US banks report deposit balances and interest expense quarterly. This service derives deposit rates and betas by institution and product for approximately 4,300 filers, prices the reported maturity and repricing schedules for duration and average life, and sets each result against the institution’s FFIEC peer group. It is intended for bank treasurers, ALCO members, and practitioners building or reviewing an ALM model.
Call Report figures are the outside view. Betas and decay rates estimated from your own account-level detail — by product, vintage and customer segment — are materially more precise, and are what an ALM model and its validators require. For help or guidance analyzing your institution’s deposits, email contact@depositanalysis.com.
A deposit beta is the proportion of a change in market rates that passes through to what an institution pays on a deposit product. A beta of 0.40 indicates that a 100 basis point move in fed funds moves the deposit rate approximately 40 basis points. It is the primary repricing assumption in an ALM model and the principal determinant of how much of a rate move reaches net interest income.
A quarterly deposit rate — interest expense divided by average balance — is measured against a market rate. Three estimates are reported side by side: a level regression, an error-correction model with a nonlinear (NARDL) specification separating rising from falling rates, and a cycle high-low ratio over the most recent complete fed funds cycle. Standard errors are Newey-West throughout. The three estimates differ, and the difference is informative: an institution that reprices slowly but ultimately fully will show a low regression beta and a high ECM beta, and both are correct.
No industry figure is reliable for modelling purposes. Betas vary materially by product — interest-bearing checking and savings price well below money market and CD accounts — and by institution, since deposit franchises differ in the rate sensitivity of their customers. Betas are therefore measured for a specific institution and product rather than published as an average.
A decay rate is the annual pace at which non-maturity deposit balances run off. It determines the average life assigned to those balances on an interest rate risk schedule. A faster decay rate implies a shorter assumed life and a more liability- sensitive balance sheet; the assumption is as material to the result as the beta.
Generally yes, and the distinction is material. Deposit pricing is asymmetric: institutions pass hikes and cuts through at different speeds, and the faster direction varies by product. A single symmetric beta understates risk in whichever direction the institution actually reprices faster. The models reported here estimate the two paths separately and test the difference for statistical significance.
Public FFIEC Call Report filings: Schedule RI for interest expense, Schedule RC-E for deposit balances and the CD maturity ladder, and Schedule RC-K for quarterly average balances — approximately 4,300 filers, quarterly from 2001 — combined with Federal Reserve market rate series from FRED. No proprietary or survey data is used.
Deposit rate. Quarterly interest expense ÷ quarterly-average balance × 4. Schedule RI expense is reported year-to-date and is therefore differenced for Q2–Q4 and taken as filed in Q1. Schedule RC-K balances are already single-quarter averages of daily balances.
One question — the share of a fed funds move that reaches this deposit rate — estimated three ways. The estimates differ, and the difference is informative.
Regression measures speed: the movement in the quarter the change occurs. ECM · NARDL measures destination: the level at which the rate settles if the change persists. Cycle high-low is arithmetic rather than a model. An institution that reprices slowly but ultimately fully will show a low regression beta and a high ECM beta; both are correct, and ALM applications require the destination.
Neutral: rate = a + β·ff in levels — the deposit rate associated with a given fed funds level. This is the specification most commonly reported in published work and is included for comparability.
Rising / falling: first differences with a directional split, Δrate = a + βup(Δff×up) + βdown(Δff×down) + βlagΔfft−1, reported as βup+βlag and βdown+βlag. These are coefficients on changes — pass-through speed with one quarter of lag, not a settled level.
Limitations. The level regression places two trending series on either side of the equation, the standard spurious-regression setup. The difference betas are imprecise on low-beta products; on interest-bearing checking the rising beta frequently returns |t| below 2.
The error-correction model carries the level relationship and the quarterly dynamics in a single equation, rate = a + ρ·ratet−1 + β·ff + φ·fft−1, with long-run beta (β+φ)/(1−ρ). The lagged rate term permits short-run stickiness while identifying the settled level. This is the standard correction for the spurious-regression problem above and the specification used by the Federal Reserve Board in its own funding-beta research (Dias & Scott, FEDS 2025-083). Values of ρ above 0.97 approach a unit root and are flagged as unstable and directional only.
