There is no risk of principal loss in held to maturity assets in a vacuum, but there can still be risk if durations of assets and liabilities don't match, and i

There is no risk of principal loss in held to maturity assets in a vacuum, but there can still be risk if durations of assets and liabilities don't match, and interest rates move. IE if you've made a bunch of long-term loans at relatively low interest rates, funded by money you've borrowed short-term (including deposits), and then interest rates go up, you can find your cashflow suddenly negative.