This project analyzes the effectiveness of employing interest rate swaps to weather U.S. monetary announcement effects. This study presents the evidence that there are benefits for fixed-rate payers when the Fed tightens the money supply, but the expected adverse effects on floating-rate payers are not observed. First, this paper shows that assets prices react to the surprising component of the federal funds rate changes rather than the raw interest fluctuations. Second, this paper illustrates the heterogeneous stock returns in response to monetary surprises at both industry and firm levels. Finally, this study explains the sensitivities of the stock returns by companies’ balance sheet information in conjunction with their positions in interest rate swaps contracts.