Italy remained atop France on 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. In the number two spot, France saw a decrease of 5.82% in the amount of net notional to be paid out in case of a default from last week. Once again, Germany ranked third, with a 1.49% decrease in net notional from last week. The corporate side once again held steady, with General Electric Capital Corp. (1.67% decrease from last week), Berkshire Hathaway (2.65% increase) and Goldman Sachs (-0.52% decrease) once again landing in the top three spots.
The top mover this week was Lithuania, with a 6.88% decrease in its amount of net notional. Bulgaria and Argentina saw similar decreases of 6.66% and 6.52% respectively.
On the corporate side, the top mover was Canadian paper producer Domtar Corp., with a 14.56% decrease from one week ago. Rounding out the top three were Singaporean investment company Temasek Holdings Ltd. (12.98% decrease in net notional) and Stanley Black & Decker Inc., an American tool and hardware manufacturer (11.43% increase in net notional).
| Top 10 Sovereign Reference Entities by Net Notional (Week ending October 26, 2012) | ||||||
| Net Notional (USD EQ) | Net % Change (1 week) | Net % Change (4 weeks) | Net % Change (1 year) | Gross Notional (USD EQ) | Contracts | |
| ITALY | 20,315,413,707 | -2.47% | -1.36% | -4.18% | 381,027,238,567 | 12,518 |
| FRANCE | 18,842,221,688 | -5.82% | -8.67% | -21.81% | 173,833,627,851 | 7,424 |
| GERMANY | 17,379,018,061 | -1.49% | -4.12% | -11.10% | 150,115,272,079 | 5,819 |
| BRAZIL | 17,046,700,577 | 0.21% | -2.37% | -3.42% | 158,284,936,419 | 10,102 |
| SPAIN | 12,814,745,599 | -0.96% | 1.75% | -24.32% | 204,979,437,557 | 9,825 |
| JAPAN | 11,594,331,723 | 0.89% | -0.97% | 26.32% | 79,667,933,452 | 7,870 |
| CHINA | 9,388,384,803 | -1.40% | -5.64% | -0.62% | 74,928,652,327 | 8,062 |
| UNITED KINGDOM | 9,304,394,235 | -0.67% | -5.65% | -26.15% | 70,803,678,386 | 4,670 |
| MEXICO | 9,276,291,138 | -0.17% | 4.55% | 8.64% | 120,865,912,711 | 8,736 |
| SOUTH KOREA | 7,112,915,818 | -2.20% | -0.19% | 37.45% | 82,252,367,121 | 8,910 |
| Top 10 Corporate Reference Entities by Net Notional (Week ending October 26, 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. | 9,209,830,782 | -1.67% | -0.37% | -18.51% | 80,918,439,169 | 6,467 |
| BERKSHIRE HATHAWAY | 6,032,496,329 | 2.65% | 4.94% | 12.74% | 31,744,282,763 | 3,211 |
| GOLDMAN SACHS | 4,876,235,259 | -0.52% | 3.35% | -4.23% | 72,719,708,624 | 7,190 |
| METLIFE, INC. | 4,535,981,164 | 1.00% | 1.31% | -4.68% | 30,936,588,805 | 3,832 |
| BANK OF AMERICA CORP. | 4,531,289,992 | -1.13% | -0.95% | -22.39% | 70,736,670,181 | 8,181 |
| MORGAN STANLEY | 4,496,659,591 | 1.90% | 4.41% | 7.06% | 71,441,942,779 | 7,307 |
| DEUTSCHE BANK | 4,426,020,884 | 0.14% | 3.98% | -18.79% | 57,837,273,461 | 6,917 |
| BARCLAYS BANK PLC | 4,113,321,650 | -1.36% | 3.20% | 9.16% | 50,690,999,943 | 6,404 |
| WELLS FARGO & CO. | 3,953,889,388 | -1.58% | -2.54% | -24.48% | 52,112,311,858 | 6,096 |
| JPMORGAN CHASE & CO. | 3,822,362,926 | 1.18% | 0.76% | -31.70% | 68,633,797,914 | 7,122 |
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 | |
| LITHUANIA | 451,241,617 | -6.88% | -3.29% | -27.49% | 7,811,473,469 | 935 |
| BULGARIA | 561,341,506 | -6.66% | -13.50% | -33.55% | 19,041,053,427 | 2,022 |
| ARGENTINA | 2,237,837,232 | -6.52% | -3.02% | 4.18% | 40,749,500,769 | 3,785 |
| FRANCE | 18,842,221,688 | -5.82% | -8.67% | -21.81% | 173,833,627,851 | 7,424 |
| UKRAINE | 925,957,763 | 5.60% | 32.65% | -10.98% | 34,477,638,104 | 3,257 |
| NETHERLANDS | 3,235,338,664 | 5.49% | 3.98% | 3.25% | 31,833,934,764 | 1,755 |
| INDONESIA | 3,530,316,000 | 4.43% | 2.83% | 10.87% | 41,337,404,644 | 5,344 |
| EGYPT | 482,465,575 | -4.32% | -7.52% | -49.08% | 4,158,000,693 | 1,043 |
| CZECH REPUBLIC | 761,482,404 | -4.07% | -4.12% | -15.43% | 14,374,863,604 | 1,224 |
| DENMARK | 2,479,378,874 | -3.59% | -6.60% | -18.34% | 19,112,449,380 | 1,686 |
| 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 | |
| DOMTAR CORP. | 370,561,749 | -14.56% | 5.15% | -19.94% | 7,041,796,129 | 1,758 |
| TEMASEK HOLDINGS LTD. | 228,346,860 | -12.98% | -12.97% | -21.83% | 2,758,605,961 | 489 |
| STANLEY BLACK & DECKER, INC. | 804,981,210 | 11.43% | 11.70% | 17.15% | 10,279,500,213 | 1,878 |
| HEALTH CARE REIT, INC. | 407,064,948 | 10.76% | 11.04% | -2.01% | 3,326,273,406 | 673 |
| AMGEN INC. | 923,830,823 | 10.62% | 6.38% | -28.29% | 14,651,701,940 | 2,122 |
| ENECO HOLDING N.V. | 185,528,279 | -10.09% | -9.72% | -18.45% | 2,028,350,504 | 372 |
| INTERNATIONAL BUSINESS MACHINES CORP. | 1,362,925,705 | 9.80% | 9.77% | -10.59% | 15,827,224,842 | 2,232 |
| UNISYS CORP. | 227,987,397 | 9.67% | 7.15% | -30.64% | 3,448,738,073 | 1,032 |
| DE US, INC. | 749,025,979 | 8.81% | 6.95% | 100.00% | 12,813,710,670 | 3,417 |
| HCA INC. | 686,544,634 | 8.50% | -1.21% | -24.14% | 9,932,860,899 | 2,345 |
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.
