RCFD3450: Interest Rate Contracts - Notional Value of All Outstanding Interest Rate Swaps
RCFD3450 is the call report code for interest rate contracts - notional value of all outstanding interest rate swaps, reported on Schedule RC-L, Derivatives and Off-Balance-Sheet Items. For Q2 2026, 80 banks reported it, totaling $149.21T; the median among the 58 with a nonzero amount was $23.00B. The largest value reported for Q2 2026 was $37.03T, by Goldman Sachs Bank USA.
Definition
Includes the notional value of all outstanding interest rate and basis swaps whose predominant risk characteristic is interest rate risk, whether the swap is undertaken by the reporting entity to hedge its own interest rate risk, in an intermediary capacity, or to hold in inventory.An interest rate swap is a transaction in which two parties agree to exchange payment streams based on a specified notional amount for a specified period. Forward starting swap contracts are reported as swaps. The notional amount of a swap is the underlying principal amount upon which the exchange of interest, foreign exchange or other income or expense is based. The notional amount to be reported for a swap contract with a multiplier component is the contract's effective notional amount. In those cases where the reporting entity is acting as an intermediary, both sides of the transaction are reported. Also excludes all transactions with related depository institutions.
Source: Federal Reserve Micro Data Reference Manual (MDRM). The FFIEC call report instructions remain the authority on how to report the item.
Where RCFD3450 sits on the call report
| Code | RCFD3450 (prefix RCFD, item 3450) |
|---|---|
| Prefix RCFD | The consolidated bank, domestic and foreign offices, reported by FFIEC 031 filers (banks with foreign offices). |
| Schedule | RC-L, Derivatives and Off-Balance-Sheet Items |
| Reported on | FFIEC 031 |
| Value | Dollar amount, reported in thousands, as of the quarter end |
| In the MDRM since | 1985 |
The same item under other prefixes
Item 3450 is also reported under these codes. Which banks file each one depends on the form they file.
| Code | Meaning of the prefix | Banks reporting |
|---|---|---|
| RCON3450 | Domestic offices. Banks without foreign offices (FFIEC 041 and 051 filers) report their whole balance sheet in RCON items | 935 |
Largest reported values, Q2 2026
| Bank | Headquarters | RCFD3450 |
|---|---|---|
| Goldman Sachs Bank USA | New York, NY | $37.03T |
| Morgan Stanley Bank, N.A. | Salt Lake City, UT | $34.32T |
| Citibank, N.A. | Sioux Falls, SD | $26.89T |
| JPMorgan Chase Bank, N.A. | Columbus, OH | $26.79T |
| Bank of America, N.A. | Charlotte, NC | $12.57T |
| Wells Fargo Bank, N.A. | Sioux Falls, SD | $7.18T |
| U.S. Bank N.A. | Cincinnati, OH | $1.10T |
| PNC Bank, N.A. | Wilmington, DE | $608.19B |
| Truist Bank | Charlotte, NC | $369.48B |
| TD Bank, N.A. | Wilmington, DE | $307.85B |
Total reported by quarter
| Quarter end | Banks reporting | Total reported |
|---|---|---|
| June 30, 2026 | 80 | $149.21T |
| March 31, 2026 | 80 | $146.02T |
| December 31, 2025 | 80 | $95.12T |
| September 30, 2025 | 80 | $110.39T |
| June 30, 2025 | 80 | $105.64T |
| March 31, 2025 | 82 | $100.58T |
| December 31, 2024 | 82 | $88.42T |
| September 30, 2024 | 82 | $107.81T |
Related
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