Bank Trading Activities Deep Dive Guide¶
Version: 1.0 Last Updated: 2026-01-28 Focus: Schedule HC-D (Trading) and Schedule HC-L (Derivatives) Analysis
Table of Contents¶
- Introduction to Bank Trading Activities
- Schedule HC-D: Trading Assets & Liabilities
- Schedule HC-L: Derivatives and Off-Balance Sheet
- The HC → HC-D → HC-L Linkage
- Call Report Equivalents (RC-D, RC-L)
- FR Y-14 Trading Schedules
- Pillar 3 Market Risk Templates
- Reconciliation Checks
- Major Trading BHCs
- Appendix: Complete Code Tables
1. Introduction to Bank Trading Activities¶
1.1 What is Bank Trading?¶
Bank trading activities involve positions held for: - Market making: Providing liquidity to clients - Proprietary trading: Taking positions for profit (limited post-Volcker) - Hedging: Managing risk from other banking activities - Customer facilitation: Supporting client transactions
1.2 Regulatory Framework¶
Trading activities are governed by multiple regulatory frameworks:
| Regulation | Focus | Key Requirements |
|---|---|---|
| Volcker Rule | Proprietary trading | Restricts prop trading, requires compliance |
| Basel III | Capital | Market risk capital for trading book |
| Dodd-Frank | Derivatives | Central clearing, margin requirements |
| SEC/CFTC | Derivatives | Swap dealer registration, reporting |
1.3 Key Regulatory Filings for Trading¶
| Form | Schedule | Content |
|---|---|---|
| FR Y-9C | HC-D | Trading assets and liabilities |
| FR Y-9C | HC-L | Derivatives notional and fair value |
| FR Y-9C | HC-Q | Fair value hierarchy |
| FR Y-14Q | Schedule G | Trading revenue, VaR |
| Pillar 3 | MR1-MR4 | Market risk disclosures |
1.4 Why Trading Data Matters¶
Understanding bank trading data is essential for:
- Risk Assessment: Evaluating market risk exposure
- Capital Analysis: Understanding trading book capital requirements
- Revenue Analysis: Decomposing bank earnings
- Systemic Risk: Assessing interconnectedness via derivatives
- Volcker Compliance: Monitoring permitted activities
2. Schedule HC-D: Trading Assets & Liabilities¶
2.1 Overview¶
Schedule HC-D provides the detailed breakdown of trading book positions summarized on the main balance sheet (Schedule HC Items 5 and 15).
Schedule HC (Balance Sheet)
├── Item 5: Trading Assets → Detailed in HC-D Items 1-12
└── Item 15: Trading Liabilities → Detailed in HC-D Items 13-15
2.2 Trading Assets Breakdown¶
Securities Held for Trading (Items 1-5)¶
Item 1: U.S. Treasury Securities¶
| MDRM | Period | Scope |
|---|---|---|
| BHCM3531 | 2018-03-31 to present | Domestic + Foreign consolidated |
| BHCK3531 | 1995-03-31 to 2018-03-31 | Domestic only (legacy) |
Content: U.S. Treasury bills, notes, bonds, TIPS held in trading book.
Use: Primary safe-haven trading asset; large positions at major dealers.
Item 2: U.S. Government Agency Obligations¶
| MDRM | Period | Scope |
|---|---|---|
| BHCM3532 | 2018-03-31 to present | Domestic + Foreign consolidated |
| BHCK3532 | 1995-03-31 to 2018-03-31 | Domestic only (legacy) |
Content: FNMA, FHLMC, FHLB, GNMA debt securities (non-MBS).
Item 3: Municipal Securities¶
| MDRM | Period | Scope |
|---|---|---|
| BHCM3533 | 2018-03-31 to present | Domestic + Foreign consolidated |
| BHCK3533 | 1995-03-31 to 2018-03-31 | Domestic only (legacy) |
Content: Securities issued by states and political subdivisions.
