Swaps have a 4.5 yr average duration. They will roll off over time and accrete into earnings on a proportional basis. Lower rates would increase the mark to market loss temporarily but it would reverse over time NO MATTER WHAT RATES DID as the swaps have a finite life. Higher rates, of course, would lead to a positive mark to market adjustment. Also, rates can't go below zero. The 5 year treasury is at around 90 bps currently. Can it go to 50 bps in some crazy scenario?--sure, but it is unlikely we have more than 10-15 bps of downside from here, and a ton of upside.