress testing of economic capital value (EVE), net interest income (NII), and repricing gap.
The module is fully compliant with current legislation, specifically the following regulations:
A key aspect of the new module is its flexibility – it adapts to the different requirements of various institutional categories (large, other, small, and non-complex). Depending on which category an institution falls into, ARM configures the report sections to be completed, ensuring accuracy and relevance in reporting.
The solution also includes a sophisticated setup for portfolio allocation based on asset and liability types. ARM customizes the calculation configuration for each user, with the system allowing flexible adjustments. Portfolios are automatically placed in the correct sections of the template – across sheets, rows, and columns – ensuring precise reporting in line with regulatory structures.
The module also addresses the complex issue of demand deposits (NMD), which constitute a significant portion of banks' balance sheets. It provides two modelling methodologies:
ARM offers expert consulting to help clients design an optimal NMD model, which is then integrated into the calculation module.
Efficiency was a key development goal. The module allows for parallel execution of all calculations – EVE, NII calculations, and repricing gap – without the need to run individual tasks separately. This results in significant time savings and minimizes errors due to manual processing.
The new Regulatory IRRBB Report module in CADCalc® Market provides financial institutions not only with a reliable tool for meeting regulatory obligations but also with high computational performance, adaptability, and methodological support for implementation.