Bank bond and portfolio characteristics.
This table reports bank-level bond characteristics defined in Section 2.2 (Panel A) and portfolio characteristics (Panel B). Portfolio characteristics are reported as a share of the bond portfolio and total portfolio. The category Other bonds includes bonds not issued by the banks in the sample. The category Others includes repos, insurance policies, and derivatives. All portfolio values are in € and scaled by dividing by 1,000. The statistics are computed cross-sectionally across banks or account holders, after averaging in the time-series dimension at the bank or account holder level.
| Variable . | Mean . | Pctl(25) . | Median . | Pctl(75) . | Std. Dev. . |
|---|---|---|---|---|---|
| Panel A: Bank-level bond characteristics | |||||
| Risk premium (%) | 1.10 | 0.92 | 1.07 | 1.38 | 0.35 |
| Maturity (years) | 2.01 | 1.89 | 1.96 | 2.33 | 0.54 |
| Credit risk (1-year PD, %) | 1.78 | 0.55 | 1.06 | 1.65 | 2.19 |
| Panel B: Portfolio characteristics | |||||
| Bond portfolio share | |||||
| Own bank bonds | 0.69 | 0.38 | 0.93 | 1.00 | 0.39 |
| Government bonds | 0.11 | 0.00 | 0.00 | 0.01 | 0.25 |
| Other bonds | 0.08 | 0.00 | 0.00 | 0.00 | 0.22 |
| Certificates of deposit | 0.12 | 0.00 | 0.00 | 0.00 | 0.29 |
| Tot portfolio share | |||||
| Own bank bonds | 0.40 | 0.00 | 0.31 | 0.78 | 0.39 |
| Government bonds | 0.06 | 0.00 | 0.00 | 0.00 | 0.19 |
| Other bonds | 0.04 | 0.00 | 0.00 | 0.00 | 0.15 |
| Certificates of deposit | 0.07 | 0.00 | 0.00 | 0.00 | 0.23 |
| Equity | 0.06 | 0.00 | 0.00 | 0.00 | 0.19 |
| Mutual funds | 0.28 | 0.00 | 0.05 | 0.48 | 0.38 |
| Others | 0.09 | 0.00 | 0.00 | 0.00 | 0.22 |
| Portfolio value in € | |||||
| Own bank bonds | 26.72 | 0.00 | 9.51 | 30.54 | 60.01 |
| Government bonds | 6.54 | 0.00 | 0.00 | 0.00 | 34.68 |
| Other bonds | 4.15 | 0.00 | 0.00 | 0.00 | 20.64 |
| Certificates of deposit | 4.54 | 0.00 | 0.00 | 0.00 | 26.99 |
| Equity | 2.07 | 0.00 | 0.00 | 0.00 | 14.63 |
| Mutual funds | 8.18 | 0.00 | 1.26 | 7.05 | 25.68 |
| Others | 8.65 | 0.00 | 0.00 | 0.00 | 45.83 |
| Total portfolio | 60.84 | 10.08 | 27.75 | 65.83 | 114.61 |
| Variable . | Mean . | Pctl(25) . | Median . | Pctl(75) . | Std. Dev. . |
|---|---|---|---|---|---|
| Panel A: Bank-level bond characteristics | |||||
| Risk premium (%) | 1.10 | 0.92 | 1.07 | 1.38 | 0.35 |
| Maturity (years) | 2.01 | 1.89 | 1.96 | 2.33 | 0.54 |
| Credit risk (1-year PD, %) | 1.78 | 0.55 | 1.06 | 1.65 | 2.19 |
| Panel B: Portfolio characteristics | |||||
| Bond portfolio share | |||||
| Own bank bonds | 0.69 | 0.38 | 0.93 | 1.00 | 0.39 |
| Government bonds | 0.11 | 0.00 | 0.00 | 0.01 | 0.25 |
| Other bonds | 0.08 | 0.00 | 0.00 | 0.00 | 0.22 |
| Certificates of deposit | 0.12 | 0.00 | 0.00 | 0.00 | 0.29 |
| Tot portfolio share | |||||
| Own bank bonds | 0.40 | 0.00 | 0.31 | 0.78 | 0.39 |
| Government bonds | 0.06 | 0.00 | 0.00 | 0.00 | 0.19 |
| Other bonds | 0.04 | 0.00 | 0.00 | 0.00 | 0.15 |
| Certificates of deposit | 0.07 | 0.00 | 0.00 | 0.00 | 0.23 |
| Equity | 0.06 | 0.00 | 0.00 | 0.00 | 0.19 |
| Mutual funds | 0.28 | 0.00 | 0.05 | 0.48 | 0.38 |
| Others | 0.09 | 0.00 | 0.00 | 0.00 | 0.22 |
| Portfolio value in € | |||||
| Own bank bonds | 26.72 | 0.00 | 9.51 | 30.54 | 60.01 |
| Government bonds | 6.54 | 0.00 | 0.00 | 0.00 | 34.68 |
| Other bonds | 4.15 | 0.00 | 0.00 | 0.00 | 20.64 |
| Certificates of deposit | 4.54 | 0.00 | 0.00 | 0.00 | 26.99 |
| Equity | 2.07 | 0.00 | 0.00 | 0.00 | 14.63 |
| Mutual funds | 8.18 | 0.00 | 1.26 | 7.05 | 25.68 |
| Others | 8.65 | 0.00 | 0.00 | 0.00 | 45.83 |
| Total portfolio | 60.84 | 10.08 | 27.75 | 65.83 | 114.61 |
Bank bond and portfolio characteristics.
