Deposit modelling — moving average
About this app
Set the number of support points and the term of a sight-deposit model live — the 10-year cap and the financial-customer logic per BTR 2.3 visible.
The idea
Sight and savings deposits have no fixed maturity, yet often stay with the bank for a long time. For interest-rate risk in the banking book, banks therefore model them with an assumed rate fixing. In the moving-average approach the stock is spread over n buckets with maturity T; each tranche refinances at the capital-market rate for its maturity, and the model rate is the weighted mean. According to the app, the 9th MaRisk amendment specifies this modelling in BTR 2.3 para. 5.
What the app shows
You set the core-deposit share, the number of buckets and their maturity, plus the share of financial-customer deposits and whether they are operational in the LCR sense. The app shows the weighted duration, the model rate from the capital-market curve and a check: according to the app, buckets above 10 years are not permitted, and financial-customer deposits may be modelled only if operational (Art. 411 CRR), then with a weighted duration of at most 5 years.
Try it
Load the Musterstadt model and then the 12-year edge case: the check fails because the maturity exceeds the 10-year cap. Push the core-deposit share very high and the app flags an implausible stability assumption. Only the stable, rate-inelastic core may be modelled long-term, and assumptions must take interest-rate scenarios into account. The app is a learning model, not legal advice.
Frequently asked questions
- What are core deposits?
- Core deposits are the stable part of sight and savings deposits that experience shows stays with the bank even when rates change. Only this rate-inelastic part may be placed in long maturities in the model. The rest counts as withdrawable on demand.
- How does the moving-average model for deposits work?
- The deposit stock is notionally split into several tranches (buckets) invested at staggered times with a fixed maturity. Each tranche earns the capital-market rate for its maturity, and the model rate is the weighted average. The longer the maturity, the more slowly the model rate reacts to market rate changes.
- What limits apply to modelling non-maturing deposits under MaRisk?
- According to the app, buckets with maturities above 10 years are no longer permitted (BTR 2.3 para. 5). Deposits from financial customers may be modelled only if they are operational deposits under liquidity regulation, and then with a weighted duration of at most 5 years.
- What does the deposit modelling app check?
- It calculates the weighted duration and model rate from your settings and shows whether the model is compliant or which assumptions need review. Presets are the Musterstadt model and a 12-year edge case. The results are illustrative.
Subject: MaRisk 9 — SNCI
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