OpenChainGraph Chain · Prudential & Basel Risk

IRRBB Measurement and Disclosure

Three-node chain covering IRRBB standardised-approach measurement and Pillar 3 disclosure readiness. Maps non-maturing deposit positions to the EBA standardised-approach behavioural caps, identifies Credit Spread Risk in the Banking Book (CSRBB) scope and governance gaps, and scores overall Pillar 3 IRRBB1 disclosure readiness A–F. Each stage produces a tamper-evident SHA-256 execution hash.

IRRBB NMD / CSRBB / Pillar 3 BCBS d368 3 nodes W3C VC §13.11 v0.5.0

Chain summary

The standardised / simplified-standardised IRRBB approach requires banks to map behavioural non-maturing deposits to the EBA caps (BCBS d368 para 87), identify CSRBB scope on fair-value instruments (EBA/GL/2022/14), and populate the Pillar 3 IRRBB1 disclosure template (Basel Framework DIS70). This chain validates the measurement mapping, checks the CSRBB governance gap, and produces an A–F readiness grade. Nodes: ART-186 → ART-187 → ART-188.

★ terminal node · gold border = export

Stage 1 — Standardised Approach Mapping

map_irrbb_standardised_approach · ART-186

Map non-maturing deposit positions to the EBA standardised-approach behavioural caps (BCBS d368 para 87 / Annex 2): retail transactional 90%/5y, retail non-transactional 70%/4.5y, wholesale 50%/4y. Flags behavioural-option add-ons.

→ Open tool

MCP tool: map_irrbb_standardised_approach

{
  "tool": "map_irrbb_standardised_approach",
  "arguments": {
    "positions": {
      "deposit_category": "retail_transactional",
      "core_deposit_pct": 95,
      "behavioural_mortgage_prepay_pct": 15
    }
  }
}

Stage 2 — CSRBB Scope Check

check_irrbb_csrbb_scope · ART-187

Identify Credit Spread Risk in the Banking Book (CSRBB) scope from fair-value instrument holdings and check governance gaps (methodology defined, ICAAP inclusion) per EBA Guidelines on IRRBB and CSRBB.

→ Open tool

MCP tool: check_irrbb_csrbb_scope

{
  "tool": "check_irrbb_csrbb_scope",
  "arguments": {
    "instruments": { "fvoci_afs_bonds": 500, "fair_value_loans": 0, "liquidity_buffer_bonds": 200 },
    "governance": { "csrbb_methodology_defined": true, "csrbb_included_in_icaap": true }
  }
}

Stage 3 — Disclosure Readiness Diagnostic (terminal)

run_irrbb_disclosure_fit · ART-188

A–F readiness grade across five dimensions: EVE shock calc, SOT evaluated, standardised approach mapped, CSRBB scope assessed, Pillar 3 IRRBB1 ready. Returns readiness_grade, readiness_score (0–100), fully_ready, and gaps[]. Final stage — exportable as Policy Mandate JSON or W3C VC.

→ Open tool

MCP tool: run_irrbb_disclosure_fit

{
  "tool": "run_irrbb_disclosure_fit",
  "arguments": {
    "entity": {
      "eve_shock_calculated": true,
      "sot_eve_nii_evaluated": true,
      "standardised_approach_mapped": true,
      "csrbb_scope_assessed": true,
      "pillar3_irrbb1_ready": false
    }
  }
}

Full Chain MCP Sequence

Run all three tools in order. Each result's execution_hash feeds as parent_hash to the next call, forming the tamper-evident audit chain.

Full chain — 3 MCP calls

// Step 1: map NMD positions to the standardised-approach caps
const step1 = await mcp.call("map_irrbb_standardised_approach", {
  positions: { deposit_category: "retail_transactional", core_deposit_pct: 95, behavioural_mortgage_prepay_pct: 15 }
});

// Step 2: check CSRBB scope and governance gaps (chain from step 1)
const step2 = await mcp.call("check_irrbb_csrbb_scope", {
  instruments: { fvoci_afs_bonds: 500, fair_value_loans: 0, liquidity_buffer_bonds: 200 },
  governance: { csrbb_methodology_defined: true, csrbb_included_in_icaap: true }
});

// Step 3: run disclosure readiness diagnostic — final stage
const step3 = await mcp.call("run_irrbb_disclosure_fit", {
  entity: {
    eve_shock_calculated: true,
    sot_eve_nii_evaluated: true,
    standardised_approach_mapped: !step1.core_capped || true,
    csrbb_scope_assessed: step2.csrbb_conformant,
    pillar3_irrbb1_ready: false
  }
});

// Terminal artifact
console.log("Readiness grade:", step3.readiness_grade);
console.log("Gaps:", step3.gaps);
console.log("NMD core capped:", step1.core_capped);
console.log("CSRBB conformant:", step2.csrbb_conformant);

Chain Metadata

Chain slug	irrbb-measurement-and-disclosure
Nodes	art-186 → art-187 → art-188
Cluster	Prudential & Basel Risk
Regulation	BCBS d368 para 87 · EBA/GL/2022/14 · Pillar 3 IRRBB1 (DIS70)
Spec version	0.5.0
§18 compute proof	Deferred — no GPU/WSL toolchain in this build session (§17 kernel-source identity stamped)
Terminal export	Policy Mandate JSON · W3C VC (§13.11)
Hash scheme	SHA-256 over JCS-canonical {policy_parameters, output_payload}