France, Italy and Germany remained atop the list of countries 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. is number one on the corporate list, with an increase of 0.75% from last week, followed by Berkshire Hathaway Inc. and The Goldman Sachs Group Inc.
The top mover in sovereign debt this week is Ukraine, with an 11.44% increase in its net notional amount from one week ago, followed by Vietnam with an 8.91% increase. Venezuela's net notional amount amount also rose, increasing 4.90% this week.
On the corporate side, the top mover was The Royal Bank of Scotland, whose amount of net notional debt to be paid out in case of a default was up 47.01% from one week ago. Rounding out the top three were Australian gaming operator Tabcorp Holdings Ltd. (17.17% increase in net notional) and Tenet Healthcare, a health-care delivery systems company based in Dallas (16.27% increase in net notional).
| Top 10 Sovereign Reference Entities by Net Notional (Week ending October 5, 2012) | ||||||
| Net Notional (USD EQ) | Net % Change (1 week) | Net % Change (4 weeks) | Net % Change (1 year) | Gross Notional (USD EQ) | Contracts | |
| FRANCE | 20,894,586,220 | 1.28% | -2.75% | -15.86% | 164,656,565,151 | 7,281 |
| ITALY | 20,403,776,722 | -0.93% | -3.00% | -6.08% | 369,561,617,344 | 12,005 |
| GERMANY | 17,931,592,013 | -1.07% | -8.41% | -6.79% | 141,956,830,029 | 5,683 |
| BRAZIL | 17,348,846,244 | -0.64% | -7.50% | -0.26% | 159,597,263,645 | 10,185 |
| SPAIN | 12,347,466,431 | -1.96% | -6.68% | -29.14% | 196,405,877,781 | 9,122 |
| JAPAN | 11,545,398,080 | -1.39% | 1.60% | 22.57% | 79,483,494,051 | 7,848 |
| CHINA | 9,735,373,105 | -2.16% | -1.69% | 6.03% | 73,780,568,992 | 7,851 |
| UNITED KINGDOM | 9,631,712,779 | -2.33% | -8.97% | -22.85% | 69,169,548,167 | 4,607 |
| MEXICO | 9,000,138,196 | 1.44% | -1.58% | 0.34% | 121,310,039,554 | 8,851 |
| SOUTH KOREA | 7,277,923,802 | 2.13% | 2.88% | 47.71% | 80,975,850,600 | 8,779 |
| Top 10 Corporate Reference Entities by Net Notional (Week ending October 5, 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. | 9,313,794,024 | 0.75% | -8.56% | -16.47% | 81,005,884,540 | 6,374 |
| BERKSHIRE HATHAWAY | 5,865,576,367 | 2.04% | 3.67% | 11.38% | 31,115,524,760 | 3,158 |
| GOLDMAN SACHS | 4,806,307,776 | 1.87% | -0.96% | -5.92% | 76,172,249,950 | 7,617 |
| BANK OF AMERICA | 4,572,365,093 | -0.05% | -5.39% | -19.89% | 69,964,603,194 | 8,091 |
| METLIFE, INC. | 4,494,579,640 | 0.38% | -1.88% | -7.39% | 30,790,080,091 | 3,787 |
| DEUTSCHE BANK | 4,348,788,642 | 2.17% | -5.32% | -17.95% | 57,141,961,935 | 6,794 |
| MORGAN STANLEY | 4,309,111,791 | 0.06% | -7.03% | -0.21% | 75,729,442,615 | 8,013 |
| BARCLAYS BANK PLC | 4,145,794,574 | 4.01% | 8.78% | 13.91% | 50,244,554,219 | 6,280 |
| WELLS FARGO | 4,034,480,444 | -0.55% | -10.75% | -20.70% | 55,941,664,199 | 6,444 |
| JPMORGAN CHASE & CO. | 3,764,844,002 | -0.75% | -10.99% | -33.00% | 72,173,470,518 | 7,597 |
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 | |
| UKRAINE | 777,854,083 | 11.44% | 3.25% | -33.27% | 34,884,806,690 | 3,283 |
| VIETNAM | 610,940,000 | 8.91% | 10.75% | -21.97% | 8,356,494,400 | 1,247 |
| VENEZUELA | 1,911,787,904 | 4.90% | -3.92% | -17.33% | 48,768,680,312 | 4,012 |
| HUNGARY | 1,874,284,301 | -4.74% | -3.77% | 100.00% | 69,713,504,143 | 6,440 |
| UNITED STATES | 3,678,889,771 | -4.20% | -15.98% | -31.60% | 22,062,337,717 | 956 |
| KAZAKHSTAN | 722,319,808 | -4.16% | -15.32% | -3.97% | 18,132,160,696 | 1,743 |
| LEBANON | 513,962,000 | 4.05% | 3.21% | 2.52% | 1,973,577,900 | 361 |
| BULGARIA | 671,402,953 | 3.46% | 2.35% | -30.96% | 19,387,963,128 | 2,027 |
| SLOVENIA | 687,227,832 | 3.13% | 4.33% | -32.75% | 6,838,655,737 | 612 |
| ISRAEL | 1,858,989,571 | 2.92% | 3.42% | 33.39% | 13,124,741,878 | 1,560 |
| 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 | |
| ROYAL BANK OF SCOTLAND | 834,239,628 | 47.01% | 38.42% | 13.79% | 7,899,143,628 | 1,048 |
| TABCORP HOLDINGS LTD. | 162,374,131 | 17.17% | 13.03% | 5.40% | 2,249,709,389 | 357 |
| TENET HEALTHCARE CORP. | 396,591,051 | 16.27% | 44.64% | -4.07% | 5,860,116,196 | 1,496 |
| ROCHE HOLDINGS, INC. | 302,964,771 | 12.64% | -28.45% | -32.49% | 4,115,365,285 | 720 |
| MMO2 PLC | 221,255,808 | -11.85% | -10.72% | -17.86% | 2,723,120,595 | 802 |
| GLAXOSMITHKLINE | 674,088,846 | 11.32% | 8.96% | 10.95% | 5,073,238,339 | 1,065 |
| WOODSIDE PETROLEUM LTD. | 303,881,847 | -11.14% | -17.76% | -30.31% | 4,673,186,963 | 691 |
| FOREST OIL CORP. | 465,682,790 | 10.85% | -5.38% | 33.05% | 4,774,184,508 | 1,281 |
| SINGTEL OPTUS PTY LTD. | 173,366,453 | -10.53% | 20.93% | -25.11% | 3,345,394,529 | 550 |
| KAWASAKI KISEN KAISHA, LTD. | 305,048,187 | 10.33% | 8.49% | -10.64% | 2,174,243,931 | 558 |
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.
