Schmidhammer, Christoph Hille, Vanessa Wiedemann, Arnd
Year of Publication:
Bundesbank Discussion Paper No. 58/2020
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.
Maturity Transformation Bond Ladders Period of Low Interest Rates Performance Interest Rate Risk