McPhail, Lihong Lu; Schnabl, Philipp; Tuckman, Bruce - National Bureau of Economic Research - 2023
average bank has a large notional amount of swaps-- $434 billion, or more than 10 times assets. But after accounting for 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 …