Item 4: Mortgage-Backed Securities (MBS)¶
The MBS section underwent major restructuring in 2011:
Current Structure (2011-present):
| Line | Description | MDRM | Start |
|---|---|---|---|
| 4.a.(1) | Residential MBS - GNMA pass-through | BHCKK197 | 2011-03-31 |
| 4.a.(2) | Residential MBS - FNMA/FHLMC pass-through | BHCKK198 | 2011-03-31 |
| 4.b | All other residential MBS | BHCKK199 | 2011-03-31 |
| 4.c.(1) | Commercial MBS - agency issued | BHCKK200 | 2011-03-31 |
| 4.c.(2) | Commercial MBS - all other | BHCKK201 | 2011-03-31 |
Legacy Structure (pre-2011):
| Line | Description | MDRM | End |
|---|---|---|---|
| 4 | MBS pass-through (combined) | BHCK3534 | 2009-03-31 |
| 4 | All other MBS (combined) | BHCK3536 | 2009-03-31 |
Key Distinction: - Agency MBS (K197, K198, K200): Government-backed, lower risk - Non-Agency MBS (K199, K201): Private-label, higher risk, focus during 2008 crisis
Item 5: Other Debt Securities¶
Current Structure (2018-present):
| Line | Description | MDRM | Start |
|---|---|---|---|
| 5.a | Structured financial products | BHCKHT62 | 2018-06-30 |
| 5.b | Other debt securities (incl ABS) | BHCKK202 | 2011-03-31 |
Content: - 5.a: CDOs, CLOs, structured notes, complex products - 5.b: Corporate bonds, ABS, foreign government debt, other
Loans Held for Trading (Item 6)¶
Current Structure (2018-present):
| Line | Description | MDRM | Start |
|---|---|---|---|
| 6.a | 1-4 family residential loans | BHCKHT63 | 2018-06-30 |
| 6.b | Other real estate loans | BHCKHT64 | 2018-06-30 |
| 6.c | Commercial and industrial loans | BHCKF614 | 2008-03-31 |
| 6.d | Consumer loans | BHCKHT65 | 2018-06-30 |
| 6.e | Other loans | BHCKF618 | 2008-03-31 |
Use Cases: - Mortgage trading desks (Items 6.a, 6.b) - Leveraged loan trading (Item 6.c) - Consumer loan securitization flow (Item 6.d)
Other Trading Assets (Item 9)¶
| MDRM | Period | Scope |
|---|---|---|
| BHCM3541 | 2018-03-31 to present | Domestic + Foreign |
| BHCK3541 | 1995-03-31 to 2018-03-31 | Domestic only (legacy) |
Content: Residual trading assets not elsewhere classified: - Equity securities held for trading - Precious metals - Physical commodities - Other
Derivatives with Positive Fair Value (Item 11)¶
| MDRM | Period |
|---|---|
| BHCT3543 | 2009-06-30 to present |
| BHCK3543 | 1995-03-31 to 2018-03-31 (legacy) |
Critical Linkage: This item links to Schedule HC-L fair values.
Formula:
BHCT3543 = Sum of all positive fair value derivatives from HC-L
= Trading positive FV + Non-trading hedge positive FV
= (BHCK8733 + BHCK8734 + BHCK8735 + BHCK8736)
+ (BHCK8741 + BHCK8742 + BHCK8743 + BHCK8744)
Total Trading Assets (Item 12)¶
| MDRM | Period |
|---|---|
| BHCT3545 | 1995-12-31 to present |
Reconciliation Rule:
HC-D Item 12 (BHCT3545) = Schedule HC Item 5 (BHCT3545)
2.3 Trading Liabilities Breakdown¶
Short Positions (Item 13)¶
Short positions were added post-crisis (2009) to increase transparency:
| Line | Description | MDRM | Start |
|---|---|---|---|
| 13.a.(1) | Short positions - Equity securities | BHCKG209 | 2009-03-31 |
| 13.a.(2) | Short positions - Debt securities | BHCKG210 | 2009-03-31 |
| 13.a.(3) | Short positions - All other | BHCKG211 | 2009-03-31 |
| 13.b | Other trading liabilities | BHCKF624 | 2008-03-31 |
Content: - Securities sold short pending delivery - Obligations to return borrowed securities - Other trading book liabilities
Derivatives with Negative Fair Value (Item 14)¶
| MDRM | Period |
|---|---|
| BHCT3547 | 2009-06-30 to present |
| BHCK3547 | 1994-03-31 to present (legacy) |
Formula:
BHCT3547 = Sum of all negative fair value derivatives from HC-L
= Trading negative FV + Non-trading hedge negative FV
= (BHCK8737 + BHCK8738 + BHCK8739 + BHCK8740)
+ (BHCK8745 + BHCK8746 + BHCK8747 + BHCK8748)
Total Trading Liabilities (Item 15)¶
| MDRM | Period |
|---|---|
| BHCT3548 | 1989-09-30 to present |
Reconciliation Rule:
HC-D Item 15 (BHCT3548) = Schedule HC Item 15 (BHCT3548)
2.4 Historical Evolution of HC-D¶
| Period | Change | Impact |
|---|---|---|
| 1995 | Initial structure | Basic trading asset/liability reporting |
| 2008 | Post-crisis expansion | Added loan detail, other trading liab |
| 2009 | Short positions added | Items 13.a added for short sales |
| 2011 | MBS granular breakout | K197-K202 codes added |
| 2018 | Further granularity | HT62-HT65 codes; prefix split |
