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. Italy saw a 0.11% increase in the amount of net notional to be paid out in case of a default from last week, while France's net notional decreased by 3.14% and Brazil saw a smaller, 0.92% decline.
The same three companies--General Electric Capital Corp., Berkshire Hathaway Inc. and The Goldman Sachs Group Inc.--led the corporate side with changes of -.48%, 1.99% and .09%, respectively, in their net notional amounts.
The biggest sovereign mover this week was Argentina, whose net notional amount dropped 10.37% from last week. Rounding out the top three were Denmark, with a -5.96% change, and Peru, with a 4.55% increase. Duke Realty Ltd. Partnership, a U.S. commercial real estate company, led corporate movers with a 14.12% increase in net notional from last week, followed by Texas-based steel and metal manufacturer Commercial Metals Co. (-10.16% decrease) and American Axle & Manufacturing Inc. (-9.47% decrease), an automotive component manufacturer.
| Top 10 Sovereign Reference Entities by Net Notional (Week ending November 02, 2012) | ||||||
| Net Notional (USD EQ) | Net % Change (1 week) | Net % Change (4 weeks) | Net % Change (1 year) | Gross Notional (USD EQ) | Contracts | |
| ITALY | 20,338,476,005 | 0.11% | -0.32% | -2.28% | 384,245,988,748 | 12,641 |
| FRANCE | 18,250,278,807 | -3.14% | -12.66% | -23.25% | 173,461,978,697 | 7,415 |
| BRAZIL | 16,889,991,095 | -0.92% | -2.64% | -4.94% | 158,448,608,790 | 10,115 |
| GERMANY | 16,710,815,320 | -3.84% | -6.81% | -14.36% | 150,958,171,222 | 5,841 |
| SPAIN | 12,594,280,013 | -1.72% | 2.00% | -24.49% | 205,067,246,640 | 9,831 |
| JAPAN | 11,587,225,346 | -0.06% | 0.36% | 28.36% | 79,352,805,149 | 7,730 |
| MEXICO | 9,370,010,058 | 1.01% | 4.11% | 8.05% | 121,177,185,462 | 8,748 |
| CHINA | 9,345,771,058 | -0.45% | -4.00% | -2.83% | 74,452,128,130 | 8,079 |
| UNITED KINGDOM | 8,930,759,980 | -4.02% | -7.28% | -28.71% | 71,087,928,934 | 4,670 |
| SOUTH KOREA | 6,947,572,461 | -2.32% | -4.54% | 38.88% | 82,775,496,834 | 8,955 |
| Top 10 Corporate Reference Entities by Net Notional (Week ending November 02, 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. | 9,165,703,896 | -0.48% | -1.59% | -18.59% | 80,990,111,326 | 6,497 |
| BERKSHIRE HATHAWAY | 6,152,712,398 | 1.99% | 4.90% | 13.43% | 31,874,290,125 | 3,227 |
| GOLDMAN SACHS GROUP | 4,880,395,361 | 0.09% | 1.54% | -3.57% | 72,694,269,184 | 7,212 |
| METLIFE, INC. | 4,638,378,685 | 2.26% | 3.20% | -2.36% | 31,149,314,098 | 3,879 |
| BANK OF AMERICA CORP. | 4,578,654,886 | 1.05% | 0.14% | -20.54% | 70,786,011,899 | 8,199 |
| MORGAN STANLEY | 4,552,646,678 | 1.25% | 5.65% | 7.18% | 71,488,873,809 | 7,324 |
| DEUTSCHE BANK | 4,521,572,730 | 2.16% | 3.97% | -14.90% | 58,532,290,001 | 7,033 |
| WELLS FARGO & CO. | 4,013,212,468 | 1.50% | -0.53% | -22.43% | 52,221,032,648 | 6,112 |
| BARCLAYS BANK PLC | 3,916,909,005 | -4.78% | -5.52% | 5.04% | 50,396,779,798 | 6,423 |
| JPMORGAN CHASE & CO. | 3,804,861,180 | -0.46% | 1.06% | -32.79% | 68,726,002,201 |
7,158
|
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 | |
| ARGENTINA | 2,005,844,960 | -10.37% | -13.83% | -9.80% | 41,054,711,893 | 3,871 |
| DENMARK | 2,331,525,263 | -5.96% | -11.08% | -23.76% | 19,003,422,422 | 1,686 |
| PERU | 1,721,382,780 | 4.55% | 4.21% | -10.63% | 24,372,128,203 | 2,611 |
| SOUTH AFRICA | 2,752,439,766 | 4.46% | 2.34% | 21.35% | 52,207,077,432 | 5,923 |
| AUSTRALIA | 5,102,418,779 | -4.45% | -3.32% | -4.08% | 38,734,110,891 | 3,841 |
| ICELAND | 581,722,778 | -4.16% | -4.21% | -30.56% | 5,866,657,357 | 920 |
| POLAND | 1,864,216,573 | -4.04% | -4.66% | -1.82% | 46,840,341,300 | 4,420 |
| UNITED KINGDOM | 8,930,759,980 | -4.02% | -7.28% | -28.71% | 71,087,928,934 | 4,670 |
| LITHUANIA | 469,014,850 | 3.94% | 2.23% | -23.58% | 7,888,241,299 | 945 |
| IRELAND | 2,863,938,990 | 3.85% | -7.45% | -26.23% | 48,810,856,906 | 3,402 |
| 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 | |
| DUKE REALTY | 202,695,290 | 14.12% | 8.61% | -38.37% | 2,783,677,622 | 583 |
| COMMERCIAL METALS CO. | 324,998,767 | -10.16% | -3.81% | -7.83% | 4,615,344,150 | 1,121 |
| AMERICAN AXLE & MANUFACTURING, INC. | 408,703,312 | -9.47% | -1.92% | -35.03% | 9,337,090,130 | 2,268 |
| OBAYASHI CORP. | 384,280,264 | 9.31% | 9.87% | 28.73% | 3,010,324,191 | 537 |
| SAKS INC. | 305,039,129 | -8.86% | 0.51% | -20.54% | 4,071,723,093 | 1,259 |
| BASF PERSONAL CARE AND NUTRITION | 193,186,994 | 8.86% | 8.10% | 100.00% | 7,009,127,640 | 1,331 |
| NOBLE ENERGY, INC. | 278,397,103 | 8.45% | 8.96% | -18.72% | 2,481,288,069 | 622 |
| MGIC INVESTMENT CORP. | 1,374,274,080 | 8.18% | 12.38% | -12.34% | 33,951,876,442 | 4,904 |
| HANKYU HANSHIN HOLDINGS, INC. | 382,126,174 | 7.73% | 8.77% | 5.85% | 3,660,573,843 | 588 |
| ERICSSON | 683,522,801 | 7.32% | 5.88% | 24.37% | 10,178,711,184 | 2,293 |
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.