This table reports bank-level bond characteristics defined in Section 2.2 (Panel A) and portfolio characteristics (Panel B). Portfolio characteristics are reported as a share of the bond portfolio and total portfolio. The category Other bonds includes bonds not issued by the banks in the sample. The category Others includes repos, insurance policies, and derivatives. All portfolio values are in € and scaled by dividing by 1,000. The statistics are computed cross-sectionally across banks or account holders, after averaging in the time-series dimension at the bank or account holder level.
| Variable . | Mean . | Pctl(25) . | Median . | Pctl(75) . | Std. Dev. . |
|---|---|---|---|---|---|
| Panel A: Bank-level bond characteristics | |||||
| Risk premium (%) | 1.10 | 0.92 | 1.07 | 1.38 | 0.35 |
| Maturity (years) | 2.01 | 1.89 | 1.96 | 2.33 | 0.54 |
| Credit risk (1-year PD, %) | 1.78 | 0.55 | 1.06 | 1.65 | 2.19 |
| Panel B: Portfolio characteristics | |||||
| Bond portfolio share | |||||
| Own bank bonds | 0.69 | 0.38 | 0.93 | 1.00 | 0.39 |
| Government bonds | 0.11 | 0.00 | 0.00 | 0.01 | 0.25 |
| Other bonds | 0.08 | 0.00 | 0.00 | 0.00 | 0.22 |
| Certificates of deposit | 0.12 | 0.00 | 0.00 | 0.00 | 0.29 |
| Tot portfolio share | |||||
| Own bank bonds | 0.40 | 0.00 | 0.31 | 0.78 | 0.39 |
| Government bonds | 0.06 | 0.00 | 0.00 | 0.00 | 0.19 |
| Other bonds | 0.04 | 0.00 | 0.00 | 0.00 | 0.15 |
| Certificates of deposit | 0.07 | 0.00 | 0.00 | 0.00 | 0.23 |
| Equity | 0.06 | 0.00 | 0.00 | 0.00 | 0.19 |
| Mutual funds | 0.28 | 0.00 | 0.05 | 0.48 | 0.38 |
| Others | 0.09 | 0.00 | 0.00 | 0.00 | 0.22 |
| Portfolio value in € | |||||
| Own bank bonds | 26.72 | 0.00 | 9.51 | 30.54 | 60.01 |
| Government bonds | 6.54 | 0.00 | 0.00 | 0.00 | 34.68 |
| Other bonds | 4.15 | 0.00 | 0.00 | 0.00 | 20.64 |
| Certificates of deposit | 4.54 | 0.00 | 0.00 | 0.00 | 26.99 |
| Equity | 2.07 | 0.00 | 0.00 | 0.00 | 14.63 |
| Mutual funds | 8.18 | 0.00 | 1.26 | 7.05 | 25.68 |
| Others | 8.65 | 0.00 | 0.00 | 0.00 | 45.83 |
| Total portfolio | 60.84 | 10.08 | 27.75 | 65.83 | 114.61 |
| Variable . | Mean . | Pctl(25) . | Median . | Pctl(75) . | Std. Dev. . |
|---|---|---|---|---|---|
| Panel A: Bank-level bond characteristics | |||||
| Risk premium (%) | 1.10 | 0.92 | 1.07 | 1.38 | 0.35 |
| Maturity (years) | 2.01 | 1.89 | 1.96 | 2.33 | 0.54 |
| Credit risk (1-year PD, %) | 1.78 | 0.55 | 1.06 | 1.65 | 2.19 |
| Panel B: Portfolio characteristics | |||||
| Bond portfolio share | |||||
| Own bank bonds | 0.69 | 0.38 | 0.93 | 1.00 | 0.39 |
| Government bonds | 0.11 | 0.00 | 0.00 | 0.01 | 0.25 |
| Other bonds | 0.08 | 0.00 | 0.00 | 0.00 | 0.22 |
| Certificates of deposit | 0.12 | 0.00 | 0.00 | 0.00 | 0.29 |
| Tot portfolio share | |||||
| Own bank bonds | 0.40 | 0.00 | 0.31 | 0.78 | 0.39 |
| Government bonds | 0.06 | 0.00 | 0.00 | 0.00 | 0.19 |
| Other bonds | 0.04 | 0.00 | 0.00 | 0.00 | 0.15 |
| Certificates of deposit | 0.07 | 0.00 | 0.00 | 0.00 | 0.23 |
| Equity | 0.06 | 0.00 | 0.00 | 0.00 | 0.19 |
| Mutual funds | 0.28 | 0.00 | 0.05 | 0.48 | 0.38 |
| Others | 0.09 | 0.00 | 0.00 | 0.00 | 0.22 |
| Portfolio value in € | |||||
| Own bank bonds | 26.72 | 0.00 | 9.51 | 30.54 | 60.01 |
| Government bonds | 6.54 | 0.00 | 0.00 | 0.00 | 34.68 |
| Other bonds | 4.15 | 0.00 | 0.00 | 0.00 | 20.64 |
| Certificates of deposit | 4.54 | 0.00 | 0.00 | 0.00 | 26.99 |
| Equity | 2.07 | 0.00 | 0.00 | 0.00 | 14.63 |
| Mutual funds | 8.18 | 0.00 | 1.26 | 7.05 | 25.68 |
| Others | 8.65 | 0.00 | 0.00 | 0.00 | 45.83 |
| Total portfolio | 60.84 | 10.08 | 27.75 | 65.83 | 114.61 |
This PDF is available to Subscribers Only
View Article Abstract & Purchase OptionsFor full access to this pdf, sign in to an existing account, or purchase an annual subscription.