3. Schedule HC-L: Derivatives and Off-Balance Sheet¶
3.1 Overview¶
Schedule HC-L reports derivatives in two dimensions: 1. Notional amounts: Contract face value by product type 2. Fair values: Mark-to-market value by asset class
3.2 Understanding Notional vs Fair Value¶
| Measure | Definition | Use |
|---|---|---|
| Notional | Face/principal amount of contract | Activity level, exposure |
| Fair Value | Current mark-to-market value | Balance sheet impact |
Example: A $100M interest rate swap at inception: - Notional: $100M - Fair Value: $0 (at-the-money at inception)
After rates move, same swap might have: - Notional: $100M (unchanged) - Fair Value: +$2M (in-the-money) or -$3M (out-of-the-money)
Key Insight: Notional >> Fair Value typically
For G-SIBs, notional amounts can exceed $50 trillion while fair values are in the hundreds of billions.
3.3 Notional Amounts by Product Type¶
Futures (Exchange-Traded)¶
| Asset Class | MDRM | Notes |
|---|---|---|
| Interest Rate | BHCK8693 | Treasury futures, Eurodollar futures |
| Foreign Exchange | BHCK8694 | Currency futures |
| Equity | BHCK8695 | Index futures, single stock futures |
| Commodity/Other | BHCK8696 | Oil, gold, agricultural futures |
Characteristics: - Standardized contracts - Exchange clearing (CCPs) - Daily mark-to-market - Lower counterparty risk
Forwards (OTC)¶
| Asset Class | MDRM | Notes |
|---|---|---|
| Interest Rate | BHCK8697 | FRAs |
| Foreign Exchange | BHCK8698 | FX forwards, spots > 2 days |
| Equity | BHCK8699 | Equity forwards |
| Commodity/Other | BHCK8700 | Commodity forwards |
Characteristics: - Customized contracts - Bilateral counterparty risk - Settlement at maturity
Note: FX forwards (BHCK8698) include spot transactions with settlement > 2 business days.
Swaps¶
| Asset Class | MDRM | Notes |
|---|---|---|
| Interest Rate | BHCK3450 | LARGEST category; fixed-for-floating |
| Cross-Currency | BHCK3826 | Currency swaps |
| Equity | BHCK8719 | Total return swaps on equity |
| Commodity/Other | BHCK8720 | Commodity swaps |
Interest Rate Swaps (BHCK3450): - Largest derivatives category by notional - JPMorgan alone: >$40 trillion notional - Used for ALM hedging, trading, client facilitation
Options¶
Options are reported separately by: - Venue: Exchange vs OTC - Direction: Written (sold) vs Purchased (bought) - Asset Class: IR, FX, Equity, Commodity
| Asset Class | Exch Written | Exch Purch | OTC Written | OTC Purch |
|---|---|---|---|---|
| Interest Rate | BHCK8701 | BHCK8705 | BHCK8709 | BHCK8713 |
| Foreign Exchange | BHCK8702 | BHCK8706 | BHCK8710 | BHCK8714 |
| Equity | BHCK8703 | BHCK8707 | BHCK8711 | BHCK8715 |
| Commodity/Other | BHCK8704 | BHCK8708 | BHCK8712 | BHCK8716 |
Written vs Purchased: - Written (Sold): Bank receives premium, has obligation - Purchased (Bought): Bank pays premium, has right
Credit Derivatives¶
Credit derivatives were added in 2006 (Q1 2006):
| Type | Protection Sold (Guarantor) | Protection Bought (Beneficiary) |
|---|---|---|
| Credit Default Swaps | BHCKC968 | BHCKC969 |
| Total Return Swaps | BHCKC970 | BHCKC971 |
| Other Credit Deriv | BHCKC974 | BHCKC975 |
Credit Default Swaps (CDS): - Protection Sold (C968): Bank is guarantor, assumes credit risk - Protection Bought (C969): Bank is beneficiary, hedges credit risk
Net CDS Position:
Net CDS Exposure = Protection Bought - Protection Sold
= BHCKC969 - BHCKC968
3.4 Fair Values by Asset Class¶
Trading Derivatives¶
| Asset Class | Positive FV | Negative FV |
|---|---|---|
| Interest Rate | BHCK8733 | BHCK8737 |
| Foreign Exchange | BHCK8734 | BHCK8738 |
| Equity | BHCK8735 | BHCK8739 |
| Commodity/Other | BHCK8736 | BHCK8740 |
Positive Fair Value: Derivatives that are in-the-money (assets) Negative Fair Value: Derivatives that are out-of-the-money (liabilities)
Non-Trading Hedges¶
| Asset Class | Positive FV | Negative FV |
|---|---|---|
| Interest Rate | BHCK8741 | BHCK8745 |
| Foreign Exchange | BHCK8742 | BHCK8746 |
| Equity | BHCK8743 | BHCK8747 |
| Commodity/Other | BHCK8744 | BHCK8748 |
Trading vs Non-Trading: - Trading: Held for market making, customer facilitation, (limited) prop trading - Non-Trading Hedges: Designated hedges of banking book items (loans, deposits)
3.5 Netting and Gross vs Net Fair Value¶
Reported fair values are gross (before netting).
