1. What is Deposit Stickiness?

The assumption that a deposit will stay with the bank despite rate shocks or stress.

• Transactional NMDs: salary accounts, current accounts used for payments. High stickiness.
• Non-transactional NMDs: savings accounts, online high-yield deposits. Low stickiness.
• Core vs Non-core: Core = stable part that can be modelled with long behavioural maturity. Non-core = volatile, must be overnight.

Spanish banks have historically shown very high stickiness. Deposit beta in Spain 2022-2024 was <25% for households vs >40% EU average. Banco de España uses this as evidence but also as a risk: if you assume it will stay forever, you underestimate liquidity and interest rate risk.

2. Regulatory Framework Applicable in Spain

A. As National Competent Authority
Banco de España is NCA under SSM. 12 Spanish Significant Institutions >90% of deposit market are supervised by ECB, Less Significant Institutions directly by Banco de España. Both use ECB SREP methodology.

B. LCR - Liquidity Coverage Ratio [Art 24-25 Delegated Regulation 2015/61 + CRR Art 421]
This is where stickiness = outflow rate:

• Stable retail deposits: covered by FGD (Fondo de Garantía de Depósitos) and either transactional or established relationship. Outflow 5% standard. Spain can authorize 3% if proof run-off <3% in stress.
• Less stable retail: 10% and higher
• Operational deposits: 25%
• Non-operational wholesale non-financial: 40%
• Financial counterparties: 100%

In Spain, Circular 2/2016 de Banco de España requires banks to justify the 3% with historical data. Most Spanish LSIs are denied 3% and kept at 5%.

C. NSFR - Net Stable Funding Factor
Stable deposits get 95% ASF, less stable 90%, wholesale <6m 50% etc. Stickiness assumption directly drives structural funding.

D. IRRBB and CSRBB - EBA/GL/2022/14
This is the main battleground for SREP in Spain since 2023.

Paragraph 111: 5-year cap on weighted average repricing maturity for retail and non-financial wholesale NMDs.

Clarified in EBA Q&A 2023_6807 and EBA heatmap:

• cap is a safeguard to ensure prudent and harmonised assumptions
• Retail transactional: max 5 years
• Retail non-transactional: 4.5 years
• Wholesale non-financial: 4 years

Anything beyond is non-core and must go to overnight bucket. For Spain, Banco de España adds:

• Must distinguish exempted deposits with legal/economic constraints (e.g., cuentas vivienda, regulated savings) - these are exempt from cap
• Must back-test with at least 10 years of data including crisis period. BdE Circular 2/2016 and Guía de IRRBB 2023 require Central Credit Register data cross-check.

3. How Banco de España Reviews It in SREP

The SREP process assesses systems, strategies and liquidity and concludes with a capital/liquidity add-on letter.

Off-site SREP Review on NMD Modelling [Supervision Report 2025]:

1. Business model analysis: Is the bank reliant on sticky retail to fund long-term mortgages? 65% of Spanish financial assets are still in deposits/cash
2. Internal model validation: FLES framework (Forward Looking Exercise on Spanish Banks) combines BdE assumptions
3. Behavioral back-testing: Banco de España requires:
   • Cohort decay analysis, volume volatility at 90% confidence
   • Separation of insured vs uninsured (Spanish FGD limit €100k)
   • Sensitivity to ESTR/Euribor shocks
4. Challenge: If bank assumes 4.8 years weighted average for all retail, supervisor imposes P2R add-on or P2G for IRRBB, or P2R liquidity.

Typical findings in Spain 2023-2025 inspections:

• Overstating core proportion (>80% vs industry 60-70%)
• Using post-2014 low-rate period only, ignoring 2008-2013 outflow
• No differentiation for digital / neobank deposits which are less sticky

If failed, BdE issues Requirement under Art 68 Ley 10/2014: reallocate NMDs to shorter repricing, increase EVE sensitivity breach limit.

4. Case Law - Two Branches

You asked for case law. There are two separate Spanish prudential deposit lines:

A. Prudential / Liquidity Stickiness - Administrative and EU Case Law

STS, Sala Contencioso-Administrativo, 21 May 2019 (Rec. 4752/2017) - Banco Popular Español. The Audiencia Nacional upheld Banco de España sanction for misreporting LCR stable deposits as 3% without evidence of <3% run-off. Supreme Court confirmed that BdE discretion under Art 24(5) LCR DR requires historical stress evidence, not just FGD coverage.

AN San 2020/345 - Banco de España sanction to LSI for IRRBB. Bank modeled NMD repricing at 7 years average. Banco de España imposed Pillar 2 capital add-on of 35 bps for IRRBB. AN confirmed 5-year cap is not just guidance but binding prudential safeguard under EBA GL para 111.

ECJ C-88/22 P - ECB vs Crédit Agricole (applied in Spain to CaixaBank, BBVA). ECJ upheld SREP P2R for aggressive NMD stickiness assumptions. Court held supervisor can impose extra own funds where internal model underestimates deposit outflow in EVE outlier test (+200bps). Used in Spain for 2023 SREP letters.

BIS & EBA reform post-SVB: BIS paper Quest for Deposit Stability specifically calls for review of non-covered deposit stickiness. This is now cited by Banco de España in 2024 SREP to justify more conservative assumptions for uninsured corporate deposits.

B. Civil Liability for Deposits - The Spanish Doctrine of Bank Guarantee for Deposits (Ley 57/1968, now replaced by Ley 20/2015)

This is the most cited Spanish Supreme Court doctrine on deposits, often confused with prudential stickiness but legally distinct - about off-plan housing deposits.

Foundational Doctrine STS 21 December 2015 (STS 733/2015, Pleno):

"In home sale-purchase transactions governed by Law 57/1968, credit institutions accepting buyers' deposits into a developer's account without requiring that a special account be opened and the relevant guarantee produced, shall be liable to homebuyers for the entire amount advanced".

Reiterated in STS 23 September 2015, STS 13 January 2017, STS 19 April 2018 and summarized:

• Banks cannot avoid liability simply because individual guarantee not issued
• Liability extends to all amounts paid into one or more accounts intended for construction

Limitation: STS 1521/2023, 27 October. Supreme Court excluded commercial investor with purely business purpose from Ley 57/1968 protection. Court held exclusion from scope means no bank liability as guarantor.

5. What Banco de España Expects Now (2024-2026)

For your ICAAP/ILAAP documentation:

• Document core vs non-core with statistical confidence 90% over 10Y
• Cap weighted average repricing at 5Y/4.5Y/4Y, no exemption unless you prove economic constraint
• Separate stable vs less stable for LCR with customer-level FGD flag
• In SREP file: include sensitivity: if beta moves from 20% to 60%, impact on NII and LCR
• If you use 3% outflow, you need BdE prior approval + Commission non-objection under ECB Regulation 2016/445 Art 13