Schedule HC-L: Derivatives and Off-Balance Sheet Items Guide
Form: FR Y-9C (Consolidated Financial Statements for Holding Companies)
Schedule: HC-L - Derivatives and Off-Balance Sheet Items
Frequency: Quarterly
Purpose: Detail derivative positions (notional and fair value) and off-balance sheet exposures
Overview
Schedule HC-L is the primary schedule for derivatives reporting, providing:
- Notional amounts by product type and asset class
- Fair values (positive and negative) by asset class
- Off-balance sheet commitments (unfunded commitments, letters of credit, etc.)
Key Distinction: Notional vs. Fair Value
| Measure |
Definition |
Balance Sheet Impact |
| Notional |
Face/principal amount of contract |
None (off-balance sheet) |
| Fair Value |
Current mark-to-market value |
On balance sheet (HC-D Items 11/14) |
Typical relationship: Fair Value << 5% of Notional
Schedule Structure
The current FR Y-9C HC-L is a single numbered schedule (items 1-15, plus memoranda). The CSV
is keyed by line_number and column to reflect the official grid. Off-balance-sheet items come
first (1-9); derivatives notional, totals, fair values, and credit exposure follow (7, 11-15).
OFF-BALANCE-SHEET (items 1-9)
├── 1. Unused commitments (1.a HELOC, 1.b credit cards, 1.c CRE/construction,
│ 1.d underwriting, 1.e other incl. new 2026Q1 nondepository-FI breakout PV10-PV16)
├── 2. Financial standby letters of credit (+ 2.a conveyed)
├── 3. Performance standby letters of credit (+ 3.a conveyed)
├── 4. Commercial and similar letters of credit
├── 6. Securities lent (6.a) / borrowed (6.b)
├── 7. Credit derivatives (notional sold/bought, gross FV, by maturity & rating)
├── 8. Spot foreign exchange contracts
└── 9. All other off-balance-sheet items (+ itemized 9.a-9.f)
DERIVATIVES (items 11-15), columns A=Interest Rate, B=Foreign Exchange, C=Equity, D=Commodity/Other
├── 11. Notional by instrument (futures, forwards, options, swaps)
├── 12. Total gross notional held for trading
├── 13. Total gross notional held for purposes other than trading
├── 14. Gross positive/negative fair value (a = trading, b = non-trading) -> HC-D items 11/14
└── 15. OTC derivatives net current credit exposure (15.a) and fair value of collateral (15.b),
columns A-E by counterparty type (banks/securities firms, monoline guarantors,
hedge funds, sovereign governments, corporations and all other)
Part I: Derivatives - Notional Amounts
Interest Rate Derivatives
| Product |
MDRM |
Call MDRM |
Description |
| Futures |
BHCK8693 |
RCFD8693 |
Exchange-traded IR futures |
| Forwards |
BHCK8697 |
RCFD8697 |
OTC IR forwards (FRAs) |
| Swaps |
BHCK3450 |
RCFD3450 |
Interest rate swaps |
| Options Written (Exchange) |
BHCK8701 |
RCFD8701 |
Sold IR options |
| Options Purchased (Exchange) |
BHCK8705 |
RCFD8705 |
Bought IR options |
| Options Written (OTC) |
BHCK8709 |
RCFD8709 |
Sold IR swaptions/caps |
| Options Purchased (OTC) |
BHCK8713 |
RCFD8713 |
Bought IR swaptions/caps |
Interest Rate Swaps (BHCK3450): Largest category by notional; G-SIBs have $40-50 trillion each.
