Banking on assumptions? : How banks model deposit maturities

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Coulier, Lara and Pancaro, Cosimo and Pancotto, Livia and Reghezza, Alessio (2025) Banking on assumptions? : How banks model deposit maturities. Preprint / Working Paper. European Central Bank, Frankfurt. (https://doi.org/10.2866/2889184)

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Abstract

How do banks manage the behavioural maturity of non-maturing deposits (NMDs)? Using a rich and confidential dataset, we investigate how banks model deposit maturities based on internal assumptions. Although NMDs are contractually floating-rate liabilities with zero maturity, banks reallocate them across different maturity buckets using models that reflect past customer 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 align with banks’ deposit structures. Results show that banks with more volatile, interest rate-sensitive, and digitalised deposit bases tend to assign shorter maturities, appropriately reflecting underlying risks. However, during the recent monetary policy tightening, banks with more sensitive NMDs did not shorten assumed maturities or update models. These findings underscore the critical importance of timely and accurate calibration of NMD assumptions to support effective asset-liability management and preserve financial stability.

ORCID iDs

Coulier, Lara, Pancaro, Cosimo, Pancotto, Livia ORCID logoORCID: https://orcid.org/0000-0001-9247-3662 and Reghezza, Alessio;
  • Item type:Monograph(Preprint / Working Paper)
    ID code:94782
    Dates:
    Date
    Event
    3 November 2025
    Published
    Notes:This is an accepted author manuscript of the following working paper: Coulier, L, Pancaro , C, Pancotto, L & Reghezza, A 2025 'Banking on assumptions? How banks model deposit maturities' ECB Working Paper Series, no. 3140, European Central Bank, Frankfurt. The final version is available free of charge on the ECB's website: https://doi.org/10.2866/2889184
    Subjects:Social Sciences > Finance
    Department:Strathclyde Business School > Accounting and Finance
    Depositing user: Pure Administrator
    Date deposited:21 Nov 2025 14:31
    Last modified:22 Jan 2026 01:11
    Related URLs:
    URI:https://strathprints.strath.ac.uk/id/eprint/94782
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