After falling in the rankings last week, France is once again the country with the highest net exposure on the Depository Trust & Clearing Corporation's (DTCC) weekly ranking of sovereign and corporate credit default swaps based on net notional value. Once again, General Electric Capital Corp. sits atop the corporate list, despite seeing a small, -0.46% drop from one week ago.
The top mover in sovereign debt this week is New Zealand, with a 9.40% increase in its net notional amount from one week ago, followed by Panama with a 9.17% increase. Iceland, on the other hand, saw a -7.71% drop from one week ago in the net notional amount that would be paid out in case of a default.
On the corporate side, the top mover was Credit Suisse USA, which experienced a 24.74% rise in the amount of net notional debt to be paid out in case of a default from one week ago. Rounding out the top three were Dutch gas and electricity supplier ENECO Holding (-17.65% decrease in net notional) and Tenet Healthcare, a health-care delivery systems company based in Dallas (16.07% increase in net notional).
| Top 10 Sovereign Reference Entities by Net Notional (Week ending September 28, 2012) | ||||||
| Net Notional (USD EQ) | Net % Change (1 week) | Net % Change (4 weeks) | Net % Change (1 year) | Gross Notional (USD EQ) | Contracts | |
| FRANCE | 20,631,385,257 | 0.19% | -5.15% | -15.89% | 163,104,492,911 | 7,222 |
| ITALY | 20,595,580,563 | -1.31% | -2.34% | -4.37% | 359,589,628,630 | 11,599 |
| GERMANY | 18,126,377,615 | -1.23% | -10.91% | -3.51% | 140,744,591,396 | 5,648 |
| BRAZIL | 17,461,303,855 | 0.82% | -7.14% | -0.84% | 158,237,247,012 | 10,154 |
| SPAIN | 12,594,853,557 | -0.27% | -5.30% | -27.91% | 194,386,800,067 | 8,972 |
| JAPAN | 11,708,403,326 | 1.97% | 3.86% | 24.00% | 79,455,202,558 | 7,835 |
| CHINA | 9,949,889,023 | 0.55% | 1.69% | 19.24% | 73,785,607,680 | 7,833 |
| UNITED KINGDOM | 9,861,164,125 | -3.20% | -9.15% | -21.16% | 68,245,886,881 | 4,500 |
| MEXICO | 8,872,537,909 | 0.72% | -2.63% | -1.82% | 121,292,580,145 | 8,875 |
| SOUTH KOREA | 7,126,397,942 | 2.89% | -0.06% | 49.30% | 80,155,659,461 | 8,704 |
| Top 10 Corporate Reference Entities by Net Notional (Week ending September 28, 2012) | ||||||
| Net Notional (USD EQ) | Net % Change (1 week) | Net % Change (4 weeks) | Net % Change (1 year) | Gross Notional (USD EQ) | Contracts | |
| GE CAPITAL CORP. | 9,244,291,617 | -0.46% | -9.78% | -15.80% | 81,046,226,451 | 6,403 |
| BERKSHIRE HATHAWAY | 5,748,461,167 | 1.10% | 2.09% | 9.64% | 30,928,868,955 | 3,146 |
| GOLDMAN SACHS | 4,718,142,409 | -1.11% | -2.31% | -8.42% | 75,637,763,248 | 7,557 |
| BANK OF AMERICA | 4,574,659,738 | -0.19% | -5.18% | -21.61% | 74,373,730,375 | 8,622 |
| METLIFE, INC. | 4,477,411,565 | 0.35% | -1.43% | -7.52% | 30,653,931,036 | 3,758 |
| MORGAN STANLEY | 4,306,570,105 | 0.22% | -6.16% | -2.61% | 75,398,955,886 | 7,979 |
| DEUTSCHE BANK | 4,256,425,944 | 1.56% | -5.31% | -18.61% | 56,015,007,405 | 6,756 |
| WELLS FARGO | 4,056,893,712 | -1.18% | -10.35% | -21.66% | 55,780,917,018 | 6,433 |
| BARCLAYS BANK | 3,985,904,431 | 1.11% | 10.39% | 6.86% | 48,549,413,551 | 6,158 |
| JPMORGAN CHASE & CO. | 3,793,355,841 | -2.35% | -12.31% | -31.58% | 71,973,812,830 | 7,581 |
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 | |
| NEW ZEALAND | 577,243,073 | 9.40% | -4.02% | -2.01% | 3,743,120,604 | 427 |
| PANAMA | 474,549,981 | 9.17% | 16.31% | -38.61% | 7,326,833,913 | 1,127 |
| ICELAND | 606,736,297 | -7.71% | -12.67% | -28.24% | 5,862,540,655 | 922 |
| NORWAY | 1,123,148,033 | -7.22% | -7.01% | -6.24% | 9,385,346,267 | 520 |
| CYPRUS | 309,558,346 | -6.90% | -9.28% | 100.00% | 1,872,520,523 | 238 |
| NETHERLANDS | 3,111,366,363 | -6.40% | -14.42% | 4.97% | 30,828,875,463 | 1,727 |
| UKRAINE | 698,026,898 | -5.41% | -9.90% | -39.41% | 34,742,938,255 | 3,272 |
| DENMARK | 2,654,507,792 | -3.98% | -10.63% | -17.27% | 18,536,732,257 | 1,655 |
| PORTUGAL | 4,329,188,494 | -3.68% | -6.00% | -22.20% | 68,674,461,336 | 4,339 |
| TURKEY | 7,048,721,022 | 3.31% | 5.68% | 44.54% | 140,664,402,664 | 9,461 |
| 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 | |
| CREDIT SUISSE (USA) | 443,614,943 | 24.74% | -6.72% | 11.61% | 4,150,242,212 | 587 |
| ENECO HOLDING | 205,496,702 | -17.65% | -12.59% | -5.70% | 1,994,477,144 | 370 |
| TENET HEALTHCARE | 341,099,810 | 16.07% | 24.65% | -17.64% | 5,712,046,672 | 1,446 |
| COMMONWEALTH BANK | 1,083,254,221 | -15.85% | -4.49% | -27.11% | 16,026,857,868 | 1,894 |
| SBERBANK | 1,097,333,093 | 15.63% | 13.21% | 58.88% | 18,202,266,252 | 1,827 |
| MTR CORP. LTD. | 122,362,345 | -14.16% | -22.04% | -20.25% | 1,680,413,874 | 323 |
| INVENSYS PLC | 190,294,236 | 13.24% | 33.72% | -53.87% | 5,707,753,601 | 1,167 |
| HEALTH MANAGEMENT ASSOCIATES, INC. | 210,526,188 | -12.89% | -26.75% | -24.21% | 4,703,510,084 | 1,317 |
| ANZ LTD. | 993,469,391 | -12.85% | -11.34% | -33.00% | 16,478,540,868 | 2,070 |
| RADIOSHACK | 919,896,877 | 12.83% | 15.99% | -11.63% | 20,829,972,920 | 4,025 |
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.
