Arbeitspapier
Quantifying the pull-to-par effect for German banks' bond portfolios
The rise in interest rate levels in 2022 led to large losses in German banks' bond portfolios. The resulting unrealised losses also point to reduced profitability and, in the medium term, indicate the risk of further losses arising if unrealised losses end up having to be realised in the process of liquidating bonds. Based on the term structure as at end-2022 and taking into account implied forward interest rates, this analysis quantifies the pull-to-par effect, i.e. future reversals of market price losses which occur when the price of a bond converges towards its par value as it approaches maturity. In addition, the impact of the pull-to-par effect on the recognised net result and on unrealised losses is approximated. The results show how quickly the losses incurred by banks can likely be offset and how quickly risks arising from unrealised losses diminish.
- Language
-
Englisch
- Bibliographic citation
-
Series: Technical Paper ; No. 06/2023
- Classification
-
Wirtschaft
Asset Pricing; Trading Volume; Bond Interest Rates
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
- Subject
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market risk
asset pricing
banks
financial stability
- Event
-
Geistige Schöpfung
- (who)
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Strobel, Lena
- Event
-
Veröffentlichung
- (who)
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Deutsche Bundesbank
- (where)
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Frankfurt a. M.
- (when)
-
2023
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Strobel, Lena
- Deutsche Bundesbank
Time of origin
- 2023
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Quantifying the pull-to-par effect for German banks' bond portfolios
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Quantifying the pull-to-par effect for German banks' bond portfolios
Klimabezogene Berichterstattung der Deutschen Bundesbank ... : Teil der Eurosystem-weiten Klimaberichterstattung zu den nicht-geldpolitischen Portfolios (NMPPs)
Klimabezogene Berichterstattung der Deutschen Bundesbank 2022 : Teil der Eurosystem-weiten Klimaberichterstattung zu den nicht-geldpolitischen Portfolios (NMPPs)
Quantifizierung des Pull-to-Par-Effekts für Anleiheportfolios deutscher Banken
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Climate-related disclosures by the Deutsche Bundesbank ... : part of the Eurosystem-wide climate-related disclosures on the non-monetary policy portfolios (NMPPs)
Time-variation in the effects of push and pull factors on portfolio flows : evidence from a Bayesian dynamic factor model
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Moral suasion in regional government bond markets
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