financial markets: interest rate swap spreads. Our approach consists of jointly modeling the swap and Treasury term structures … significant. We also find that credit premia in swap spreads are positive on average. These premia, however, vary significantly …

across different maturities. Swap rates represent future uncollateralized borrowing between banks. Treasuries should be … expensive and produce yields that are lower than those of maturity matched swap rates, as they are deemed to have superior … explains the negative swap spreads over Treasuries. This view is supported by a quantitative equilibrium model that jointly …

securities. To this end, we use regulatory data on individual swap positions for the largest 250 U.S. banks. We find that 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 …