Netting: Under ISDA master agreements and CSAs, banks can net: - Positive and negative fair values with same counterparty - Collateral received/posted
Balance Sheet Impact:
Gross Positive FV (HC-L) ≥ Net Derivative Assets (Balance Sheet)
Banks apply netting for balance sheet presentation but report gross in HC-L.
4. The HC → HC-D → HC-L Linkage¶
4.1 Hierarchical Structure¶
Schedule HC (Balance Sheet)
│
├── Item 5: Trading Assets (BHCT3545)
│ │
│ └── Schedule HC-D (Trading Detail)
│ ├── Items 1-5: Securities
│ ├── Item 6: Loans
│ ├── Item 9: Other trading assets
│ ├── Item 11: Derivatives positive FV ─────────┐
│ └── Item 12: TOTAL (= HC Item 5) │
│ │
├── Item 15: Trading Liabilities (BHCT3548) │
│ │ │
│ └── Schedule HC-D (Trading Detail) │
│ ├── Item 13: Short positions & other │
│ ├── Item 14: Derivatives negative FV ─────────┤
│ └── Item 15: TOTAL (= HC Item 15) │
│ │
└───────────────────────────────────────────────────┐ │
│ │
Schedule HC-L (Derivatives Detail) ◄────────────────┴─┘
├── Notional Amounts (by product type)
│ ├── Futures
│ ├── Forwards
│ ├── Swaps
│ ├── Options
│ └── Credit Derivatives
│
└── Fair Values (by asset class)
├── Trading Positive FV ──► Sums to HC-D Item 11
├── Trading Negative FV ──► Sums to HC-D Item 14
├── Non-Trading Positive FV ──► Sums to HC-D Item 11
└── Non-Trading Negative FV ──► Sums to HC-D Item 14
4.2 Key Reconciliation Formulas¶
Trading Assets Derivatives¶
HC-D Item 11 (BHCT3543) = HC-L Trading Pos FV + HC-L Non-Trading Pos FV
Where:
HC-L Trading Pos FV = BHCK8733 + BHCK8734 + BHCK8735 + BHCK8736
HC-L Non-Trading Pos FV = BHCK8741 + BHCK8742 + BHCK8743 + BHCK8744
Trading Liabilities Derivatives¶
HC-D Item 14 (BHCT3547) = HC-L Trading Neg FV + HC-L Non-Trading Neg FV
Where:
HC-L Trading Neg FV = BHCK8737 + BHCK8738 + BHCK8739 + BHCK8740
HC-L Non-Trading Neg FV = BHCK8745 + BHCK8746 + BHCK8747 + BHCK8748
4.3 Notional to Fair Value Relationship¶
Important: Notional amounts do NOT link directly to balance sheet.