NARDL (Nonlinear Autoregressive Distributed Lag; Shin, Yu & Greenwood-Nimmo, 2014) is the asymmetric form, permitting the long-run beta to differ between increases and decreases. The fed funds path is decomposed into partial sums of its own increases and decreases:
ff⁺t = Σs≤t max(Δffs, 0) the hiking pathff⁻t = Σs≤t min(Δffs, 0) the cutting path
Both are levels, both carry a long-run relationship, and together they reconstitute the fed funds path. In error-correction form, rate = a + ρ·ratet−1 + β⁺ff⁺ + φ⁺ff⁺t−1 + β⁻ff⁻ + φ⁻ff⁻t−1, with long-run betas (β⁺+φ⁺)/(1−ρ) on increases and (β⁻+φ⁻)/(1−ρ) on decreases. Hovering a rising or falling cell returns a t-test of the difference between them.
Rationale for the asymmetric form. A symmetric ECM is weighted toward whichever regime dominates the sample. Across the full population the symmetric beta falls between the rising and falling betas in only 45% of fits, since 2001–2026 contains materially more easing and on-hold quarters than hiking quarters. Decomposing the path removes that bias. Approximately 39% of institution-product fits exhibit asymmetry significant at the 5% level, consistently in the same direction: rates fall faster than they rise.
ECM · NARDL is appropriate for ALM inputs. An ALM model applies a rate shock and holds it, so the relevant quantity is the level at which the deposit rate settles — the ECM long-run beta. The regression family reads low against this by construction: a one-quarter pass-through speed is not a full-shock pass-through and should not be substituted for one.
Regression is appropriate for comparability with published studies and as a cross-check. Where the two families diverge materially on a single product, the cause should be understood before either figure is used.
(Δ deposit rate) ÷ (Δ fed funds) between the endpoints of the most recent completed fed funds cycle. Both endpoints of both series are displayed, so the figure can be verified manually.
The endpoints are the fed funds series’ own confirmed turning points — a reversal of at least 25bp against the running high or low, so a single-quarter pause does not begin a new leg. The same two dates apply to every institution and product, which prevents arbitrary endpoints from landing on a near-zero fed funds change and inflating the ratio.
The measure rests on two observations: no t-statistic, R², confidence interval or window. It is a reference figure rather than an estimate.
Standard errors. Newey-West (HAC, 4 lags) throughout. Combined rising and falling betas in the regression family are obtained from a joint linear-restriction test. Each ECM long-run beta is a nonlinear combination of three or more coefficients, so its standard error is derived by the delta method on the HAC covariance matrix — including the rising-minus-falling t-statistic, computed on the difference itself.
R². Reported per model, not per coefficient. Regression family: the level model (Neutral) and the dynamic model (shared by Rising and Falling). ECM family: the symmetric ECM (Base) and the NARDL (shared by Rising and Falling).
Only the level model’s R² describes the level of the rate; the remaining three describe the quarterly change, a materially harder target. An R² of 0.4 against a level R² of 0.95 is therefore expected, and the two are not comparable. The ECM and NARDL are estimated on the level with the lagged rate on the right-hand side; reported in that form they return 0.97–0.99 for nearly every institution, but an AR(1) containing no fed funds term returns approximately 0.85, and above 0.95 at large institutions. That statistic measures the persistence of deposit rates rather than the explanatory power of the rate path. Both are consequently reported in error-correction form, Δrate = a + (ρ−1)ratet−1 + … — identical equation, coefficients and residuals, scored against the change. Typical values are near 0.5.
Chart lines. Solid lines are reported data — deposit rates and effective fed funds. Dashed lines are fitted values (short: level; long: dynamic; tight: ECM), drawn only for models currently displayed and only when a single deposit type is selected. The cycle measure has no fitted path.
Noninterest-bearing. Pays no interest and is not rate-sensitive. It is displayed so that components reconcile to total deposits and is included in the “incl. NIB” cost series, which mechanically reduces any beta measured against that series.
The CD threshold change. The call report split time deposits at $100,000 through 2016Q4 (Schedule RC-K items RCONA579/A580, Schedule RI items RIADA517/A518) and at $250,000 from 2017Q1 (RCONHK16/HK17, RIADHK03/HK04). The two are chained into one series per bucket, so CD betas are estimated over 2001–2026 rather than the nine years the $250k codes cover on their own. The chain is continuous in sensitivity and discontinuous in level: on 2017Q1 the $100k–$250k tranche moves out of the large bucket and into the small one, which at the median institution is roughly two-thirds of the former ≥$100k bucket. Accordingly, 2017Q1 is excluded from every lagged and differenced term, each level equation carries a step dummy at that quarter, a mix decomposition spanning it reports the two CD buckets combined, and a cycle leg spanning it is marked. The sum of the two buckets is unaffected throughout, so the total and total-including-NIB series require no adjustment. Balances comparable in level across the change are available separately in the call report as RCONJ474 (>$250k) and RCONJ473+J474 (≥$100k), both reported from 2010Q1.
