RCONC971: Credit Derivatives: Notional Amounts-total Return Swaps-beneficiary
RCONC971 is the call report code for credit derivatives: notional amounts-total return swaps-beneficiary, reported on Schedule RC-L, Derivatives and Off-Balance-Sheet Items. For Q2 2026, 935 banks reported it, totaling $718.1M. The largest value reported for Q2 2026 was $718.1M, by Texas Exchange Bank.
Definition
Report the notional amount of all total return swaps those on which the bank is the protection purchaser. 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 RCONC971 sits on the call report
| Code | RCONC971 (prefix RCON, item C971) |
|---|---|
| Prefix RCON | Domestic offices. Banks without foreign offices (FFIEC 041 and 051 filers) report their whole balance sheet in RCON items. |
| Schedule | RC-L, Derivatives and Off-Balance-Sheet Items |
| Reported on | FFIEC 041 |
| Value | Dollar amount, reported in thousands, as of the quarter end |
| In the MDRM since | 2006 |
The same item under other prefixes
Item C971 is also reported under these codes. Which banks file each one depends on the form they file.
| Code | Meaning of the prefix | Banks reporting |
|---|---|---|
| RCFDC971 | The consolidated bank, domestic and foreign offices, reported by FFIEC 031 filers (banks with foreign offices) | 80 |
Largest reported values, Q2 2026
| Bank | Headquarters | RCONC971 |
|---|---|---|
| Texas Exchange Bank | Crowley, TX | $718.1M |
Total reported by quarter
| Quarter end | Banks reporting | Total reported |
|---|---|---|
| June 30, 2026 | 935 | $718.1M |
| March 31, 2026 | 946 | $597.6M |
| December 31, 2025 | 987 | $598.7M |
| September 30, 2025 | 997 | $598.7M |
| June 30, 2025 | 1,015 | $140.4M |
| March 31, 2025 | 1,030 | $148.7M |
| December 31, 2024 | 1,053 | $148.7M |
| September 30, 2024 | 1,057 | $148.7M |
Related
All codes on Schedule RC-L · All call report schedules · Find the code for a loan type · What a call report is