Italy surpassed France for net exposure on the Depository Trust & Clearing Corporation's (DTCC) weekly ranking of sovereign and corporate credit default swaps based on net notional value. On the corporate side, General Electric Capital Corp. stayed on top, despite seeing a -9.12% drop in the net notional amount that would be paid out in case of a default.
Once again, the top mover in sovereign debt this week was Panama, which saw a 16.58% increase in its net notional amount. Rounding out the top three were the United States, with a -12.79% decrease, and New Zealand, with a slightly smaller decrease of -12.51%.
Among corporations, the Mexican telecommunications company America Movil saw a -37.10% decrease in the net notional amount to be paid out in case of a default, edging out French financial services company Score SE, which whose notional amount decreased by -37.01%. Finally, Danish communications company TDC A/S took the third spot, with a -36.74% drop.
| Top 10 Sovereign Reference Entities by Net Notional (Week ending September 21, 2012) | ||||||
| Net Notional (USD EQ) | Net % Change (1 week) | Net % Change (4 weeks) | Net % Change vs (1 year) | Gross Notional (USD EQ) | Contracts | |
| ITALY | 20,868,161,254 | -1.02% | 0.50% | -5.37% | 357,612,298,801 | 11,418 |
| FRANCE | 20,592,308,535 | -3.54% | -7.85% | -15.32% | 159,609,995,995 | 7,117 |
| GERMANY | 18,351,847,937 | -4.24% | -11.41% | 0.34% | 138,929,943,792 | 5,600 |
| BRAZIL | 17,319,068,411 | -6.77% | -8.64% | -1.86% | 156,046,712,837 | 10,119 |
| SPAIN | 12,629,060,132 | -4.68% | -3.89% | -27.68% | 190,290,549,187 | 8,712 |
| JAPAN | 11,482,065,038 | -0.70% | 0.90% | 23.21% | 78,448,196,298 | 7,776 |
| UNITED KINGDOM | 10,186,745,677 | -3.76% | -7.89% | -17.95% | 67,135,260,198 | 4,356 |
| CHINA | 9,895,626,514 | -1.24% | 4.29% | 25.75% | 72,674,761,683 | 7,723 |
| MEXICO | 8,808,739,083 | -2.73% | -3.56% | -3.21% | 119,257,683,761 | 8,832 |
| SOUTH KOREA | 6,926,372,263 | -0.96% | 2.79% | 52.21% | 79,408,641,537 | 8,612 |
| Top 10 Corporate Reference Entities by Net Notional (Week ending September 21, 2012) | ||||||
| Net Notional (USD EQ) | Net % Change (1 week) | Net % Change (4 weeks) | Net % Change (1 year) | Gross Notional (USD EQ) | Contracts | |
| GENERAL ELECTRIC | 9,286,762,415 | -9.12% | -9.27% | -14.38% | 80,983,538,308 | 6,403 |
| BERKSHIRE HATHAWAY | 5,686,153,790 | 0.02% | 1.93% | 8.97% | 30,900,584,949 | 3,150 |
| GOLDMAN SACHS | 4,771,117,552 | -2.92% | -0.36% | -9.25% | 75,108,594,891 | 7,465 |
| BANK OF AMERICA | 4,583,591,317 | -6.39% | -5.46% | -20.31% | 73,773,416,820 | 8,506 |
| DEUTSCHE TELEKOM | 4,461,827,909 | -3.94% | -1.67% | -8.10% | 31,059,548,402 | 3,764 |
| MORGAN STANLEY | 4,297,117,802 | -7.02% | -6.64% | -6.87% | 74,807,221,619 | 7,867 |
| DEUTSCHE BANK | 4,191,216,796 | -12.21% | -6.88% | -19.23% | 56,006,934,624 | 6,685 |
| WELLS FARGO | 4,105,433,063 | -9.57% | -8.98% | -20.68% | 55,260,382,449 | 6,378 |
| BARCLAYS | 3,942,091,991 | -4.40% | 8.83% | 4.14% | 48,428,514,422 | 6,136 |
| JPMORGAN CHASE | 3,884,699,232 | -8.78% | -10.24% | -27.60% | 71,543,945,256 | 7,494 |
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 1 Week Ago | ||||||
| Net Notional (USD EQ) | Net % Change (1 week) | Net % Change (4 weeks) | Net % Change (1 year) | Gross Notional (USD EQ) | Contracts | |
| PANAMA | 434,677,249 | 16.58% | 6.56% | -44.98% | 7,252,516,877 | 1,123 |
| USA | 3,933,244,162 | -12.79% | -8.21% | -28.09% | 21,369,975,639 | 942 |
| NEW ZEALAND | 527,648,395 | -12.51% | -11.98% | -11.44% | 3,672,255,505 | 423 |
| LATVIA | 504,667,164 | 11.89% | 2.64% | -18.75% | 10,707,646,583 | 1,265 |
| CHILE | 688,556,341 | -11.84% | -12.28% | 45.78% | 6,430,989,397 | 669 |
| KAZAKHSTAN | 753,710,592 | -10.77% | -16.68% | -0.93% | 17,726,212,516 | 1,700 |
| RUSSIA | 4,610,130,869 | 10.09% | 9.42% | -0.27% | 111,001,489,097 | 9,228 |
| MALAYSIA | 1,350,809,771 | -8.94% | 0.93% | 6.92% | 18,826,150,416 | 2,508 |
| VENEZUELA | 1,818,801,675 | -8.23% | -7.30% | -23.89% | 48,523,989,115 | 3,996 |
| EGYPT | 511,749,669 | -7.49% | -10.10% | -48.33% | 4,111,107,901 | 1,038 |
| Top 10 Corporate Reference Entities by Net Notional Change vs 1 Week Ago | ||||||
| Net Notional (USD EQ) | Net % Change (1 week) | Net % Change (4 weeks) | Net % Change (1 year) | Gross Notional (USD EQ) | Contracts | |
| AMERICA MOVIL | 250,014,704 | -37.10% | -36.93% | -55.98% | 1,881,729,402 | 264 |
| SCOR | 230,520,088 | -37.01% | -36.50% | -41.36% | 6,685,938,311 | 1,456 |
| TDC A/S | 232,817,576 | -36.74% | -34.26% | -43.71% | 4,022,466,607 | 1,199 |
| NATIONAL AUSTRALIA BANK LIMITED | 1,237,228,166 | -36.41% | -35.36% | -37.47% | 12,173,057,377 | 1,568 |
| ROCHE HOLDINGS, INC. | 278,452,524 | -35.67% | -35.79% | -38.69% | 4,037,969,952 | 714 |
| SINGTEL OPTUS PTY LIMITED | 194,436,331 | 34.38% | 36.81% | -22.78% | 3,309,104,428 | 550 |
| CISCO SYSTEMS, INC. | 468,691,510 | -34.33% | -35.80% | -35.49% | 4,670,732,321 | 641 |
| TRANE INC. | 142,950,176 | -34.13% | -33.91% | -35.68% | 2,172,095,201 | 537 |
| KINDER MORGAN, INC. | 627,614,251 | -28.75% | -28.32% | 100.00% | 7,645,137,328 | 1,733 |
| MITSUBISHI HEAVY INDUSTRIES, LTD. | 527,712,750 | -28.00% | -30.38% | -27.06% | 3,758,209,456 | 599 |
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.
