The European Central Bank has published a working paper analysing how banks model the behavioural maturity of non-maturing deposits (NMDs) using confidential supervisory data for 67 euro area significant institutions from 2019Q2 to 2023Q3. The paper finds that banks typically treat NMDs as materially longer-dated than their contractual terms imply and, while maturity assumptions generally track underlying deposit risk, they did not adjust more conservative assumptions during the recent monetary policy tightening. Only 20% of NMDs are treated as having zero maturity, while around 10% are assigned maturities beyond seven years and 1.5% beyond 15 years. The average assumed NMD maturity increased from 2.00 to 2.15 years after the tightening began, which the paper links mainly to a decline in volumes allocated to short-term maturity buckets rather than more frequent model recalibration, with only around half of banks reporting any changes in modelling assumptions over the period. Cross-sectional results indicate banks with more volatile, uninsured, interest rate-sensitive and more digitalised deposit bases tend to assume shorter NMD maturities, but banks with more sensitive NMDs did not shorten assumed maturities or update models following the onset of tightening.
European Central Bank 2025-11-03
European Central Bank working paper finds banks assign long behavioural maturities to most non-maturing deposits and did not recalibrate during 2022 tightening
The European Central Bank's working paper reveals that euro area banks often model non-maturing deposits (NMDs) with longer maturities than contractual terms, with only 20% treated as zero maturity. Despite recent monetary policy tightening, banks did not adjust conservative maturity assumptions, with the average assumed NMD maturity increasing slightly from 2.00 to 2.15 years. The study also notes that banks with more volatile and interest rate-sensitive deposits assume shorter maturities but did not update models post-tightening.