Foreign Exchange Derivatives
| Product |
MDRM |
Call MDRM |
Description |
| Futures |
BHCK8694 |
RCFD8694 |
Exchange-traded FX futures |
| Forwards |
BHCK8698 |
RCFD8698 |
FX forwards (spots > 2 days) |
| Swaps |
BHCK3826 |
RCFD3826 |
Cross-currency swaps |
| Options Written (Exchange) |
BHCK8702 |
RCFD8702 |
|
| Options Purchased (Exchange) |
BHCK8706 |
RCFD8706 |
|
| Options Written (OTC) |
BHCK8710 |
RCFD8710 |
|
| Options Purchased (OTC) |
BHCK8714 |
RCFD8714 |
|
Equity Derivatives
| Product |
MDRM |
Call MDRM |
Description |
| Futures |
BHCK8695 |
RCFD8695 |
Index futures, single stock |
| Forwards |
BHCK8699 |
RCFD8699 |
Equity forwards |
| Swaps |
BHCK8719 |
RCFD8719 |
Total return swaps on equity |
| Options Written (Exchange) |
BHCK8703 |
RCFD8703 |
|
| Options Purchased (Exchange) |
BHCK8707 |
RCFD8707 |
|
| Options Written (OTC) |
BHCK8711 |
RCFD8711 |
|
| Options Purchased (OTC) |
BHCK8715 |
RCFD8715 |
|
Commodity Derivatives
| Product |
MDRM |
Call MDRM |
Description |
| Futures |
BHCK8696 |
RCFD8696 |
Oil, gold, agricultural |
| Forwards |
BHCK8700 |
RCFD8700 |
Commodity forwards |
| Swaps |
BHCK8720 |
RCFD8720 |
Commodity swaps |
| Options Written (Exchange) |
BHCK8704 |
RCFD8704 |
|
| Options Purchased (Exchange) |
BHCK8708 |
RCFD8708 |
|
| Options Written (OTC) |
BHCK8712 |
RCFD8712 |
|
| Options Purchased (OTC) |
BHCK8716 |
RCFD8716 |
|
Credit Derivatives
| Product |
Position |
MDRM |
Call MDRM |
| CDS |
Protection Sold (Guarantor) |
BHCKC968 |
RCFDC968 |
| CDS |
Protection Bought (Beneficiary) |
BHCKC969 |
RCFDC969 |
| TRS |
Protection Sold |
BHCKC970 |
RCFDC970 |
| TRS |
Protection Bought |
BHCKC971 |
RCFDC971 |
| Other |
Protection Sold |
BHCKC974 |
RCFDC974 |
| Other |
Protection Bought |
BHCKC975 |
RCFDC975 |
Net CDS Position:
Net CDS Exposure = Protection Bought - Protection Sold
= BHCKC969 - BHCKC968
Positive = Net buyer of protection (hedged/risk-off)
Negative = Net seller of protection (risk-on)
Part I: Derivatives - Fair Values
Trading Derivatives - Positive Fair Value
| Asset Class |
MDRM |
Call MDRM |
Links To |
| Interest Rate |
BHCK8733 |
RCFD8733 |
HC-D Item 11 |
| Foreign Exchange |
BHCK8734 |
RCFD8734 |
HC-D Item 11 |
| Equity |
BHCK8735 |
RCFD8735 |
HC-D Item 11 |
| Commodity |
BHCK8736 |
RCFD8736 |
HC-D Item 11 |
Trading Derivatives - Negative Fair Value
| Asset Class |
MDRM |
Call MDRM |
Links To |
| Interest Rate |
BHCK8737 |
RCFD8737 |
HC-D Item 14 |
| Foreign Exchange |
BHCK8738 |
RCFD8738 |
HC-D Item 14 |
| Equity |
BHCK8739 |
RCFD8739 |
HC-D Item 14 |
| Commodity |
BHCK8740 |
RCFD8740 |
HC-D Item 14 |
Non-Trading Hedges - Positive Fair Value
| Asset Class |
MDRM |
Call MDRM |
Links To |
| Interest Rate |
BHCK8741 |
RCFD8741 |
HC-D Item 11 |
| Foreign Exchange |
BHCK8742 |
RCFD8742 |
HC-D Item 11 |
| Equity |
BHCK8743 |
RCFD8743 |
HC-D Item 11 |
| Commodity |
BHCK8744 |
RCFD8744 |
HC-D Item 11 |
Non-Trading Hedges - Negative Fair Value
| Asset Class |
MDRM |
Call MDRM |
Links To |
| Interest Rate |
BHCK8745 |
RCFD8745 |
HC-D Item 14 |
| Foreign Exchange |
BHCK8746 |
RCFD8746 |
HC-D Item 14 |
| Equity |
BHCK8747 |
RCFD8747 |
HC-D Item 14 |
| Commodity |
BHCK8748 |
RCFD8748 |
HC-D Item 14 |
HC-D Derivative Assets (Item 11)
BHCM3543 (HC-D item 11) = Trading Positive FV + Non-Trading Positive FV
= (BHCK8733 + BHCK8734 + BHCK8735 + BHCK8736) [HC-L item 14.a.(1)]
+ (BHCK8741 + BHCK8742 + BHCK8743 + BHCK8744) [HC-L item 14.b.(1)]
HC-D Derivative Liabilities (Item 14)
BHCK3547 (HC-D item 14) = Trading Negative FV + Non-Trading Negative FV
= (BHCK8737 + BHCK8738 + BHCK8739 + BHCK8740) [HC-L item 14.a.(2)]
