For the first time in weeks, Italy has replaced France 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. France dropped to the number two spot, with a decrease of 3.18% in the amount of net notional to be paid out in case of a default, with Germany ranking third. The corporate side held steady, with General Electric Capital Corp. (0.26% increase from last week), Berkshire Hathaway (0.19% decrease) and Goldman Sachs (1.93% increase) once again landing in the top three spots.
Kazakhstan was the top mover in sovereign debt, with a 19.2% increase in its net notional amount. Qatar saw a smaller, 9.11% increase in its net notional, while Hungary's net notional decreased by 8.66%.
On the corporate side, the top mover was once again Dutch state-owned bank ABN AMRO, whose amount of net notional debt to be paid out in case of a default was down 47.22% from one week ago. Rounding out the top three were Canadian paper producer Domtar Corp. (18.18% increase in net notional) and The Interpublic Group of Companies Inc., an American advertising and public relations firm (14.61% increase in net notional).
| Top 10 Sovereign Reference Entities by Net Notional (Week ending October 19, 2012) | ||||||
| Net Notional (USD EQ) | Net % Change (1 week) | Net % Change (4 weeks) | Net % Change (1 year) | Gross Notional (USD EQ) | Contracts | |
| ITALY | 20,830,696,159 | 0.81% | -0.18% | -5.22% | 378,423,122,737 | 12,447 |
| FRANCE | 20,006,076,795 | -3.18% | -2.85% | -16.57% | 168,463,089,455 | 7,342 |
| GERMANY | 17,642,216,806 | -1.77% | -3.87% | -9.93% | 148,770,106,763 | 5,808 |
| BRAZIL | 17,011,350,699 | -3.24% | -1.78% | -2.57% | 158,897,359,940 | 10,157 |
| SPAIN | 12,938,719,315 | 1.73% | 2.45% | -27.96% | 201,417,801,629 | 9,799 |
| JAPAN | 11,492,545,492 | 0.01% | 0.09% | 25.47% | 79,704,591,857 | 7,884 |
| CHINA | 9,522,104,865 | -1.13% | -3.77% | 2.66% | 75,040,801,497 | 8,033 |
| UNITED KINGDOM | 9,367,511,321 | -1.76% | -8.04% | -26.08% | 71,222,019,046 | 4,665 |
| MEXICO | 9,291,810,617 | 3.94% | 5.48% | 5.30% | 120,657,828,756 | 8,745 |
| SOUTH KOREA | 7,273,071,750 | -0.52% | 5.01% | 41.46% | 81,792,056,680 | 8,876 |
| Top 10 Corporate Reference Entities by Net Notional (Week ending October 19, 2012) | ||||||
| Net Notional (USD EQ) | Net % Change vs 1 Week Ago | Net % Change vs 4 Weeks Ago | Net % Change vs 52 Weeks Ago | Gross Notional (USD EQ) | Contracts | |
| GE CAPITAL CORP. | 9,366,298,429 | 0.26% | 0.86% | -17.27% | 80,648,225,183 | 6,365 |
| BERKSHIRE HATHAWAY | 5,876,866,916 | -0.19% | 3.35% | 10.20% | 31,319,608,350 | 3,154 |
| GOLDMAN SACHS | 4,901,623,576 | 1.93% | 2.74% | -3.38% | 76,768,756,045 | 7,691 |
| BANK OF AMERICA CORP. | 4,583,306,251 | 0.24% | -0.01% | -20.75% | 70,430,663,612 | 8,144 |
| METLIFE, INC. | 4,490,922,203 | 0.11% | 0.65% | -6.01% | 30,806,559,724 | 3,788 |
| DEUTSCHE BANK | 4,419,654,148 | 2.40% | 5.45% | -18.03% | 57,681,377,684 | 6,866 |
| MORGAN STANLEY | 4,412,628,476 | 1.83% | 2.69% | 6.40% | 70,935,969,655 | 7,245 |
| BARCLAYS BANK PLC | 4,169,996,388 | 0.40% | 5.78% | 10.03% | 50,848,492,807 | 6,373 |
| WELLS FARGO & CO. | 4,017,284,792 | 0.39% | -2.15% | -21.36% | 56,381,052,021 | 6,558 |
| JPMORGAN CHASE & CO. | 3,777,626,073 | 0.32% | -2.76% | -32.51% | 68,527,597,518 | 7,100 |
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 | |
| KAZAKHSTAN | 894,605,886 | 19.20% | 18.69% | 18.97% | 17,338,097,609 | 1,713 |
| QATAR | 1,041,475,565 | 9.11% | 5.83% | 74.40% | 9,421,858,593 | 1,343 |
| HUNGARY | 1,770,230,121 | -8.66% | -11.13% | 100.00% | 70,188,530,068 | 6,535 |
| BULGARIA | 601,388,379 | -8.60% | -8.23% | -30.61% | 18,941,322,641 | 2,013 |
| UKRAINE | 876,872,002 | 6.77% | 18.83% | -19.32% | 34,554,599,079 | 3,260 |
| SOUTH AFRICA | 2,662,299,046 | -6.24% | -1.23% | 17.88% | 51,821,159,089 | 5,858 |
| CROATIA | 451,276,179 | -4.24% | -3.76% | -15.77% | 11,542,357,372 | 1,335 |
| MEXICO | 9,291,810,617 | 3.94% | 5.48% | 5.30% | 120,657,828,756 | 8,745 |
| ARGENTINA | 2,393,812,988 | 3.40% | 4.13% | 12.88% | 41,027,525,807 | 3,855 |
| TURKEY | 6,811,471,347 | -3.33% | -0.17% | 48.78% | 143,752,824,063 | 9,802 |
| 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 | 302,125,644 | -47.22% | -64.18% | -67.57% | 2,004,516,967 | 259 |
| DOMTAR CORP. | 433,697,935 | 18.18% | 26.94% | -7.53% | 6,944,506,222 | 1,738 |
| IPG INC. | 263,759,223 | 14.61% | 9.45% | -32.29% | 4,225,638,789 | 1,177 |
| HUSKY ENERGY INC. | 240,497,659 | 14.32% | 14.29% | -17.37% | 2,737,948,070 | 612 |
| SBERBANK | 1,306,061,887 | 14.17% | 37.63% | 80.26% | 17,789,717,357 | 1,807 |
| KAZKOMMERTSBANK | 446,241,014 | 13.69% | 15.15% | -7.33% | 8,284,959,941 | 1,020 |
| ABU DHABI NATIONAL ENERGY CO. | 359,076,135 | -12.26% | -22.49% | -31.28% | 4,445,071,531 | 546 |
| THE ROYAL BANK OF SCOTLAND | 735,389,545 | -11.76% | 28.36% | -0.02% | 15,509,129,452 | 1,997 |
| ING VERZEKERINGEN N.V. | 512,488,947 | -11.03% | -27.71% | -39.83% | 5,859,161,241 | 709 |
| SINGAPORE TELECOMMUNICATIONS LTD. | 203,910,123 | 10.85% | 8.86% | -17.70% | 3,046,475,679 | 652 |
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.
