OpenChainGraph Suite · ART-186 · Prudential & Basel Risk

IRRBB Standardised Approach Mapper

Map non-maturing deposit (NMD) positions to the EBA standardised / simplified-standardised approach behavioural caps (BCBS d368 para 87 / Annex 2): retail transactional, retail non-transactional, and wholesale core-proportion and average-maturity caps. Flags behavioural-option add-ons. Root node of the irrbb-measurement-and-disclosure chain. Zero network.

IRRBB NMD Behavioural Caps BCBS d368 Zero PII W3C VC §13.11 v0.5.0

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Scope

Root node of irrbb-measurement-and-disclosure chain (art-186→187→188). BCBS d368 para 87 / Annex 2 behavioural caps: retail transactional core proportion ≤90% / average maturity ≤5y; retail non-transactional (savings) core ≤70% / ≤4.5y; wholesale core ≤50% / ≤4y. A core_deposit_pct above the applicable cap is truncated to the cap. Behavioural mortgage-prepayment options above 0% require separate add-on treatment.

Presets

NMD Position

deposit_category

core_deposit_pct

behavioural_mortgage_prepay_pct

Fixed-rate mortgage prepayment option exposure, % of book.

Standardised Approach Mapping