Book Value Risk Management of Banks
Granja, Jiang, Matvos, Piskorski and Seru
Final-sample identifiers

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final_sample_banks.csv
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One row per commercial bank in the 2021:Q4 cross-section
(4887 banks). The unit of observation in every table except
Appendix A3 is a commercial bank; the identifier is the RSSD
entity number, reported by the FFIEC as IDRSSD. Most of these
banks are private and have no CIK or CUSIP.

  idrssd          FFIEC RSSD entity identifier
  rssdhcr_parent  RSSD of the top holding company; blank for a
                  bank that is not part of one
  bank_name       institution name, FFIEC Call Report
  bank_state      state, FFIEC Call Report
  in_table8       1 = in the Table 8 estimation sample
  in_table5       1 = in the Table 5 cross-section
  in_fig5b        1 = in the Figure 5 Panel B histogram
  fhlb            1 = FHLB advance reported, 2021:Q1-2023:Q2
  rc_w            1 = reclassified to HTM in 2022:Q1-2022:Q4
  aoci_include    1 = includes AOCI in regulatory capital
  risk_q          Risk Score quartile at 2021:Q4

Counts:
  2021:Q4 cross-section            4887
  Table 8 estimation sample        4690
    of which FHLB    (App. A5 A)   3296
    of which non-FHLB (App. A5 B)  1394
  reclassified during tightening    206
  Figure 5 Panel B histogram        183

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final_sample_10k_holdingcos.csv
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One row per bank holding company in the hand-collected 10-K
sample (301 firms), used for the reported asset duration in
Table 1 and Appendix A3 and for the hedging notionals in
Figure 1 Panel B and Appendix A1.

  cik      SEC Central Index Key
  cusip    CUSIP
  rssdhcr  RSSD of the holding company; blank for the 51 firms
           that did not match the PERMCO-to-RSSD link, which
           enter Table 1 and Appendix A1 but not Appendix A3
  name     holding company name

Compustat GVKEY and CRSP PERMCO are not included: they are
vendor identifiers and a mapping between them is licensed.

Join the two files on rssdhcr_parent = rssdhcr.

Item 6 of the data description sheet describes how each
sample is formed and what each source contributes.
