France and General Electric remained atop the list of the latest Depository Trust & Clearing Corporation (DTCC) ranking of sovereign and corporate credit default swaps based on net notional value.
The biggest movers this week among sovereign entities were Lithuania, Peru and Kazakhstan, who all saw drops of between 7.36% and 12.26% in the net notional amount that would be paid out in the event of a default.
On the corporate side, New Zealand telecommunications company Chorus Ltd., Japanese trading company Sumimoto Corp., and Codere Finance (Luxembourg) S.A. saw the biggest increases in the amount of net notional to be paid out in case of a default.
| Top 10 Sovereign Reference Entities by Net Notional according to DTCC (Week ending August 31, 2012) | ||||||
| Net Notional (USD EQ) | Net change (1-week) | Net change (4-weeks) | Net change (1-year) | Gross Notional (USD EQ) | Contracts | |
| FRANCE | 21,752,700,987 | -2.65% | -7.36% | -14.35% | 155,384,790,878 | 7,101 |
| ITALY | 21,089,055,221 | 1.56% | 3.49% | -13.42% | 345,494,923,108 | 10,905 |
| GERMANY | 20,345,854,309 | -1.79% | -9.13% | 11.54% | 136,142,356,136 | 5,463 |
| BRAZIL | 18,804,365,914 | -0.80% | -0.63% | 2.32% | 164,046,085,571 | 10,349 |
| SPAIN | 13,299,885,784 | 1.21% | -2.69% | -27.39% | 182,573,753,651 | 8,240 |
| JAPAN | 11,273,488,337 | -0.93% | -0.17% | 27.08% | 71,829,409,263 | 6,982 |
| UNITED KINGDOM | 10,854,667,531 | -1.86% | -2.57% | -14.45% | 66,322,294,396 | 4,370 |
| CHINA | 9,784,318,404 | 3.12% | 4.19% | 24.45% | 69,625,594,188 | 7,639 |
| MEXICO | 9,112,474,309 | -0.23% | -0.40% | 0.28% | 119,835,143,290 | 8,963 |
| KOREA | 7,130,743,748 | 5.83% | 1.58% | 66.23% | 76,168,425,018 | 8,361 |
| Top 10 Corporate Reference Entities by Net Notional according to DTCC (Week ending August 31, 2012) | ||||||
| Net Notional (USD EQ) | Net change (1-week) | Net change (4-weeks) | Net change (1-year) | Gross Notional (USD EQ) | Contracts | |
| GENERAL ELECTRIC | 10,246,668,742 | 0.11% | -0.60% | -7.73% | 84,745,706,308 | 6,733 |
| BERKSHIRE HATHAWAY | 5,630,741,330 | 0.93% | 1.99% | 4.16% | 31,047,016,013 | 3,186 |
| GOLDMAN SACHS | 4,829,615,219 | 0.87% | 1.14% | -12.29% | 77,140,159,601 | 7,625 |
| BANK OF AMERICA | 4,824,614,349 | -0.49% | -2.28% | -19.21% | 78,054,153,956 | 8,976 |
| MORGAN STANLEY | 4,589,495,826 | -0.28% | -3.27% | -6.21% | 78,965,571,029 | 8,101 |
| METLIFE | 4,542,302,122 | 0.11% | -0.16% | -6.55% | 31,646,036,314 | 3,871 |
| WELLS FARGO | 4,525,183,759 | 0.33% | -0.24% | -14.92% | 58,544,382,552 | 6,605 |
| DEUTSCHE BANK | 4,495,134,032 | -0.13% | 3.92% | -16.09% | 57,354,186,649 | 6,875 |
| JPMORGAN CHASE | 4,325,884,212 | -0.04% | -3.80% | -22.66% | 77,586,340,832 | 8,008 |
| BARCLAYS BANK PLC | 3,610,613,750 | -0.32% | 1.97% | -9.62% | 48,763,667,020 | 6,233 |
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 EQ) | Net % Change vs 1 Week Ago | Net % Change vs 4 Weeks Ago | Net % Change vs 52 Weeks Ago | Gross Notional (USD EQ) | Contracts | |
| LITHUANIA | 519,104,612 | -12.26% | -5.61% | -17.71% | 7,715,647,070 | 922 |
| PERU | 1,652,649,068 | -8.69% | -5.85% | -14.56% | 24,879,893,998 | 2,630 |
| KAZAKHSTAN | 837,970,495 | -7.36% | -2.67% | 5.84% | 18,522,059,691 | 1,754 |
| SWEDEN | 2,214,337,613 | -6.52% | -15.73% | -27.30% | 22,355,882,428 | 1,279 |
| KOREA | 7,130,743,748 | 5.83% | 1.58% | 66.23% | 76,168,425,018 | 8,361 |
| VIETNAM | 595,491,054 | 5.08% | 7.16% | -26.26% | 8,923,821,041 | 1,319 |
| LATVIA | 472,138,570 | -3.98% | -13.90% | -22.15% | 10,738,118,600 | 1,293 |
| CHINA | 9,784,318,404 | 3.12% | 4.19% | 24.45% | 69,625,594,188 | 7,639 |
| SAUDI ARABIA | 502,582,573 | 3.09% | 3.12% | 9.74% | 2,600,592,773 | 282 |
| FRANCE | 21,752,700,987 | -2.65% | -7.36% | -14.35% | 155,384,790,878 | 7,101 |
| Top 10 Corporate Reference Entities by Net Notional Change vs previous week | ||||||
| Net Notional (USD EQ) | Net % Change vs 1 Week Ago | Net % Change vs 4 Weeks Ago | Net % Change vs 52 Weeks Ago | Gross Notional (USD EQ) | Contracts | |
| CHORUS LTD. | 353,273,089 | 8.12% | 7.35% | 100.00% | 6,076,684,146 | 2,039 |
| SUMITOMO CORP. | 762,898,772 | 8.02% | 6.00% | -11.95% | 6,115,726,800 | 922 |
| CODERE FINANCE (LUXEMBOURG) S.A. | 297,907,638 | 7.32% | 7.56% | -37.56% | 9,207,096,025 | 2,223 |
| MARKS AND SPENCER P.L.C. | 1,072,911,341 | -6.84% | -5.92% | -42.35% | 26,501,900,260 | 4,016 |
| AMKOR TECHNOLOGY | 243,563,951 | -6.37% | -11.10% | -32.73% | 4,068,459,179 | 1,268 |
| MITSUI CHEMICALS | 428,636,207 | 6.07% | 9.71% | 22.13% | 3,411,273,669 | 508 |
| SUMITOMO MITSUI BANKING | 457,306,131 | -5.99% | -11.44% | -29.08% | 8,992,231,076 | 1,501 |
| PROMISE CO. | 533,678,231 | 5.64% | 9.64% | -20.74% | 12,838,619,790 | 2,182 |
| OWENS-ILLINOIS | 231,040,421 | 5.49% | 14.12% | -34.82% | 2,561,393,538 | 718 |
| MITSUI & CO. | 873,282,273 | 5.47% | 4.12% | 6.51% | 6,327,864,388 | 972 |
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.
