Once again, Italy is the country 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 slight, 0.62% increase in the amount of its net notional from last week, while France (1.04% decline) and Germany (2.51% increase) rounded out the top three.
Things also stayed consistent on the corporate side, where General Electric Capital Corp., Berkshire Hathaway and Goldman Sachs experienced a 0.37% decrease, a 3.63% increase and a 0.34% increase, respectively, in the amount of net notional to be paid out in case of a default.
The top mover among sovereign entities was Poland, whose net notional decreased by 8.92% from one week ago. In the second spot, Australia saw a slightly smaller 8.82% decline in net notional, while South Africa's net notional amount increased by 5.24%.
General Motors Co. led corporate movers with an increase of 14.12% in its net notional. Rounding out the top three were global chemical manufacturer Huntsman International, with a 13.13% increase in net notional, and managed health care company WellPoint Inc., with an 11.06% increase.
| Top 10 Sovereign Reference Entities by Net Notional (Week ending November 09, 2012) | ||||||
| Net Notional (USD EQ) | Net % Change (1 week) | Net % Change (4 weeks) | Net % Change (1 year) | Gross Notional (USD EQ) | Contracts | |
| ITALY | 20,463,966,406 | 0.62% | -0.96% | -0.32% | 385,295,137,024 | 12,744 |
| FRANCE | 18,060,965,360 | -1.04% | -12.60% | -22.74% | 175,446,159,500 | 7,472 |
| GERMANY | 17,130,449,933 | 2.51% | -4.62% | -13.27% | 151,777,622,473 | 5,867 |
| BRAZIL | 16,980,300,538 | 0.53% | -3.41% | -4.58% | 157,952,500,033 | 10,089 |
| SPAIN | 12,408,848,138 | -1.47% | -2.44% | -23.21% | 208,684,939,231 | 9,989 |
| JAPAN | 11,380,641,511 | -1.78% | -0.96% | 27.38% | 79,096,011,730 | 7,702 |
| MEXICO | 9,324,277,968 | -0.49% | 4.30% | 6.47% | 120,917,470,445 | 8,751 |
| CHINA | 9,160,683,361 | -1.98% | -4.89% | -5.36% | 75,267,816,164 | 8,135 |
| UNITED KINGDOM | 8,650,402,543 | -3.14% | -9.28% | -31.11% | 70,734,220,777 | 4,644 |
| SOUTH KOREA | 6,811,121,517 | -1.96% | -6.84% | 36.54% | 83,254,469,394 | 9,014 |
| Top 10 Corporate Reference Entities by Net Notional (Week ending November 09, 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. | 9,131,808,382 | -0.37% | -2.25% | -18.67% | 80,576,635,740 | 6,395 |
| BERKSHIRE HATHAWAY | 6,375,873,183 | 3.63% | 8.28% | 18.21% | 31,793,093,028 | 3,285 |
| GOLDMAN SACHS | 4,897,018,673 | 0.34% | 1.84% | -2.54% | 72,902,835,497 | 7,285 |
| BANK OF AMERICA CORP. | 4,644,915,995 | 1.45% | 1.59% | -20.55% | 71,481,627,527 | 8,301 |
| METLIFE, INC. | 4,631,825,403 | -0.14% | 3.25% | -2.60% | 31,058,574,809 | 3,922 |
| DEUTSCHE BANK | 4,605,583,972 | 1.86% | 6.71% | -13.63% | 58,375,677,616 | 7,082 |
| MORGAN STANLEY | 4,577,781,261 | 0.55% | 5.64% | 7.01% | 71,882,428,743 | 7,420 |
| BARCLAYS BANK PLC | 4,062,741,510 | 3.72% | -2.18% | 9.47% | 50,191,824,843 | 6,447 |
| WELLS FARGO & CO. | 4,041,055,038 | 0.69% | 0.98% | -22.10% | 52,743,495,973 | 6,185 |
| JPMORGAN CHASE & CO. | 3,784,447,042 | -0.54% | 0.50% | -34.20% | 69,197,052,450 | 7,238 |
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 | |
| POLAND | 1,697,966,888 | -8.92% | -14.67% | -14.41% | 47,008,731,931 | 4,437 |
| AUSTRALIA | 4,652,321,460 | -8.82% | -12.17% | -12.36% | 38,999,103,915 | 3,819 |
| SOUTH AFRICA | 2,896,780,925 | 5.24% | 2.02% | 27.39% | 52,621,423,189 | 5,987 |
| NEW ZEALAND | 545,996,250 | -4.53% | -2.96% | -6.53% | 3,704,495,500 | 426 |
| ARGENTINA | 1,918,208,696 | -4.37% | -17.14% | -15.85% | 40,967,531,906 | 3,840 |
| DENMARK | 2,235,557,220 | -4.12% | -13.84% | -27.09% | 19,049,124,847 | 1,689 |
| UKRAINE | 965,694,693 | 3.95% | 17.59% | -3.76% | 34,765,511,784 | 3,285 |
| ROMANIA | 1,039,398,920 | 3.25% | 0.29% | 2.15% | 18,718,232,168 | 2,065 |
| PANAMA | 453,755,828 | -3.22% | -3.24% | -35.56% | 7,440,468,862 | 1,152 |
| UNITED KINGDOM | 8,650,402,543 | -3.14% | -9.28% | -31.11% | 70,734,220,777 | 4,644 |
| 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 | |
| GENERAL MOTORS CO. | 530,900,000 | 14.12% | 17.08% | 22.52% | 3,191,650,000 | 564 |
| HUNTSMAN INTERNATIONAL | 111,368,274 | 13.13% | 5.65% | -37.93% | 1,846,237,548 | 649 |
| WELLPOINT, INC. | 287,081,728 | 11.06% | 20.90% | -20.81% | 4,180,653,976 | 882 |
| DEAN FOODS CO. | 465,086,025 | 10.46% | 13.32% | 23.60% | 4,486,605,536 | 1,386 |
| LINCOLN NATIONAL CORP. | 792,039,064 | 9.53% | 18.02% | 6.84% | 8,020,769,869 | 1,230 |
| SONY CORP. | 749,863,812 | 9.31% | 18.95% | 11.44% | 12,277,287,149 | 2,059 |
| METSA BOARD CORP. | 372,453,695 | -8.77% | 100.00% | 100.00% | 7,440,390,843 | 1,819 |
| MCKESSON CORP. | 810,686,869 | 8.67% | 4.59% | 9.85% | 14,368,646,260 | 2,180 |
| PEPCO HOLDINGS, INC. | 125,231,971 | 8.48% | 8.80% | -41.45% | 2,337,180,338 | 755 |
| FUJITSU LIMITED | 679,344,181 | 8.30% | 7.56% | 37.26% | 5,646,172,938 | 980 |
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.
