France and General Electric Capital Corp. continue to sit atop 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 -0.64% drop in net notional value from one week ago, while General Electric experienced a 0.33% increase.
The top mover in sovereign debt this week was Panama, who saw a -11.83% drop in the net notional amount that would be paid out in case of a default. Rounding out the top three were Malaysia, with an 8.22% increase, and Poland, with a smaller, 4.86% increase.
Among corporations, the Italian holding company Compagnie Industriali Riunite S.P.A. (CIR S.P.A.) experienced the largest increase in the net notional amount to be paid in the event of a default (a 16.36% increase). U.S. construction company Vulcan Materials Co. had the second largest change from a week ago (a -13.59% decrease). Finally, mining company Vale Canada Ltd. took the third spot, with a 13.43% increase over last week.
| Top 10 Sovereign Reference Entities by Net Notional (Week ending September 14, 2012) | ||||||
| Net Notional (USD EQ) | Net % Change (1 week) | Net % Change (4 weeks) | Net % Change (1 year) | Gross Notional (USD EQ) | Contracts | |
| FRANCE | 21,348,128,244 | -0.64% | -4.83% | -12.25% | 158,673,318,843 | 7,103 |
| ITALY | 21,082,473,367 | 0.23% | 3.19% | -9.68% | 357,378,488,615 | 11,347 |
| GERMANY | 19,164,367,607 | -2.11% | -10.00% | 4.08% | 138,423,962,293 | 5,547 |
| BRAZIL | 18,576,815,839 | -0.95% | -2.08% | 2.65% | 162,660,077,670 | 10,331 |
| SPAIN | 13,248,714,031 | 0.14% | -0.86% | -25.53% | 188,470,992,571 | 8,582 |
| JAPAN | 11,563,438,971 | 1.75% | 2.17% | 25.51% | 77,878,785,056 | 7,662 |
| UNITED KINGDOM | 10,584,964,595 | 0.03% | -4.09% | -15.22% | 66,664,991,461 | 4,383 |
| CHINA | 10,020,247,692 | 1.19% | 6.18% | 26.94% | 72,693,488,389 | 7,891 |
| MEXICO | 9,055,586,599 | -0.97% | -1.76% | -1.13% | 119,611,008,194 | 8,955 |
| SOUTH KOREA | 6,993,721,339 | -1.14% | 1.95% | 60.15% | 79,295,501,612 | 8,703 |
| Top 10 Corporate Reference Entities by Net Notional (Week ending September 14, 2012) | ||||||
| Net Notional (USD EQ) | Net % Change (1 week) | Net % Change (4 weeks) | Net % Change (1 year) | Gross Notional (USD EQ) | Contracts | |
| GENERAL ELECTRIC | 10,218,895,153 | 0.33% | -0.69% | -8.78% | 85,546,424,633 | 6,782 |
| BERKSHIRE HATHAWAY | 5,685,255,451 | 0.48% | 2.83% | 6.29% | 31,361,224,710 | 3,214 |
| GOLDMAN SACHS | 4,914,430,264 | 1.26% | 2.58% | -10.67% | 79,081,769,258 | 7,777 |
| BANK OF AMERICA | 4,896,348,936 | 1.31% | 1.11% | -18.45% | 78,955,635,631 | 9,038 |
| DEUTSCHE TELEKOM | 4,774,051,771 | 3.94% | 9.40% | -11.04% | 60,455,017,702 | 7,005 |
| METLIFE, INC. | 4,645,003,191 | 1.41% | 2.43% | -4.70% | 32,182,573,698 | 3,906 |
| MORGAN STANLEY | 4,621,778,003 | -0.29% | -0.66% | -5.09% | 79,995,867,757 | 8,224 |
| WELLS FARGO | 4,540,090,821 | 0.44% | 0.63% | -12.94% | 58,998,930,986 | 6,653 |
| JPMORGAN CHASE | 4,258,469,088 | 0.68% | -4.57% | -22.44% | 78,789,213,385 | 8,107 |
| BARCLAYS BANK PLC | 4,123,384,871 | 8.19% | 15.00% | 6.09% | 52,226,845,312 | 6,405 |
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 (1 week) | Net % Change (4 weeks) | Net % Change (1 year) | Gross Notional (USD EQ) | Contracts | |
| PANAMA | 372,849,862 | -11.83% | -21.32% | -53.42% | 7,549,368,505 | 1,169 |
| MALAYSIA | 1,483,429,722 | 8.22% | 7.39% | -6.98% | 19,816,724,400 | 2,724 |
| POLAND | 1,998,099,737 | 4.86% | 5.44% | -10.40% | 45,574,963,977 | 4,293 |
| PHILIPPINES | 2,225,925,566 | 4.72% | -0.07% | -25.93% | 50,009,975,014 | 5,826 |
| EGYPT | 553,176,395 | -4.48% | 1.99% | -43.60% | 4,196,958,856 | 1,030 |
| VIETNAM | 575,222,977 | 4.28% | 3.83% | -28.00% | 9,097,346,313 | 1,336 |
| CROATIA | 483,522,784 | -3.44% | -2.64% | -26.81% | 11,652,166,055 | 1,339 |
| AUSTRALIA | 5,661,264,094 | -3.30% | -4.20% | 11.16% | 35,997,766,608 | 3,545 |
| U.S.A. | 4,510,185,355 | 3.00% | 6.78% | -21.03% | 23,245,683,291 | 1,266 |
| ISRAEL | 1,849,551,614 | 2.89% | 10.26% | 31.69% | 13,053,772,040 | 1,528 |
| Top 10 Corporate Reference Entities by Net Notional Change vs Previous Week | ||||||
| Net Notional (USD EQ) | Net % Change (1 week) | Net % Change (4 weeks) | Net % Change (1 year) | Gross Notional (USD EQ) | Contracts | |
| CIR S.P.A. | 287,285,634 | 16.36% | 20.13% | 0.81% | 6,820,172,554 | 1,320 |
| VULCAN MATERIALS CO. | 375,088,612 | -13.59% | -13.43% | -22.69% | 3,813,784,348 | 680 |
| VALE CANADA LTD. | 209,332,403 | 13.43% | 20.63% | -30.40% | 3,308,034,120 | 812 |
| SPRINT NEXTEL CORP. | 2,006,138,972 | 13.02% | 12.25% | 1.62% | 28,936,271,491 | 4,947 |
| MELIA HOTELS INTERNATIONAL | 494,882,815 | 11.94% | 13.61% | -16.28% | 11,679,665,543 | 2,603 |
| BRISA - CONCESSAO RODOVIARIA | 191,226,914 | 10.70% | 9.63% | -25.72% | 1,803,690,321 | 387 |
| MITSUBISHI CHEMICAL CORP. | 337,676,573 | 10.00% | 12.09% | 100.00% | 1,906,539,229 | 216 |
| BBVA | 2,227,437,293 | 9.70% | 11.87% | -23.77% | 55,924,967,093 | 6,517 |
| BCE INC. | 207,678,713 | -9.65% | -9.71% | -32.33% | 4,248,551,111 | 844 |
| YUM! BRANDS, INC. | 392,554,861 | -8.77% | -8.40% | -35.75% | 8,859,345,597 | 1,706 |
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.
