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）

Working Paper Series Banking on assumptions? How banks model deposit maturities Lara Coulier, Cosimo Pancaro, Livia Pancotto, Alessio Reghezza Disclaimer: This paper should not be reported as representing the views of the European Central Bank (ECB). The views expressed are those of the authors and do not necessarily reflect those of the ECB. No 3140 AbstractHow do banks manage the behavioural maturity of non-maturing deposits (NMDs)? Usinga rich and confidential dataset, we investigate how banks model deposit maturities basedon internal assumptions.Although NMDs are contractually floating-rate liabilities withzero maturity, banks reallocate them across different maturity buckets using models thatreflect past customer behaviour. Notably, only 20% of NMDs are treated as having zeromaturity, while about 10% are assigned maturities beyond seven years. We assess whetherthese modelling assumptions align with banks’ deposit structures. Results show that bankswith more volatile, interest rate-sensitive, and digitalised deposit bases tend to assign shortermaturities, appropriately reflecting underlying risks. However, during the recent monetarypolicy tightening, banks with more sensitive NMDs did not shorten assumed maturitiesor update models. These findings underscore the critical importance of timely and accuratecalibration of NMD assumptions to support effective asset-liability management and preservefinancial stability.Keywords: Banks; Non-maturing Deposits; Behavioural Assumptions; Financial StabilityJEL Codes: E51; E52; G21ECB Working Paper Series No 31401Non-technical summarySince the 2007 global financial crisis, non-maturing deposits (NMDs) have become an increas-ingly important funding source for banks. Contractually, NMDs are floating-rate liabilities withno maturity, allowing depositors to withdraw funds at any time without notice or penalty. Inpractice, however, these deposits tend to be sticky and are often held for extended periods.Accordingly, banks rely on internal models based on historical customer behaviours to estimatethe stability of these deposits and determine their effective maturity. As a result, banks’ in-ternal estimates of the maturity of NMDs can present critical implications for banks’ maturitymismatch and asset-liability management strategies, especially in a context of rapid shifts ininterest rates.Therefore, it is crucial to understand whether banks’ estimates of behavioural maturities ofNMDs accurately reflect their balance sheet structures. For instance, if banks with a larger shareof unstable deposits report longer maturities for NMDs, implying greater deposit stability, it mayeither signal a potential underestimation of deposit outflow risks or, in more concerning cases, adeliberate “window-dressing” startegy. In the latter scenario, banks may attempt to mask asset-liability challenges by banking on NMD assumptions, raising significant concerns for financialstability. This issue becomes particularly relevant in times