by Lara Coulier, Cosimo Pancaro, Livia Pancotto & Alessio Reghezza
How do banks manage the behavioural maturity of non-maturing deposits (NMDs)? Although NMDs are contractually floating-rate liabilities with zero maturity, banks allocate them across different maturity buckets using models that reflect past depositor behaviour. Notably, only 20% of NMDs are treated as having zero maturity, while about 10% are assigned maturities beyond seven years. We assess whether these modelling assumptions are consistent with banks’ deposit structures. Results show that banks with more volatile, interest rate-sensitive, and digitalised deposit bases tend to assign shorter maturities, in line with the underlying risks. Yet during the recent monetary policy tightening, banks with more sensitive NMDs did not shorten assumed maturities or update their models to reflect changing market conditions. These findings underscore the critical importance of timely and accurate calibration of NMD assumptions for effective asset-liability management and financial stability.
This policy brief is based on ECB Working Paper Series, No 3140. The views expressed are those of the authors and not necessarily those of the institutions the authors are affiliated with.
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