The relationship between notional and fair value: - Notional represents contract size (activity level) - Fair value represents economic value (balance sheet) - Fair value is typically << 5% of notional - Fair value can be positive or negative
Example (Illustrative G-SIB):
Interest Rate Swaps:
Notional: $40 trillion
Positive FV: $200 billion (0.5% of notional)
Negative FV: $195 billion
Net FV: $5 billion
5. Call Report Equivalents (RC-D, RC-L)¶
5.1 Parallel Structure¶
Call Report schedules RC-D and RC-L mirror FR Y-9C schedules HC-D and HC-L.
| FR Y-9C | Call Report | Level |
|---|---|---|
| HC-D | RC-D | BHC consolidated → Bank level |
| HC-L | RC-L | BHC consolidated → Bank level |
5.2 MDRM Prefix Conversion¶
| Y-9C Prefix | Call Report Prefix |
|---|---|
| BHCK | RCFD |
| BHCM | RCFD (or RCON) |
| BHCT | RCFD |
Example: - Y-9C Total Trading Assets: BHCT3545 - Call Report Total Trading Assets: RCFD3545
5.3 Key Differences¶
| Aspect | FR Y-9C (HC-D/HC-L) | Call Report (RC-D/RC-L) |
|---|---|---|
| Entity Level | Consolidated BHC | Individual bank |
| Includes | All subsidiaries | Bank only |
| Nonbank Trading | Included | Excluded |
| Foreign Offices | Consolidated | Depends on prefix |
5.4 BHC vs Sum of Banks¶
Warning: BHC trading data ≠ Sum of subsidiary bank data
Reasons: 1. Nonbank trading: Broker-dealer subs trade but aren't banks 2. Eliminations: Intercompany positions eliminated at BHC level 3. Different reporting: Some items differ between forms
6. FR Y-14 Trading Schedules¶
6.1 Overview¶
FR Y-14 provides granular trading data not available in FR Y-9C.
| Form | Schedule | Content | Frequency |
|---|---|---|---|
| Y-14Q | G.1 | Trading Revenue | Quarterly |
| Y-14Q | G.2 | VaR/Stressed VaR | Quarterly |
| Y-14Q | E.1 | Top Counterparties | Quarterly |
| Y-14Q | E.2 | CVA | Quarterly |
6.2 Schedule G.1: Trading Revenue¶
Breaks down trading revenue by: - Product type (IR, FX, Equity, Commodity, Credit) - Revenue component (Bid-ask, Position change, CVA)
Links to FR Y-9C: - Total trading revenue should reconcile to HI trading revenue items
6.3 Schedule G.2: VaR and Stressed VaR¶
Reports: - Daily VaR at 99% confidence - Stressed VaR (crisis period calibration) - VaR breaches/backtesting
Regulatory Use: Determines market risk capital under IMA
6.4 Schedule E.1: Top Counterparties¶
Reports: - Top 50 counterparties by exposure - Gross and net exposure - Collateral
Links to HC-L: Derivatives counterparty exposure detail
6.5 Schedule E.2: CVA¶
Reports: - Credit Valuation Adjustment by counterparty - CVA reserves - CVA capital
7. Pillar 3 Market Risk Templates¶
7.1 Overview¶
Basel III Pillar 3 requires public disclosure of market risk.
| Template | Content |
|---|---|
| MR1 | Market risk under IMA |
| MR2 | RWA flow statement |
| MR3 | IMA VaR values |
| MR4 | VaR comparison to P&L |
7.2 MR1: Market Risk Under Internal Models Approach¶
Reports: - VaR-based capital - Stressed VaR capital - Incremental Risk Charge (IRC) - Comprehensive Risk Measure (CRM) - Total market risk capital
Links to FR Y-9C: Market risk capital in HC-R
7.3 MR3: IMA Values for Trading Portfolios¶
Reports daily VaR at 99%: - Maximum, minimum, average - Period-end value
Links to FR Y-14Q: Schedule G.2 VaR data
7.4 MR4: Comparison of VaR Estimates with Actual P&L¶
Backtesting disclosure: - VaR vs actual P&L chart - Number of exceptions - Model performance assessment
8. Reconciliation Checks¶
8.1 Balance Sheet to Schedule HC-D¶
| Check | Formula | Must Equal |
|---|---|---|
| Trading Assets | HC Item 5 = HC-D Item 12 | Exact match |
| Trading Liabilities | HC Item 15 = HC-D Item 15 | Exact match |
8.2 HC-D to HC-L (Derivatives)¶
