Top 15 Sovereign and Corporate Credit Default Swaps
France tops the list of net notional credit default swap (CDS) liability in terms of payouts for sovereign entities for the week ending Aug. 10 according to figures compiled by the Depository Trust & Clearing Corporation (DTCC). CDS' on the sovereign debt of Italy and Spain has the most activity based on gross notional amount outstanding. The data in corporate entities show a continued trend of reduced exposure to CDS’ of these firms.
Top 15 Sovereign reference entities by net notional value
|
Reference Entity |
Net Notional (USD EQ) |
Net change (1-week) |
Net change (1-year) |
Gross Notional (USD EQ) |
Contracts |
|
FRANCE |
23,172,743,785 |
-1.31% |
-4.10% |
153,563,690,549 |
6,861 |
|
GERMANY |
22,195,424,669 |
-0.87% |
24.20% |
132,192,132,162 |
5,306 |
|
ITALY |
20,342,553,756 |
-0.18% |
-18.37% |
339,739,094,612 |
10,700 |
|
BRAZIL |
18,903,753,128 |
-0.11% |
7.31% |
169,231,304,134 |
10,885 |
|
SPAIN |
13,489,656,211 |
-1.30% |
-26.50% |
180,395,555,665 |
8,162 |
|
JAPAN |
11,323,080,131 |
0.26% |
26.60% |
70,641,505,388 |
6,858 |
|
UNITED KINGDOM |
11,035,508,590 |
-0.95% |
-11.98% |
65,781,895,795 |
4,353 |
|
CHINA |
9,400,477,055 |
0.10% |
18.12% |
71,561,783,473 |
8,026 |
|
MEXICO |
9,096,795,163 |
-0.57% |
3.28% |
124,722,932,758 |
9,371 |
|
KOREA |
6,907,838,989 |
-1.59% |
65.95% |
78,326,098,525 |
8,823 |
|
TURKEY |
6,235,547,819 |
2.87% |
6.86% |
139,421,608,507 |
9,267 |
|
AUSTRALIA |
5,888,668,248 |
0.05% |
12.66% |
35,963,354,422 |
3,575 |
|
AUSTRIA |
5,163,100,794 |
-3.80% |
-17.57% |
55,173,140,665 |
2,438 |
|
BELGIUM |
4,853,153,488 |
0.01% |
-31.97% |
63,179,336,496 |
3,389 |
|
PORTUGAL |
4,520,739,095 |
0.03% |
-21.25% |
67,211,329,360 |
4,153 |
Top 15 corporate reference entities by net notional value
|
Reference Entity |
Net Notional (USD EQ) |
Net change (1-week) |
Net change (1-year) |
Gross Notional (USD EQ) |
Contracts |
|
GENERAL ELECTRIC |
10,293,998,295 |
-0.14% |
-4.85% |
84,193,225,469 |
6,723 |
|
BERKSHIRE HATHAWAY INC. |
5,496,141,434 |
-0.45% |
2.50% |
31,115,150,853 |
3,187 |
|
BANK OF AMERICA |
4,938,874,072 |
0.03% |
-14.79% |
77,112,732,800 |
8,874 |
|
MORGAN STANLEY |
4,719,325,995 |
-0.53% |
-3.79% |
77,608,716,950 |
7,917 |
|
GOLDMAN SACHS |
4,679,829,597 |
-1.99% |
-20.25% |
75,463,540,686 |
7,450 |
|
JPMORGAN CHASE & CO. |
4,506,687,635 |
0.22% |
-15.19% |
76,341,397,828 |
7,913 |
|
METLIFE, INC. |
4,493,726,264 |
-1.23% |
-6.07% |
32,008,750,805 |
3,932 |
|
WELLS FARGO & COMPANY |
4,493,365,884 |
-0.94% |
-9.85% |
58,166,934,164 |
6,544 |
|
DEUTSCHE BANK |
4,277,346,795 |
-1.12% |
-17.27% |
