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Derivatives, Portfolio Composition and Bank Holding Company Interest Rate Risk Exposure

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Because of its large size, it is important to account for the net position in interest-rate derivatives when measuring exposure. The key difficulty in measuring the exposure in interest-rate derivatives is that banks do not report the sign of their position — whether they represent bets on interest rate increases (e.g., pay-fixed swaps) or decreases (e.g., pay-floating swaps.) Moreover, there is no detailed information about the maturities of these net (as opposed to gross) derivatives positions or the start day of these derivatives (and thus their associated locked-in interest rates)