欧洲央行-基于假设的银行业务？银行如何模拟存款到期日（英）-2025.pdfVIP

WorkingPaperSeries

LaraCoulier,CosimoPancaro,LiviaPancotto,Bankingonassumptions?Howbanks

AlessioReghezza

modeldepositmaturities

No3140

Disclaimer:ThispapershouldnotbereportedasrepresentingtheviewsoftheEuropeanCentralBank

(ECB).TheviewsexpressedarethoseoftheauthorsanddonotnecessarilyreflectthoseoftheECB.

Abstract

Howdobanksmanagethebehaviouralmaturityofnon-maturingdeposits(NMDs)?Using

arichandconfidentialdataset,weinvestigatehowbanksmodeldepositmaturitiesbased

oninternalassumptions.AlthoughNMDsarecontractuallyfloating-rateliabilitieswith

zeromaturity,banksreallocatethemacrossdifferentmaturitybucketsusingmodelsthat

reflectpastcustomerbehaviour.Notably,only20%ofNMDsaretreatedashavingzero

maturity,whileabout10%areassignedmaturitiesbeyondsevenyears.Weassesswhether

thesemodellingassumptionsalignwithbanks’depositstructures.Resultsshowthatbanks

withmorevolatile,interestrate-sensitive,anddigitaliseddepositbasestendtoassignshorter

maturities,appropriatelyreflectingunderlyingrisks.However,duringtherecentmonetary

policytightening,bankswithmoresensitiveNMDsdidnotshortenassumedmaturities

orupdatemodels.Thesefindingsunderscorethecriticalimportanceoftimelyandaccurate

calibrationofNMDassumptionstosupporteffectiveasset-liabilitymanagementandpreserve

financialstability.

Keywords:Banks;Non-maturingDeposits;BehaviouralAssumptions;FinancialStability

JELCodes:E51;E52;G21