Depositor reaction to rates
ECB deposit rateToday: 2.00%
Present value of impact
After tax, 2027–2033, including implementation cost
Worst year for net interest income
Change against the no-digital-euro plan
Return on equity
Average change per year, 2029–2033
Money held in digital euro wallets
How the bank replaces the deposits
Cumulative, EUR m. The model picks the cheapest mix that keeps the bank within its liquidity limits.
Where the profit impact comes from
Before tax, EUR m per year. The 2027–28 build cost sits outside the chart, in the present value.
Present value by holding limit
Liquidity stress: ILAAP view
A run plays out in days. Starting from the published balance sheet and maturity ladder, deposits leave day by day under a stress, with the digital euro run on top, and the bank's liquid assets must cover them. The holding limit is the one selected above.
Survival horizon
Days until outflows exceed liquid assets
Lowest headroom
Liquid assets left after outflows, within one year
Day one
Before securities or pledged loans can be turned into cash
Without pledgeable loans
Same stress, €3,000 limit, no loan pool at the Bank of Italy
Liquid assets against cumulative outflows, first 90 days
Survival by holding limit
Maturity ladder under stress
EUR m. Contractual flows from the annual report; the stressed column adds deposit run-off and the digital euro run and keeps only half of maturing loans as cash. Headroom is liquid assets less cumulative stressed outflows at the end of each bucket.
Year by year
The selected scenario. EUR m unless stated.
Calibration check
The model's starting point against what the bank reports.
How the model works
- Deposit outflow. Households adopt the digital euro along an S-shaped curve. Each adopter holds the smaller of the holding limit and a share of their balance, so outflows depend on how balances are spread across customers. In a flight to safety, adopters fill their wallets up to the limit; this is calibrated so a run at €3,000 moves about 8% of household sight deposits, as in the ECB's estimate. Businesses are assumed not to hold digital euros.
- Funding response. Each year a linear programme chooses the cheapest way to replace lost deposits: use reserves, sell securities, borrow through repo or from the Eurosystem against securities or loan pools, issue retail bonds, or pay a higher deposit rate to keep customers. It must respect the bank's own LCR and NSFR limits, the minimum reserve, its collateral, and survive a sudden run inside each year with liquid assets alone.
- Market discipline. As liquidity falls below the bank's comfort level, unprotected lenders charge more. The penalty follows the link between liquidity and default risk estimated by the Bundesbank.
- Profit. Net interest income with and without the digital euro, the card fees that move to the digital euro at a lower capped fee, and the bank's share of implementation cost. The present value discounts 2027–2033 at 3% after tax.
- Liquidity stress (ILAAP view). A day-by-day stress over one year from the published balance sheet: sight deposits run off at the selected severity, the digital euro run arrives over the first ten days (half on day one), half of maturing term deposits and bonds are not renewed, and only half of maturing loans come back as cash. Liquid assets are reserves above the minimum and securities after haircut, plus pledgeable loans from day five. The survival horizon is the first day outflows exceed them.
- Depositor reaction. Raising deposit rates only pays if enough customers stay for each basis point. "Low" is a quarter of the break-even reaction, "High" twice it.
Limits: an illustrative calibration on public data, not the bank's own view. Ratios use Pillar 3 annual averages. The balance split between households and businesses, the customer count and balance bands, and several funding capacities are assumptions. Interest rates move in parallel with the ECB deposit rate using simple pass-through rates.
Sources