What happens when you deposit all collectibles?

On the inventory screen, if you click the gear icon, and then "Deposit All Collectibles", some stuff from your inventory will disappear.

I think the idea is that it will automatically send such items to your bank without having to make a trip there. Is this true?

What happens if your bank is full? I've been depositing copper ore this way, and now that I've finally had a chance to visit the bank, I don't see any copper ore there. Is it gone forever?

Your bank in Guild Wars 2 is bifurcated - you have the Guild Bank, where you can put whatever you want (and buy storage expansions for) and you have the collections tab, which holds the most common crafting materials.

Pressing "Deposit All Collectibles" will check to see if there is room in your collections tab (stack size is 250), and if it is, it will automagically be sent there. This is one way, however - you can't "un-deposit collectibles"; you'll have to actually make it to a bank or crafting station for that!

One thing to be aware of is that Miniatures count as collectibiles, so if you have, say, a miniature Rytlock Brimstone from the Digital Deluxe edition, pressing "Deposit All Collectibles" will store your pet in the collections tab as well as that copper ore you mined.

If you try to deposit something that there is no space for, it will stay in your inventory.

For example mats only stack up to 250, after that, they stay in your inventory.