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3.4 The role of maturity transformation 
In this subsection, we explore the role played by maturity transformation in the relationship 
between monetary policy and bank profitability. We do so by augmenting the regression model 
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Number of years in low-for-long
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Impact of low-for-long on profitability (Macro constant)
Impact of low-for-long on profitability (Macro improvement)
Median bank profitability reduced by 25%
Median bank profitability reduced by 50%

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expressed in equation 3 with a bank-specific measure of the difference between the average 
maturity of its assets and liabilities: the maturity gap (as defined in equation 1). This variable could 
play an important role in the transmission of changes in interest rates to bank profitability. For 
example, a positive sign on the interaction term between the slope of the yield curve and the 
maturity gap would mean that banks engaging more heavily in maturity transformation tend to 
benefit more in relative terms from a steepening of the term structure. 
In order to obtain information on the average maturity of the different balance sheet items, we 
use bank data on income and balance sheet characteristics retrieved by matching data from S&P 
Global Market Intelligence (formerly known as SNL Financial) with the iBSI (individual Balance 
Sheet Information), a proprietary dataset on bank balance sheet information available at a monthly 
frequency and maintained at the ECB. Given data limitations, the empirical analysis focuses on the 
period running from mid-2007 to end-2016. Importantly, the sample of banks covered by the 
dataset is chosen so as to be representative of the overall banking sector, thereby reflecting different 
business models, size and other bank characteristics. Table 5 contains summary statistics for the 
variables used in the estimation. 
Table 5: Descriptive statistics for the restricted dataset 
Notes: Data are at quarterly frequency covering the period Q1 2007 – Q4 2016. Short-term rate is the three-
month OIS, country-specific slope is the difference ten- and two-year sovereign yields, euro area slope is the 
difference between ten- and two-year OIS and sovereign spread is the difference between ten-year sovereign 
yields and the ten-year OIS. Expected real GDP growth is the one-year-ahead expectation obtained from 
Consensus Forecast. 
Mean
Std. Dev. 25th perc. Median 75th perc.
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