Deutsche Bundesbank : Statistical Series Capital market indicators January 2022

Capital market indicators­

January 2022

Statistical Series

Deutsche Bundesbank Capital market ­indicators January 2022

2

Deutsche Bundesbank Wilhelm-Epstein-Strasse 14 60431 Frankfurt am Main Germany

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ISSN 2699-9153

Finalized on 7 January 2022.

This Statistical Series is released once a month and published on the basis of Section 18 of the Bundesbank Act (Gesetz über die Deutsche Bundesbank).

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Deutsche Bundesbank Capital market ­indicators January 2022 3

Contents

I. Indices

1. Indices for securities issued by residents . . . . . . . . . . . . . . . . . . . . . . . . . .

5

II. Yields

1.	Issue yields, by category of securities . . . . . . . . . . . . . . . . . . . . . . . . . . .	6
2.	Yields on debt securities outstanding
	a)	Yields on debt securities outstanding, by category of securities . . . . . . . . . . . . . . . .	7
	b)	Yields on debt securities outstanding, by residual maturity . . . . . . . . . . . . . . . . . .	8
	c)	Yields on listed Federal securities outstanding - average, highest and lowest rates . . . . . . . . .	13

III. Term structure of interest rates in the debt securities market

a)	Term structure of interest rates in the debt securities market - estimated values, listed Federal securities .	14
b)	Term structure of interest rates in the debt securities market - estimated values, Pfandbriefe . . . . .	15

Explanatory notes

Yields . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .	16
Term structure of interest rates . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .	16
Securities indices . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .	17

Deutsche Bundesbank Capital market ­indicators January 2022

4

Notes

Changes of definitions

Up to the end of 1999, debt securities comprise bonds, and money market paper issued by domestic banks; from January 2000, all debt securities with the exception of commercial paper issued by Corporates (Non-MFIs).

NB

Percentages are computed from figures reported in € thousand.

Abbreviations and symbols

1. Provisional

1. Revised
2. Estimated

. Data unknown, not to be published or not meaningful

0 Less than 0.5 but more than nil

- Nil

Discrepancies in the totals are due to rounding.