Windows. Preset windows are nested and share a common end date at the latest quarter. Differences across them indicate regime sensitivity rather than independent estimates. A custom range is re-estimated server-side over precisely the quarters selected.
Peer group. Institutions are assigned to an asset-size band approximating the FFIEC UBPR cohorts, using total assets at the latest quarter, held constant across history. A single cohort for the full series is preferred to a moving assignment, which would compare a long history against a group the institution belonged to for only part of it.
Bands. Peer distributions are computed across the full cross-section of the cohort in every quarter and are published only where at least eight institutions report. Positions are expressed as ranks rather than percentiles: in cohorts of this size a single institution can be worth several percentile points, and a rank does not imply precision the sample cannot support.
Checking and savings are reported separately, following the Call Report itself: Schedule RC-K collects interest-bearing transaction accounts and savings deposits (including MMDAs) as distinct items, and both are actively reported — 4,148 and 4,242 of 4,336 filers respectively in the most recent quarter. They price differently, and an ALM model carries separate assumptions for each: across the filing population the median long-run beta is 0.17 on checking against 0.34 on savings.
One caveat follows from showing them apart. The April 2020 amendment to Regulation D removed the six-transfer limit on savings accounts, and institutions reclassified balances into interest-bearing transaction accounts in different quarters. About one filer in five moved more than five points of its deposit base between the two categories in a single quarter during 2020–2021. A step between these two bands in those years may therefore be a reporting reclassification rather than a change in funding. Their combined total is unaffected, so the remainder of the mix and every comparison against it are unchanged.
Reported. Schedules RC-B M.2 (securities), RC-C M.2 (loans), RC-E M.3 (time deposits) and RC-M 5 (borrowings) assign every dollar to a “remaining maturity or next repricing date, whichever is earlier” bucket. Floating-rate loans therefore fall in ≤3 months regardless of term. Securities comprise HTM at amortized cost plus AFS at fair value. Balances not covered by the ladders are held at zero duration, and the coverage share is disclosed.
Assumed. The Call Report reports balances, not durations. Each bucket is assigned one: midpoints converted to modified duration for coupon instruments, prepayment-adjusted for pass-throughs and residential loans — a 30-year pass-through carries 6.5 years rather than 30. The open-ended “over 15 years” buckets are the least precise, placing a 20-year municipal alongside a 30-year Treasury. The full table is available in the API response under meta.assumptions.
Deposit duration is solved, not assumed. Average life is not estimable from Call Report aggregates: net balance changes mask attrition and no vintage detail is reported. Duration of equity is therefore set to zero and the deposit duration that balances the sheet is derived: [D(assets)×assets − contractual liability duration$] ÷ NMD. Average life follows from the institution’s own ECM beta, life = duration ÷ (1 − β); a deposit repricing one-for-one carries no economic-value exposure regardless of how long the balance remains.
OCC medians determine shape, not level. The Interest Rate Risk Statistics Report publishes NMD average lives by asset-size band. Only the ordering across deposit types is used — noninterest-bearing longer than money market, and so on — scaled by a single factor per institution so that the weighted duration reconciles to the solve. The absolute level is calibrated on institutions below approximately $50bn and does not extend beyond that population.
Hedges. Schedule RC-L reports gross notional of non-trading interest rate swaps (RCONA589) and nothing further — no pay/receive split, tenor or hedged item. Pay-fixed at 4.6 years is assumed, the average bank swap term transacted in 2025. Above half of total assets the position is treated as an intermediation book rather than an ALM hedge and no directional assumption is applied. This is the least well-identified input on the page and the most readily resolved from an institution’s own confirmations.
Limitations. No account-level decay, hedge direction, coupon or vintage detail within a bucket, embedded caps and floors, or any information below the consolidated aggregate. This is a screening and benchmarking tool, not an ALM model, and is not a sufficient basis for a risk-limit decision.
Generated · Source: FFIEC Call Report and the Federal Reserve effective federal funds rate via FRED. For research use; not investment advice.