+ (BHCK8745 + BHCK8746 + BHCK8747 + BHCK8748) [HC-L item 14.b.(2)]
Part II: Off-Balance Sheet Items
Unused Commitments (item 1)
| Line |
MDRM |
Description |
| 1.a |
BHCK3814 |
Revolving open-end loans secured by 1-4 family residential (HELOCs) |
| 1.b.(1) |
BHCKJ455 |
Unused consumer credit card lines |
| 1.b.(2) |
BHCKJ456 |
Other unused credit card lines |
| 1.c.(1) |
BHCK3816 |
Commitments to fund CRE/construction/land dev. secured by RE |
| 1.c.(2) |
BHCK6550 |
Same, NOT secured by real estate |
| 1.d |
BHCK3817 |
Securities underwriting |
| 1.e.(1) |
BHCKJ457 |
Other unused commitments - C&I loans |
| 1.e.(2) |
BHCKPV10 |
Loans to depository financial institutions (new 2026Q1) |
| 1.e.(3) |
BHCKPV11 |
Loans to nondepository financial institutions (new 2026Q1; PV12-PV16 detail) |
| 1.e.(4) |
BHCKJ459 |
All other unused commitments |
Letters of Credit (items 2-4)
| Line |
MDRM |
Description |
| 2 |
BHCK6566 |
Financial standby letters of credit and foreign office guarantees |
| 2.a |
BHCK3820 |
Amount conveyed to others |
| 3 |
BHCK6570 |
Performance standby letters of credit and foreign office guarantees |
| 3.a |
BHCK3822 |
Amount conveyed to others |
| 4 |
BHCK3411 |
Commercial and similar letters of credit |
Analytical Considerations
Notional to Fair Value Ratio
FV/Notional Ratio = Gross FV / Notional
Typical range: 0.5% - 3%
Higher ratio indicates:
- More market movement
- More seasoned portfolio
- Potential credit deterioration
Net Fair Value Position
Net Derivatives FV = Positive FV - Negative FV
= BHCM3543 - BHCK3547 (HC-D items 11 and 14)
Positive = Net derivative asset
Negative = Net derivative liability
Credit Derivative Position
Net CDS = Bought - Sold
Positive = Net protection buyer (risk-off)
Negative = Net protection seller (risk-on)
MDRM Quick Reference - Fair Values
| Category |
Positive FV |
Negative FV |
| IR Trading |
BHCK8733 |
BHCK8737 |
| FX Trading |
BHCK8734 |
BHCK8738 |
| Equity Trading |
BHCK8735 |
BHCK8739 |
| Commodity Trading |
BHCK8736 |
BHCK8740 |
| IR Non-Trading |
BHCK8741 |
BHCK8745 |
| FX Non-Trading |
BHCK8742 |
BHCK8746 |
| Equity Non-Trading |
BHCK8743 |
BHCK8747 |
| Commodity Non-Trading |
BHCK8744 |
BHCK8748 |
Item 15: OTC Derivatives Credit Exposure and Collateral
Item 15 is a counterparty-segmented grid. Columns A-E are: A = Banks and securities firms,
B = Monoline financial guarantors, C = Hedge funds, D = Sovereign governments, E = Corporations
and all other counterparties.
| Line |
Description |
Code base (cols A-E) |
| 15.a |
Net current credit exposure |
BHCKG418-G422 |
| 15.b.(1) |
Collateral - Cash (U.S. dollar) |
BHCKG423-G427 |
| 15.b.(2) |
Collateral - Cash (Other currencies) |
BHCKG428-G432 |
| 15.b.(3) |
Collateral - U.S. Treasury securities |
BHCKG433-G437 |
| 15.b.(4) |
Collateral - U.S. govt agency & GSE debt |
BHCKG438-G442 |
| 15.b.(5) |
Collateral - Corporate bonds |
BHCKG443-G447 |
| 15.b.(6) |
Collateral - Equity securities |
BHCKG448-G452 |
| 15.b.(7) |
Collateral - All other |
BHCKG453-G457 |
| 15.b.(8) |
Total fair value of collateral |
BHCKG458-G462 |
Codes are perfectly sequential (G418..G462); the monoline/sovereign columns (G419, G424, ...,
G460) are absent from the field-spec PDF parse but were confirmed via MDRM captions and warehouse
presence (2009-06-30 onward) per the FIELDSPEC_KNOWN_GAPS adjudication rule.
See also: Trading Activities Deep Dive for comprehensive HC-D and HC-L analysis
Last Updated: 2026-06-11 (v8 conceptual-accuracy sweep)
Reference: FR Y-9C field spec (202603), MDRM, and FreeNIC warehouse