NMD behavioural model — the pipeline

Savings / current accounts have no maturity. This is the method I use to give them one, step by step, on illustrative data.

The 8 steps: daily balances → %-drops per bucket → 95th-percentile worst drop → de-cumulate → Non-Stable % → regression on the economy (to forecast & stress) → pass-through rate → Core / Non-Core, capped → bucket the core.

1Non-Stable %: the flighty money

From ~5 years of daily balances, each bucket's worst 95th-percentile drop is taken, then de-cumulated so each bucket keeps only its own incremental volatility. The sum is the Non-Stable portion; the rest is Stable.

Non-Stable % (illustrative): 1.80%

A savings book sits low (~2%); a current-account book swings far more (~12%). Move it and watch the core change.

2Pass-through rate (PTR / Beta)

Interest-bearing deposits reprice when the repo rate moves. The share that passes through behaves like short money and is stripped out of the core. Current accounts pay no interest, so their PTR is zero.

Pass-through rate (illustrative): 3.5%

3Core / Non-Core, with the BCBS 90% cap

4Bucket the core → a maturity profile

Bucket	Share of book

5What this means

Illustrative figures only — method shown, not any client's data or results. In practice the model is validated by tallying every step to the bank's own workbook, with SARIMAX and walk-forward backtesting added as challenger and validation.