271. Competent authorities should assess the institution’s approach to modelling the behaviour of …

Competent authorities should assess the institution’s approach to modelling the behaviour of non-maturity deposits (NMDs), including whether this takes account of relevant risk factors impacting NMD repricing behaviour. Competent authorities should use appropriate analytical tools for this assessment, taking into account the institution’s business model. Approaches that may be relevant include evaluation of how the institution segments NMDs using risk factors related to the customer, institution or market profile and benchmarking with peers that have a similar risk profile. In addition, competent authorities should consider how the institution balances historical data with forward looking approaches and expert judgment, and review the impact on NII and EVE if behavioural assumptions were adjusted.

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