RCFDC970: Credit Derivatives: Notional Amounts-total Return Swaps-guarantor
RCFDC970 is the call report code for credit derivatives: notional amounts-total return swaps-guarantor, reported on Schedule RC-L, Derivatives and Off-Balance-Sheet Items. For Q2 2026, 80 banks reported it, totaling $202.74B; the median among the 7 with a nonzero amount was $25.82B. The largest value reported for Q2 2026 was $76.46B, by JPMorgan Chase Bank, N.A.
Definition
Report the notional amount of all total return swaps for which the bank is the protection seller. A total return swap transfers the total economic performance of a reference asset, which includes all associated cash flows, as well as capital appreciation or depreciation. The protection purchaser (beneficiary) receives a floating rate of interest and any depreciation on the reference asset from the protection seller. The protection seller (guarantor) has the opposite profile. The protection seller receives cash flows on the reference asset, plus any appreciation, and it pays any depreciation to the protection purchaser, plus a floating interest rate. A total return swap may terminate upon a default of the reference asset.
Source: Federal Reserve Micro Data Reference Manual (MDRM). The FFIEC call report instructions remain the authority on how to report the item.
Where RCFDC970 sits on the call report
| Code | RCFDC970 (prefix RCFD, item C970) |
|---|---|
| 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 C970 is also reported under these codes. Which banks file each one depends on the form they file.
| Code | Meaning of the prefix | Banks reporting |
|---|---|---|
| RCONC970 | 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 | RCFDC970 |
|---|---|---|
| JPMorgan Chase Bank, N.A. | Columbus, OH | $76.46B |
| Wells Fargo Bank, N.A. | Sioux Falls, SD | $35.21B |
| Goldman Sachs Bank USA | New York, NY | $29.11B |
| Morgan Stanley Bank, N.A. | Salt Lake City, UT | $25.82B |
| Citibank, N.A. | Sioux Falls, SD | $23.65B |
| Bank of America, N.A. | Charlotte, NC | $12.46B |
| KeyBank N.A. | Cleveland, OH | $46.4M |
Total reported by quarter
| Quarter end | Banks reporting | Total reported |
|---|---|---|
| June 30, 2026 | 80 | $202.74B |
| March 31, 2026 | 80 | $191.88B |
| December 31, 2025 | 80 | $145.09B |
| September 30, 2025 | 80 | $109.99B |
| June 30, 2025 | 80 | $93.92B |
| March 31, 2025 | 82 | $96.42B |
| December 31, 2024 | 82 | $71.64B |
| September 30, 2024 | 82 | $68.08B |
Related
All codes on Schedule RC-L · All call report schedules · Find the code for a loan type · What a call report is