Using micro level data, this work characterizes the interest rate pass-through in loan and deposit retail rates of the Portuguese banking system. It concludes that the long-run impact of a change in money market rates on loans is typically around one while it is smaller than one for deposits. Moreover, differences between the long run coefficients for the corporate and household sectors also emerge. Results on the speed of adjustment show that, in general, deposit interest rates adjust faster than loan interest rates. The determinants of the heterogeneous behavior of banks in terms of interest rates’decisions are also studied. Capital and liquidity characteristics of banks turn out to be non-significant while market share proves to contribute to a slower speed of adjustment in both loan and deposit interest rates.