55,754,400,540 |
6,821 |
|
BARCLAYS BANK PLC |
3,552,137,323 |
0.32% |
-11.33% |
47,499,528,182 |
6,180 |
|
UNICREDIT, SOCIETA PER AZIONI |
3,415,377,109 |
-1.01% |
-33.28% |
40,877,194,461 |
5,672 |
|
TELEFONICA, S.A. |
3,403,682,555 |
-0.75% |
-18.78% |
44,476,520,126 |
5,390 |
|
VOLKSWAGEN |
3,149,907,033 |
-1.56% |
-16.57% |
41,468,773,898 |
5,134 |
|
CITIGROUP INC. |
2,983,071,344 |
2.08% |
-26.14% |
60,839,012,707 |
6,043 |
|
DEUTSCHE TELEKOM AG |
2,917,943,251 |
-2.39% |
-15.95% |
49,395,900,318 |
5,525 |
Top 10 Sovereign Entities by Net Notional Change vs. 4 Weeks Ago
|
Reference Entity |
Net Notional (USD EQ) |
Net % Change vs 4 Weeks Ago |
Contracts |
|
REPUBLIC OF KAZAKHSTAN |
846,120,900 |
-14.52% |
1,787 |
|
REPUBLIC OF POLAND |
1,859,376,639 |
13.80% |
4,220 |
|
SOCIALIST REPUBLIC OF VIETNAM |
555,714,937 |
-10.57% |
1,332 |
|
UKRAINE |
830,584,827 |
7.61% |
3,247 |
|
HUNGARY |
1,886,946,795 |
-7.58% |
6,456 |
|
REPUBLIC OF SLOVENIA |
674,238,867 |
-7.51% |
583 |
|
REPUBLIC OF SOUTH AFRICA |
2,543,431,873 |
7.13% |
5,274 |
|
REPUBLIC OF TURKEY |
6,235,547,819 |
6.99% |
9,267 |
|
BOLIVARIAN REPUBLIC OF VENEZUELA |
1,799,233,042 |
-6.60% |
4,416 |
|
REPUBLIC OF CHILE |
705,089,281 |
6.59% |
699 |
Top 10 Corporate Entities by Net Notional Change vs. 4 Weeks Ago
|
Reference Entity |
Net Notional (USD EQ) |
Net % Change vs 4 Weeks Ago |
Contracts |
|
ORACLE CORPORATION |
252,996,876 |
26.60% |
643 |
|
PETROLEOS DE VENEZUELA, S.A. |
564,556,600 |
-25.92% |
385 |
|
BUNGE LIMITED FINANCE CORP. |
290,169,843 |
25.61% |
465 |
|
CANON INC. |
365,948,283 |
24.10% |
298 |
|
AKTIEBOLAGET ELECTROLUX |
950,074,863 |
-23.15% |
3,331 |
|
FUJITSU LIMITED |
620,772,760 |
22.98% |
832 |
|
GENON ENERGY, INC. |
330,005,433 |
-22.47% |
1,255 |
|
KAWASAKI HEAVY INDUSTRIES, LTD. |
463,594,774 |
20.93% |
622 |
|
OJI PAPER CO., LTD. |
678,901,683 |
20.77% |
481 |
|
ENI S.P.A. |
1,165,933,428 |
20.03% |
1,736 |
The net notional amount represents the maximum that would have to be paid in the event of a default by the entity, assuming netting across trade counterparties’ families. The gross notional amount represents the value of all active CDS contracts, including offsetting contracts. The Top 10 volume movers show the reference entities with the largest notional movement for the week.
The Depository Trust & Clearing Corporation (DTCC) is publishing weekly data on credit default swaps (CDS) contracts for both sovereign and corporate reference entities. DTCC’s Trade Information Warehouse contains approximately 98% of all CDS trades executed globally. This information is publicly available on DTCC’s website, www.dtcc.com.