Deutsche Bundesbank Capital market indicators 06-01-2022 5

I. Indices

Indices for securities issued by residents

		Debt securities
		issued by residents 1		Indices on debt securities issued by residents 2 3
						Shares					Debt securities
						Share price index		Performance Index		Share price index		Performance Index
															REX-	iBoxx-
									Composite		German	German		iBoxx-	Performance	€ Germany
		Issue				CDAX share		DAX share	DAX		share index	bond index		€ Germany	index	Performance-
		Yields		Yields		price index		price index	(CDAX)		(DAX)	(REX)		price index	(REXP)	index
						End-		End-	End-		End-	Average		End-	End-	End-
Period	% per annum			1987=100		1987=1,000	1987=100		1987=1,000	daily rate		1998=100	1987=100	1998=100
2005			3.3		3.1	335.59		3,719.79	479.59		5,408.26	120.92		101.09	316.20	141.50
2006			3.8		3.8	407.16		4,429.01	595.11		6,596.92	116.78		96.69	317.05	140.98
2007			4.3		4.3	478.65		5,277.23	716.65		8,067.32	114.85		94.62	325.02	143.83
2008			4.3		4.2	266.33		3,041.60	411.51		4,810.20	121.68		102.06	357.99	161.42
2009			3.5		3.2	320.32		3,604.02	516.05		5,957.43	123.62		100.12	375.62	164.54
2010			2.6		2.5	368.72		4,053.71	611.30		6,914.19	124.96		102.95	390.67	174.97
2011			2.7		2.6	304.60		3,346.06	520.73		5,898.35	131.48		109.53	423.06	191.98
2012			1.6		1.4	380.03		4,161.30	673.11		7,612.39	135.11		111.18	442.69	200.27
2013			1.6		1.3	466.53		5,051.89	853.14		9,552.16	132.11		105.92	440.54	195.87
2014			1.2		1.0	468.39		5,044.71	879.54		9,805.55	139.68		114.37	471.82	216.25
2015			0.7		0.5	508.80		5,390.31	979.19		10,743.01	139.52		112.42	474.24	216.98
2016			0.4		0.1	526.55		5,588.27	1,042.86		11,481.06	142.50		112.72	485.31	225.72
2017			0.6		0.3	595.45		6,122.26	1,209.51		12,917.64	140.53		109.03	480.68	222.42
2018			0.7		0.4	474.85		4,862.74	990.45		10,558.96	141.84		109.71	487.68	227.73
2019			0.2	-	0.1	575.80		5,909.66	1,238.89		13,249.01	143.72		111.32	493.22	234.59
2020			0.1	-	0.2	586.72		5,935.22	1,297.81		13,718.78	146.15		113.14	499.23	241.63
2021			.	-	0.1	654.20		6,709.66	1,479.33		15,884.86	144.23		108.88	490.77	235.28
2018	June		0.5		0.4	557.27		5,668.60	1,162.24		12,306.00	141.29		109.87	484.77	225.89
	July		0.8		0.3	580.49		5,898.69	1,210.78		12,805.50	140.83		108.50	483.35	224.63
	Aug.		0.6		0.3	567.19		5,695.34	1,183.07		12,364.06	141.24		109.06	484.93	226.15
	Sep.		0.6		0.4	556.11		5,641.29	1,159.95		12,246.73	140.34		108.01	482.02	224.18
	Oct.		0.8		0.5	519.54		5,273.14	1,083.66		11,447.51	141.11		108.69	484.87	225.61
	Nov.		0.5		0.4	509.46		5,185.50	1,062.63		11,257.24	141.47		109.14	486.30	226.55
	Dec.		1.0		0.3	474.85		4,862.74	990.45		10,558.96	141.84		109.71	487.68	227.73
2019	Jan.		0.6		0.3	505.55		5,128.61	1,057.30		11,173.10	142.15		110.01	488.86	229.54
	Feb.		0.4		0.2	517.62		5,284.27	1,083.17		11,515.64	142.06		109.52	488.60	228.75
	Mar.		0.3		0.2	516.84		5,274.00	1,083.74		11,526.04	143.19		111.35	492.53	232.58
	Apr.		0.4		0.1	552.28		5,626.34	1,162.42		12,344.08	142.69		110.72	490.85	231.26
	May		0.3		0.1	510.79		5,235.06	1,097.08		11,726.84	144.20		112.36	496.03	234.80
	June		0.4	-	0.1	535.23		5,535.26	1,151.35		12,398.80	144.73		113.54	497.76	237.27
	July	-	0.1	-	0.2	528.16		5,441.61	1,136.26		12,189.04	145.43		113.94	500.03	239.49
	Aug.	-	0.1	-	0.4	518.10		5,327.67	1,114.63		11,939.28	147.13		116.35	505.60	244.97
	Sep.		0.0	-	0.4	535.82		5,545.79	1,152.86		12,428.08	145.93		114.98	501.23	242.30
	Oct.	-	0.1	-	0.2	554.98		5,741.56	1,194.09		12,866.79	144.91		113.34	497.53	238.84
	Nov.		0.2	-	0.1	571.40		5,906.48	1,229.42		13,236.38	144.67		112.86	496.58	237.84
	Dec.		0.5	-	0.1	575.80		5,909.66	1,238.89		13,249.01	143.72		111.32	493.22	234.59
2020	Jan.		0.2	-	0.1	565.28		5,790.54	1,216.25		12,981.97	144.88		113.14	497.10	239.46
	Feb.		0.1	-	0.2	516.08		5,287.76	1,113.36		11,890.35	146.02		114.54	500.85	242.68
	Mar.		0.1	-	0.2	429.84		4,416.97	927.23		9,935.84	145.13		113.12	497.56	239.67
	Apr.		0.4	-	0.1	471.38		4,804.60	1,020.92		10,861.64	144.99		114.35	496.93	242.26
	May		0.0	-	0.1	502.26		5,079.39	1,097.58		11,586.85	144.54		112.80	495.23	239.12
	June	-	0.0	-	0.1	525.07		5,357.17	1,155.00		12,310.93	145.24		113.18	497.48	239.92
	July		0.2	-	0.2	522.53		5,346.62	1,151.65		12,313.36	145.85		113.27	499.35	241.36
	Aug.	-	0.4	-	0.2	549.79		5,610.72	1,213.99		12,945.38	145.81		111.72	499.04	238.47
	Sep.	-	0.1	-	0.2	544.40		5,528.17	1,202.43		12,760.73	145.96		112.79	499.33	240.88
	Oct.		0.0	-	0.3	492.31		5,001.72	1,088.72		11,556.48	146.56		113.81	501.12	243.05
	Nov.	-	0.2	-	0.3	564.23		5,752.60	1,247.98		13,291.16	146.22		113.19	499.73	241.74
	Dec.		0.4	-	0.3	586.72		5,935.22	1,297.81		13,718.78	146.15		113.14	499.23	241.63
2021	Jan.	-	0.1	-	0.3	582.62		5,811.52	1,288.73		13,432.87	146.06		112.19	498.68	240.53
	Feb.		0.1	-	0.2	592.88		5,948.94	1,314.52		13,786.29	144.36		109.90	492.72	235.85
	Mar.		0.0	-	0.1	633.92		6,473.46	1,405.61		15,008.34	144.70		109.88	493.73	235.79
	Apr.		0.4	-	0.1	638.17		6,465.50	1,426.72		15,135.91	144.29		109.11	492.21	234.15
	May		0.3	-	0.0	642.41		6,528.32	1,449.48		15,421.13	144.19		108.88	491.80	233.78
	June		0.1	-	0.0	648.99		6,569.55	1,465.84		15,531.04	144.74		109.42	493.56	234.94
	July	-	0.1	-	0.2	650.36		6,570.29	1,470.53		15,544.39	146.34		111.03	498.79	239.47
	Aug.	-	0.3	-	0.3	662.93		6,693.35	1,498.91		15,835.09	145.90		110.25	497.05	238.18
	Sep.	-	0.1	-	0.1	638.37		6,448.35	1,443.43		15,260.69	144.41		108.60	491.83	234.67
	Oct.	-	0.0		0.0	653.37		6,629.23	1,477.40		15,688.77	143.52		108.60	488.70	234.67
	Nov.		0.1	-	0.1	627.49		6,380.50	1,418.88		15,100.13	145.58		110.72	495.59	239.25
	Dec.		.	-	0.1	654.20		6,709.66	1,479.33		15,884.86	144.23		108.88	490.77	235.28

1 Average of year or month; see explanatory notes for further details. 2 End of year or month. 3 Source: Deutsche Börse AG; see explanatory notes for further details.