McPhail, Lihong Lu; Schnabl, Philipp; Tuckman, Bruce - National Bureau of Economic Research - 2023
securities. To this end, we use regulatory data on individual swap positions for the largest 250 U.S. banks. We find that the … significant extent to which swap positions offset each other, the average bank has essentially no net interest rate risk from … banks, with some bank swap positions decreasing and some increasing with rates, but aggregating swap positions at the level …