McPhail, Lihong Lu; Schnabl, Philipp; Tuckman, Bruce - National Bureau of Economic Research - 2023
, we conclude that swap positions are not economically significant in hedging the interest rate risk of bank assets …We ask whether banks use interest rate swaps to hedge the interest rate risk of their assets, primarily loans and … securities. To this end, we use regulatory data on individual swap positions for the largest 250 U.S. banks. We find that the …
