That's just stupid. If the bank doesn't mail out statements in the months there's no activity, then you're getting into the habit of not thinking anything's wrong if you don't get one.
So ... you'd be much less likely to notice the month when one was mailed to you and you didn't get it.
Much better, although at first glance a bit silly and wasteful of $0.40 or so ..., is for a statement to be mailed out each and every month, whether or not there's activity.
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