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).
Last update: August 1, 2020