France and General Electric top this week’s Depository Trust & Clearing Corporation’s (DTCC) ranking of the size of sovereign and corporate credit default swaps based on net notional value.
The top movers for the week in sovereigns were Panama, Lativa and Ukraine, who all saw a significant drop in the net notional amount that would be paid out in case of a default.
Kazkommertsbank, the largest bank in Kazakhstan, saw the largest increase in net national amount to be paid out in case of a default.
Top 10 Sovereign Reference Entities by Net Notional according to DTCC (Week ending Aug. 24)
| Net Notional (USD) | Net change (1-week) | Net change (4-weeks) | Net change (1-year) | Gross Notional (USD) | Contracts | |
| FRANCE | 22,345,741,476 | -0.38% | -4.12% | -12.99% | 155,300,537,471 | 7,104 |
| ITALY | 20,764,238,876 | 1.64% | 2.00% | -15.95% | 342,778,053,007 | 10,804 |
| GERMANY | 20,716,150,645 | -2.71% | -6.29% | 17.69% | 135,444,834,793 | 5,462 |
| BRAZIL | 18,956,555,942 | -0.08% | -0.21% | 3.81% | 165,356,264,912 | 10,526 |
| SPAIN | 13,140,596,327 | -1.67% | -3.62% | -28.67% | 181,927,586,618 | 8,205 |
| JAPAN | 11,379,876,708 | 0.55% | 0.92% | 27.68% | 70,844,399,543 | 6,902 |
| UNITED KINGDOM | 11,059,841,995 | 0.21% | 1.20% | -13.34% | 66,230,383,701 | 4,361 |
| CHINA | 9,488,209,113 | 0.54% | 1.79% | 19.75% | 72,781,352,453 | 8,208 |
| MEXICO | 9,133,687,717 | -0.91% | 2.32% | 0.97% | 121,154,716,069 | 9,057 |
| KOREA | 6,738,072,910 | -1.77% | -3.77% | 57.61% | 80,060,426,580 | 8,948 |
Top 10 Corporate Reference Entities by Net Notional according to DTCC (Week ending Aug. 24)
| Net Notional (USD) | Net change (1-week) | Net change (4-weeks) | Net change (1-year) | Gross Notional (USD) | Contracts | |
| GENERAL ELECTRIC | 10,235,395,126 | -0.53% | -0.41% | -7.09% | 84,979,343,333 | 6,772 |
| BERKSHIRE HATHAWAY | 5,578,713,713 | 0.91% | 1.28% | 2.55% | 30,982,141,525 | 3,186 |
| BANK OF AMERICA | 4,848,462,143 | 0.12% | -3.05% | -18.35% | 77,921,005,756 | 8,929 |
| GOLDMAN SACHS | 4,788,121,249 | -0.06% | 1.66% | -12.96% | 76,457,999,473 | 7,529 |
| MORGAN STANLEY | 4,602,557,493 | -1.07% | -2.48% | -7.38% | 78,505,490,974 | 8,049 |
| METLIFE | 4,537,469,093 | 0.06% | -1.76% | -6.83% | 31,687,468,689 | 3,882 |
| WELLS FARGO | 4,510,487,311 | -0.03% | -1.33% | -12.37% | 58,328,770,185 | 6,564 |
| DEUTSCHE BANK | 4,500,801,315 | 3.13% | 4.67% | -17.05% | 56,923,708,530 | 6,857 |
| JPMORGAN CHASE | 4,327,672,422 | -3.02% | -2.90% | -23.42% | 77,188,657,555 | 7,961 |
| BARCLAYS BANK PLC | 3,622,229,297 | 1.02% | 4.59% | -8.72% | 48,476,865,845 | 6,230 |
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.
Top 10 Sovereign Reference Entities by Net Notional Change vs. previous week
| Net Notional (USD) | Net change (1-week) | Net change (4-weeks) | Net change (1-year) | Gross Notional (USD) | Contracts | |
| PANAMA | 407,910,985 | -13.92% | -13.92% | -51.55% | 7,489,715,127 | 1,152 |
| LATVIA | 491,697,605 | -10.26% | -9.51% | -19.86% | 10,718,070,175 | 1,290 |
| UKRAINE | 764,893,335 | -9.54% | -12.06% | -34.16% | 34,788,533,114 | 3,188 |
| KAZAKHSTAN | 904,556,403 | 7.74% | 5.05% | 14.92% | 18,386,140,206 | 1,748 |
| CHILE | 784,959,871 | 7.51% | 19.82% | 42.40% | 6,615,405,680 | 688 |
| SOUTH AFRICA | 2,858,864,967 | 7.39% | 18.53% | 18.80% | 47,896,808,176 | 5,370 |
| ISRAEL | 1,790,239,253 | 6.72% | 17.69% | 40.54% | 12,789,947,320 | 1,496 |
| LITHUANIA | 591,662,875 | 6.06% | 7.89% | -6.54% | 7,694,272,324 | 917 |
| VENEZUELA | 1,962,016,016 | 5.84% | 6.70% | -13.08% | 50,024,150,277 | 4,297 |
| COLOMBIA | 1,575,319,993 | -5.09% | -4.25% | -14.31% | 29,475,017,948 | 2,941 |
Top 10 Corporate Reference Entities by Net Notional Change vs. previous week
| Net Notional (USD) | Net change (1-week) | Net change (4-weeks) | Net change (1-year) | Gross Notional (USD) | Contracts | |
| Kazkommertsbank (JSC) | 358,391,441 | 13.08% | 5.36% | -34.82% | 9,320,884,724 | 1,092 |
| ENTERPRISE PRODUCTS OPERATING LLC | 366,387,607 | -11.96% | -12.09% | 44.09% | 3,879,490,796 | 821 |
| ODYSSEY RE HOLDINGS | 375,117,777 | 11.00% | 2.68% | -19.95% | 3,446,791,161 | 906 |
| RUSSIAN AG. BANK | 1,177,473,396 | -10.93% | -3.31% | -4.22% | 9,689,890,563 | 718 |
| TEXAS INSTRUMENTS | 286,549,295 | 10.68% | 19.61% | -8.35% | 4,552,007,017 | 819 |
| TOSHIBA | 1,009,079,790 | 10.04% | 12.03% | -27.71% | 8,963,489,976 | 1,500 |
| KOHL'S | 824,108,640 | 9.10% | 18.11% | 4.28% | 14,836,418,646 | 2,471 |
| EXELON GENERATION | 795,002,786 | -8.04% | -11.92% | -20.56% | 7,505,257,039 | 1,360 |
| ANGLO AMERICAN PLC | 1,228,119,189 | 7.60% | 13.19% | -10.41% | 19,020,795,703 | 2,609 |
| CARGILL | 672,272,261 | 6.96% | 13.84% | -33.99% | 7,274,051,479 | 1,497 |
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.
