This paper constructs comparable and parsimonious measures of institutions’ expo- sure to market risk by representing their positions as portfolios in a small number of bonds. We start from balance sheet data from the US Reports on Bank Conditions and Income (“call reports”). We show how to construct, for any bank and for each major class of credit market instruments, replicating portfolios of bonds that have ap- proximately the same conditional payoff distribution. We then compare portfolios across positionsaswellasacrossbanks. Our findings suggest that the overall position of the major dealer banks is a portfolio which is long in long-term bonds and short in cash. We also find that.
