Once again, France and General Electric topped the list of the latest Depository Trust & Clearing Corporation (DTCC) ranking of sovereign and corporate credit default swaps based on net notional value. France, the top sovereign reference entity, saw a -1.23% drop in net notional value from one week ago, while General Electric experienced a smaller, -0.60%, percent decline.
The top three movers in sovereign debt this week were Sweden (a -11.78% drop in the net notional amount that would be paid out in case of a default), Vietnam (a -7.37% change) and the Czech Republic (a 7.08% increase).
Among corporations, Unitymedia GMBH experienced the biggest change in the net notional amount that would be paid out in case of a default, a whopping -32.90% drop. Mitsubishi Corp. and Petrobras saw more modest increases (10.70% and 10.48%, respectively).
| Top 10 Sovereign Reference Entities by Net Notional (Week ending September 07, 2012) | ||||||
| COUNTRY | Net Notional (USD EQ) | Net % Change (1 week) | Net % Change (4 weeks) | Net % Change (1 year) | Gross Notional (USD EQ) | Contracts |
| FRANCE | 21,486,163,986 | -1.23% | -7.28% | -15.12% | 156,178,572,871 | 7,064 |
| ITALY | 21,033,964,908 | -0.26% | 3.40% | -10.75% | 351,332,795,707 | 11,118 |
| GERMANY | 19,578,099,797 | -3.77% | -11.79% | 7.76% | 136,636,333,595 | 5,389 |
| BRAZIL | 18,755,220,177 | -0.26% | -0.79% | 3.15% | 163,258,269,547 | 10,306 |
| SPAIN | 13,230,643,045 | -0.52% | -1.92% | -26.86% | 185,700,730,963 | 8,371 |
| JAPAN | 11,364,024,510 | 0.80% | 0.36% | 25.75% | 72,261,095,590 | 7,002 |
| UNITED KINGDOM | 10,581,263,395 | -2.52% | -4.12% | -16.30% | 66,108,870,590 | 4,276 |
| CHINA | 9,902,265,783 | 1.21% | 5.34% | 24.22% | 71,249,204,325 | 7,730 |
| MEXICO | 9,144,402,983 | 0.35% | 0.52% | 0.76% | 119,029,990,889 | 8,905 |
| KOREA | 7,074,467,317 | -0.79% | 2.41% | 61.05% | 77,435,825,011 | 8,474 |
| Top 10 Corporate Reference Entities by Net Notional (Week ending September 07, 2012) | ||||||
| CORPORATION | Net Notional (USD EQ) | Net % Change (1 week) | Net % Change (4 weeks) | Net % Change (1 year) | Gross Notional (USD EQ) | Contracts |
| GENERAL ELECTRIC | 10,185,478,161 | -0.60% | -1.05% | -7.88% | 85,191,747,543 | 6,777 |
| BERKSHIRE HATHAWAY | 5,658,105,362 | 0.49% | 2.95% | 6.24% | 31,187,900,328 | 3,205 |
| GOLDMAN SACHS | 4,853,106,097 | 0.49% | 3.70% | -12.40% | 77,552,409,268 | 7,660 |
| BANK OF AMERICA | 4,833,078,206 | 0.18% | -2.14% | -18.88% | 78,395,525,464 | 9,001 |
| MORGAN STANLEY | 4,635,193,189 | 1.00% | -1.78% | -6.27% | 79,352,432,074 | 8,159 |
| DEUTSCHE BANK | 4,593,093,670 | 2.18% | 7.38% | -11.40% | 58,434,611,048 | 6,891 |
| METLIFE, INC. | 4,580,596,707 | 0.84% | 1.93% | -6.78% | 31,818,303,043 | 3,887 |
| WELLS FARGO | 4,520,236,101 | -0.11% | 0.60% | -12.22% | 58,638,723,923 | 6,608 |
| JPMORGAN | 4,229,620,480 | -2.23% | -6.15% | -23.96% | 78,015,533,496 | 8,030 |
| BARCLAYS BANK PLC | 3,811,201,782 | 5.56% | 7.29% | 1.32% | 49,919,851,950 | 6,262 |
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 | ||||||
| COUNTRY | Net Notional (USD EQ) | Net % Change (1 week) | Net % Change (4 weeks) | Net % Change (1 year) | Gross Notional (USD EQ) | Contracts |
| SWEDEN | 1,953,393,079 | -11.78% | -25.54% | -36.08% | 22,384,654,770 | 1,281 |
| VIETNAM | 551,625,147 | -7.37% | -0.74% | -31.40% | 8,997,375,466 | 1,326 |
| CZECH REPUBLIC | 823,393,499 | 7.08% | 3.75% | -7.02% | 14,463,011,538 | 1,227 |
| LITHUANIA | 490,932,159 | -5.43% | -11.10% | -20.56% | 7,760,719,107 | 928 |
| BELGIUM | 4,416,687,237 | -4.93% | -8.99% | -37.10% | 63,692,341,064 | 3,405 |
| PHILIPPINES | 2,125,621,444 | -4.70% | -5.67% | -27.80% | 48,658,049,562 | 5,669 |
| LATVIA | 451,522,612 | -4.37% | -17.56% | -25.34% | 10,747,963,963 | 1,290 |
| GERMANY | 19,578,099,797 | -3.77% | -11.79% | 7.76% | 136,636,333,595 | 5,389 |
| PANAMA | 422,852,702 | 3.64% | -10.76% | -49.41% | 7,520,425,225 | 1,156 |
| MALAYSIA | 1,370,773,510 | 2.94% | -3.89% | -15.38% | 19,088,776,292 | 2,629 |
| Top 10 Corporate Reference Entities by Net Notional Change vs Previous Week | ||||||
| CORPORATION | Net Notional (USD EQ) | Net % Change (1 week) | Net % Change (4 weeks) | Net % Change (1 year) | Gross Notional (USD EQ) | Contracts |
| UNITYMEDIA GMBH | 279,507,476 | -32.90% | -32.28% | -36.52% | 9,707,013,385 | 1,997 |
| MITSUBISHI CORP. | 1,392,375,078 | 10.70% | 19.60% | 79.85% | 6,955,046,296 | 907 |
| PETROBRAS | 2,845,629,745 | 10.48% | 10.49% | 13.38% | 7,851,827,422 | 1,255 |
| KAZKOMMERTSBANK | 399,067,158 | 9.95% | 25.90% | -26.55% | 9,383,688,000 | 1,095 |
| JTI (UK) FINANCE PLC | 471,975,153 | 8.39% | 9.01% | -26.94% | 10,752,113,105 | 1,482 |
| WOODSIDE PETROLEUM LTD. | 369,502,588 | -7.53% | -12.09% | -19.77% | 4,690,311,362 | 735 |
| ASTRAZENECA PLC | 1,056,529,911 | 7.04% | 10.09% | 24.00% | 8,393,257,479 | 1,428 |
| TENAGA NASIONAL BERHAD | 143,795,108 | -6.80% | -7.24% | -12.21% | 2,141,047,464 | 513 |
| MARATHON OIL CORP. | 278,789,605 | -6.52% | -5.47% | -15.99% | 5,711,934,856 | 1,232 |
| KINDER MORGAN ENERGY PARTNERS | 715,127,925 | 6.15% | 3.01% | -8.78% | 9,942,039,908 | 1,798 |
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.
