RCFDC968: Credit Derivatives: Notional Amounts-credit Default Swaps-guarantor
RCFDC968 is the call report code for credit derivatives: notional amounts-credit default swaps-guarantor, reported on Schedule RC-L, Derivatives and Off-Balance-Sheet Items. For Q2 2026, 80 banks reported it, totaling $2.32T; the median among the 13 with a nonzero amount was $7.91B. The largest value reported for Q2 2026 was $583.12B, by Morgan Stanley Bank, N.A.
Definition
Report the notional amount of all credit default swaps for which the bank is the protection seller. A credit default swap is a contract in which a protection seller or guarantor (risk taker), for a fee, agrees to reimburse a protection purchaser or beneficiary (risk hedger) for any losses that occur due to a credit event on a particular entity, called the 'reference entity.' If there is no credit default event (as defined by the derivative contract), then the protection seller makes no payments to the protection purchaser and receives only the contractually specified fee. Under standard industry definitions, a credit event is normally defined to include bankruptcy, failure to pay, and restructuring. Other potential credit events include obligation acceleration, obligation default, and repudiation/moratorium
Source: Federal Reserve Micro Data Reference Manual (MDRM). The FFIEC call report instructions remain the authority on how to report the item.
Where RCFDC968 sits on the call report
| Code | RCFDC968 (prefix RCFD, item C968) |
|---|---|
| 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 | 2006 |
The same item under other prefixes
Item C968 is also reported under these codes. Which banks file each one depends on the form they file.
| Code | Meaning of the prefix | Banks reporting |
|---|---|---|
| RCONC968 | 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 | RCFDC968 |
|---|---|---|
| Morgan Stanley Bank, N.A. | Salt Lake City, UT | $583.12B |
| JPMorgan Chase Bank, N.A. | Columbus, OH | $572.34B |
| Citibank, N.A. | Sioux Falls, SD | $473.15B |
| Goldman Sachs Bank USA | New York, NY | $400.16B |
| Bank of America, N.A. | Charlotte, NC | $267.50B |
| Wells Fargo Bank, N.A. | Sioux Falls, SD | $10.38B |
| HSBC Bank USA, N.A. | Tysons, VA | $7.91B |
| Flagstar Bank, N.A. | Hicksville, NY | $372.4M |
| U.S. Bank N.A. | Cincinnati, OH | $293.0M |
| Safra National Bank of New York | New York, NY | $48.3M |
Total reported by quarter
| Quarter end | Banks reporting | Total reported |
|---|---|---|
| June 30, 2026 | 80 | $2.32T |
| March 31, 2026 | 80 | $2.49T |
| December 31, 2025 | 80 | $1.92T |
| September 30, 2025 | 80 | $2.22T |
| June 30, 2025 | 80 | $1.88T |
| March 31, 2025 | 82 | $2.00T |
| December 31, 2024 | 82 | $1.61T |
| September 30, 2024 | 82 | $1.88T |
Related
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