The market price of banks with large balance sheets, higher capital ratios, higher proportions of customer loans and lower proportions of deposits is more sensitive to changes in interest rates, a paper released by the Deutsche Bundesbank finds.

Euro area banks‘ interest rate risk exposure to level, slope and curvature swings in the yield curve investigates the interest rate risk exposure of listed European banks supervised by the Single Supervisory Mechanism (SSM).

The authors say that at the