| Check | Formula |
|---|---|
| Deriv Pos FV | HC-D Item 11 = Sum(HC-L Trading Pos FV) + Sum(HC-L Non-Trading Pos FV) |
| Deriv Neg FV | HC-D Item 14 = Sum(HC-L Trading Neg FV) + Sum(HC-L Non-Trading Neg FV) |
Detailed:
BHCT3543 = (BHCK8733 + BHCK8734 + BHCK8735 + BHCK8736) +
(BHCK8741 + BHCK8742 + BHCK8743 + BHCK8744)
BHCT3547 = (BHCK8737 + BHCK8738 + BHCK8739 + BHCK8740) +
(BHCK8745 + BHCK8746 + BHCK8747 + BHCK8748)
8.3 HC-D Internal Sums¶
| Check | Formula |
|---|---|
| Trading Assets | HC-D Item 12 = Items 1+2+3+4+5+6+9+11 |
| Trading Liabilities | HC-D Item 15 = Items 13+14 |
8.4 Common Discrepancies¶
| Issue | Cause | Resolution |
|---|---|---|
| Small differences | Rounding | Accept if < $1M |
| Large differences | Reporting error | Flag for review |
| Missing data | Threshold | Bank may not report if below threshold |
| Historical breaks | Code changes | Check HISTORICAL_CODE_TRANSITIONS.csv |
9. Major Trading BHCs¶
9.1 Overview of G-SIB Trading Activity¶
The largest trading operations are concentrated in a few G-SIBs:
| BHC | Trading Assets ($B) | Derivatives Notional ($T) | Primary Focus |
|---|---|---|---|
| JPMorgan Chase | ~600 | ~55 | Universal |
| Goldman Sachs | ~450 | ~45 | Investment bank |
| Morgan Stanley | ~350 | ~35 | Investment bank |
| Bank of America | ~250 | ~40 | Universal |
| Citigroup | ~300 | ~45 | Universal |
| Wells Fargo | ~50 | ~10 | Commercial bank |
9.2 Trading Profile Differences¶
Investment Bank Focused (Goldman, Morgan Stanley)¶
- Trading assets ~30-40% of total assets
- Large equity and commodity trading
- Prime brokerage
- Lower deposit funding
Universal Bank (JPM, BAC, Citi)¶
- Trading assets ~15-20% of total assets
- Large interest rate derivatives (ALM)
- Significant FX operations
- Deposit-funded
Commercial Bank Focused (Wells Fargo)¶
- Trading assets ~3-5% of total assets
- Primarily interest rate hedging
- Limited market-making
- Deposit-funded
9.3 Key RSSD Identifiers¶
| BHC | RSSD ID | Lead Bank RSSD |
|---|---|---|
| JPMorgan Chase & Co. | 1039502 | 852218 (JPM Bank NA) |
| Goldman Sachs Group | 2380443 | 2182786 (GS Bank USA) |
| Morgan Stanley | 2162966 | 1456501 (MS Bank NA) |
| Bank of America Corp | 1073757 | 480228 (Bank of America NA) |
| Citigroup Inc. | 1951350 | 476810 (Citibank NA) |
| Wells Fargo & Co. | 1120754 | 451965 (Wells Fargo Bank NA) |
10. Appendix: Complete Code Tables¶
10.1 HC-D Complete Code Reference¶
See HC_D_TRADING_ASSETS.csv for complete listing.
10.2 HC-L Complete Code Reference¶
See HC_L_DERIVATIVES.csv for complete listing.
10.3 Cross-Reference Summary¶
| Concept | Y-9C MDRM | Call MDRM | HC-D Link | HC-L Link |
|---|---|---|---|---|
| Total Trading Assets | BHCT3545 | RCFD3545 | Item 12 | - |
| Total Trading Liabilities | BHCT3548 | RCFD3548 | Item 15 | - |
| Derivatives Pos FV | BHCT3543 | RCFD3543 | Item 11 | Fair Value Section |
| Derivatives Neg FV | BHCT3547 | RCFD3547 | Item 14 | Fair Value Section |
| IR Swaps Notional | BHCK3450 | RCFD3450 | - | Notional Section |
| CDS Sold | BHCKC968 | RCFDC968 | - | Credit Deriv Section |
| CDS Bought | BHCKC969 | RCFDC969 | - | Credit Deriv Section |
10.4 Data Quality Checklist¶
Before using trading data, verify:
- [ ] Correct MDRM codes for time period
- [ ] Prefix matches desired scope (domestic vs consolidated)
- [ ] HC-D totals match HC balance sheet
- [ ] HC-L fair values sum to HC-D derivatives
- [ ] No unexpected zeros or missing values
- [ ] Historical code transitions handled
Document Control¶
| Version | Date | Author | Changes |
|---|---|---|---|
| 1.0 | 2026-01-28 | N. Anderson | Initial trading activities guide |
End of Trading Activities Guide