BHC Gross Interest Rate Hedging

Definition

Total gross notional amount of interest rate derivatives held for purposes other than trading BHCK8725 over total assets BHCK2170; for the period 1995 to 2000, contracts not marked to market BHCK8729 are added.

If $t \in [1995, 2000]$:

$$\text{Gross IR Hedging}_{i,t}=\frac{\text{BHCK8725}_{i,t}+\text{BHCK8729}_{i,t}}{\text{BHCK2170}_{i,t}}$$

Otherwise:

$$\text{Gross IR Hedging}_{i,t}=\frac{\text{BHCK8725}_{i,t}}{\text{BHCK2170}_{i,t}}$$

where BHCK8725, BHCK8729 and BHCK4107 are from the Bank Holding Company data by the Federal Reserve Bank of Chicago.¹

Reference

Rampini, Viswanathan and Vuillemey (2020 JF).

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1. https://www.chicagofed.org/banking/financial-institution-reports/bhc-data. ↩

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Last update: August 1, 2020