McPhail, Lihong; Schnabl, Philipp; Tuckman, Bruce - 2023
securities. To this end, we use regulatory data on individual swap positions for the largest 250 U.S. banks. We find that the … average bank has a large notional amount of $434 billion. But after accounting for offsetting swap positions, the average bank … 0.1% of equity. There is variation across banks, with some bank swap positions decreasing and some increasing with rates …