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. The corporate side also held steady, with General Electric Capital Corp. (0.30% increase from last week), Berkshire Hathaway (0.39% increase) and Goldman Sachs (0.05% increase) once again landing in the top three spots.
It was a more volatile week for Ireland, which was the top mover in sovereign debt with a -8.63% decrease in its net notional amount from one week ago. South Africa and last week's leader Ukraine both saw 5.58% increases in the amount of net notional debt to be paid out in case of a default.
On the corporate side, the top mover was Dutch state-owned bank ABN AMRO, whose amount of net notional debt to be paid out in case of a default was down 37.63% from one week ago. Rounding out the top three were Australian telecommunications company SingTel Optus Pty Ltd. (18.24% increase in net notional) and Woodside Petroleum Ltd., an Australian petroleum exploration and production company (12.01% increase in net notional).
| Top 10 Sovereign Reference Entities by Net Notional (Week ending October 12, 2012) | ||||||
| Net Notional (USD EQ) | Net % Change (1 week) | Net % Change (4 weeks) | Net % Change (1 year) | Gross Notional (USD EQ) | Contracts | |
| FRANCE | 20,663,930,577 | -1.10% | -3.20% | -15.90% | 164,753,547,528 | 7,290 |
| ITALY | 20,662,698,458 | 1.27% | -1.99% | -5.55% | 372,473,000,733 | 12,150 |
| GERMANY | 17,959,527,900 | 0.16% | -6.29% | -7.08% | 146,799,637,109 | 5,786 |
| BRAZIL | 17,580,358,826 | 1.33% | -5.36% | 0.03% | 159,916,805,802 | 10,191 |
| SPAIN | 12,718,729,685 | 3.01% | -4.00% | -28.11% | 198,242,005,839 | 9,374 |
| JAPAN | 11,491,053,279 | -0.47% | -0.63% | 22.97% | 79,735,063,011 | 7,883 |
| CHINA | 9,631,336,737 | -1.07% | -3.88% | 4.70% | 74,315,058,955 | 7,938 |
| UNITED KINGDOM | 9,535,197,044 | -1.00% | -9.92% | -24.30% | 70,710,835,080 | 4,651 |
| MEXICO | 8,939,690,587 | -0.67% | -1.28% | -0.14% | 121,404,048,707 | 8,840 |
| SOUTH KOREA | 7,310,952,714 | 0.45% | 4.54% | 43.12% | 81,374,377,073 | 8,820 |
| Top 10 Corporate Reference Entities by Net Notional (Week ending October 12, 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. | 9,341,625,458 | 0.30% | -8.58% | -16.83% | 80,916,866,656 | 6,372 |
| BERKSHIRE HATHAWAY | 5,888,244,744 | 0.39% | 3.57% | 11.35% | 31,172,603,428 | 3,159 |
| GOLDMAN SACHS | 4,808,654,084 | 0.05% | -2.15% | -6.51% | 76,417,217,054 | 7,652 |
| BANK OF AMERICA | 4,572,126,879 | -0.01% | -6.62% | -20.18% | 70,131,458,464 | 8,119 |
| METLIFE INC. | 4,486,094,642 | -0.19% | -3.42% | -6.91% | 30,914,483,095 | 3,792 |
| MORGAN STANLEY | 4,333,372,143 | 0.56% | -6.24% | 1.68% | 70,396,015,749 | 7,179 |
| DEUTSCHE BANK | 4,316,079,525 | -0.75% | -9.59% | -21.14% | 56,956,099,550 | 6,813 |
| BARCLAYS | 4,153,391,960 | 0.18% | 0.73% | 9.96% | 50,378,566,243 | 6,321 |
| WELLS FARGO & CO. | 4,001,820,208 | -0.81% | -11.86% | -21.78% | 56,104,628,505 | 6,472 |
| JPMORGAN CHASE & CO. | 3,765,438,730 | 0.02% | -11.58% | -32.81% | 68,394,098,224 | 7,094 |
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 | |
| IRELAND | 2,827,428,197 | -8.63% | -12.98% | -32.35% | 48,354,956,561 | 3,351 |
| SOUTH AFRICA | 2,839,448,886 | 5.58% | -1.09% | 20.60% | 51,502,766,185 | 5,832 |
| UKRAINE | 821,247,707 | 5.58% | 6.25% | -29.04% | 34,766,327,738 | 3,270 |
| VIETNAM | 642,830,000 | 5.22% | 11.75% | -17.36% | 8,448,494,400 | 1,261 |
| LITHUANIA | 479,787,871 | 4.58% | -3.18% | -22.93% | 7,854,746,388 | 934 |
| THAILAND | 1,097,277,162 | -4.10% | -0.73% | -15.56% | 14,607,722,023 | 2,162 |
| KAZAKHSTAN | 750,504,698 | 3.90% | -11.15% | 0.08% | 18,354,059,291 | 1,756 |
| SWEDEN | 1,835,854,480 | -3.78% | -7.67% | -40.14% | 22,810,061,470 | 1,290 |
| HUNGARY | 1,938,058,760 | 3.40% | -3.14% | 100.00% | 69,779,424,022 | 6,452 |
| EGYPT | 509,232,371 | -3.31% | -7.94% | -49.12% | 4,121,025,538 | 1,041 |
| 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 | |
| ABN AMRO BANK N.V. | 572,450,808 | -37.63% | -39.20% | -38.49% | 3,562,426,605 | 430 |
| SINGTEL OPTUS PTY LTD. | 204,992,096 | 18.24% | 41.68% | -5.84% | 3,380,768,913 | 552 |
| WOODSIDE PETROLEUM LTD. | 340,388,972 | 12.01% | -3.61% | -22.34% | 4,743,722,657 | 695 |
| BRISA - CONCESSAO RODOVIARIA | 206,709,222 | 11.99% | 8.10% | -18.47% | 1,961,619,282 | 435 |
| CROWN LTD. | 390,850,795 | 10.20% | -12.65% | -20.81% | 5,257,392,571 | 932 |
| REALOGY CORP. | 448,789,000 | -9.86% | -19.01% | -16.33% | 4,924,899,324 | 1,213 |
| XSTRATA PLC | 1,025,989,362 | 8.84% | 1.94% | -18.45% | 16,137,631,066 | 2,398 |
| HEWLETT-PACKARD CO. | 1,846,770,093 | 8.51% | 9.76% | 60.40% | 19,770,083,868 | 3,299 |
| THE HARTFORD | 691,874,177 | -8.24% | -4.51% | -13.85% | 19,756,035,635 | 2,448 |
| DELHAIZE AMERICA | 290,779,907 | -7.89% | 0.06% | 4.34% | 5,102,043,345 | 1,373 |
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.
