Performance of maturity transformation strategies

Arbeitspapier

This paper analyses theperformance ofmaturity transformation strategiesduring a period of high and low interest rates. Based on German government bond yieldsfrom September 1972 to May 2019,we construct a rolling window of bond ladders where long-term assets are financed by short-term liabilities. Risk and return increase significantly with maturity gaps for both sample periods. During theperiod of low interest rates,dominant strategies can be observed for short-term and medium-term gaps.With respect to different financial reporting standards,weaddress maturity transformation results froman earnings-based perspective as well as froma market value-based perspective.

Object Details

• ISBN: 978-3-95729-789-1
• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Deutsche Bundesbank Discussion Paper ; No. 58/2020

Classification and Topics

• Classification: Wirtschaft ; Portfolio Choice; Investment Decisions ; Asset Pricing; Trading Volume; Bond Interest Rates ; Banks; Depository Institutions; Micro Finance Institutions; Mortgages
• Subject: Maturity Transformation ; Bond Ladders ; Period of Low Interest Rates ; Performance ; Interest Rate Risk

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Schmidhammer, Christoph ; Hille, Vanessa ; Wiedemann, Arnd
• Event: Veröffentlichung
• (who): Deutsche Bundesbank
• (where): Frankfurt a. M.
• (when): 2020

Further information

• Handle: http://hdl.handle.net/10419/226364
• Last update: 17.06.2025, 11:53 AM CEST