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 1.09% increase in the amount of its net notional from last week, while France's net notional amount to be paid out in case of default decreased by 1.41%. Despite a 0.49% drop in net notional, Brazil passed Germany to take the third spot on the list.
The corporate rankings were consistent, with General Electric Capital Corp., Berkshire Hathaway and Goldman Sachs experiencing a 0.65% decrease, a 4.11% increase and a 0.87% increase, respectively, in the amount of net notional to be paid out in case of a default.
The top mover among sovereign entities was Chile, whose net notional increased by 6.40% from one week ago. South Africa moved from thrid place to second place in the rankings with a 5.73% increase in net notional, while Slovenia's net notional amount increased by 5.01%.
Nordea Bank, a Stockholm-based financial services group, led corporate movers with an increase of 14.00% in its net notional. Rounding out the top three were The Bank of Tokyo-Mitsubishi UFJ, Ltd., with a 13.20% increase in net notional, and Technip, an energy-sector engineering and construction company, with a 13.04% decrease.
| Top 10 Sovereign Reference Entities by Net Notional (Week ending November 16, 2012) | ||||||
| Net Notional (USD EQ) | Net % Change (1 week) | Net % Change (4 weeks) | Net % Change (1 year) | Gross Notional (USD EQ) | Contracts | |
| ITALY | 20,686,325,881 | 1.09% | -0.69% | 2.80% | 386,879,719,693 | 12,806 |
| FRANCE | 17,805,759,274 | -1.41% | -11.00% | -21.23% | 177,067,999,101 | 7,498 |
| BRAZIL | 16,897,616,680 | -0.49% | -0.67% | -5.52% | 159,247,308,484 | 10,183 |
| GERMANY | 16,867,714,810 | -1.53% | -4.39% | -15.26% | 153,689,052,058 | 5,948 |
| SPAIN | 12,480,137,662 | 0.57% | -3.54% | -19.58% | 209,623,626,225 | 10,063 |
| JAPAN | 11,029,173,707 | -3.09% | -4.03% | 23.62% | 78,841,371,096 | 7,724 |
| CHINA | 9,287,978,279 | 1.39% | -2.46% | -3.80% | 75,566,040,489 | 8,158 |
| MEXICO | 9,224,648,607 | -1.07% | -0.72% | 5.72% | 120,588,853,384 | 8,752 |
| UNITED KINGDOM | 8,547,210,659 | -1.19% | -8.76% | -31.35% | 70,917,536,894 | 4,668 |
| SOUTH KOREA | 6,933,004,856 | 1.79% | -4.68% | 40.32% | 83,670,822,638 | 9,141 |
| Top 15 Corporate Reference Entities by Net Notional (Week ending November 16, 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. | 9,072,901,283 | -0.65% | -3.13% | -19.35% | 81,266,120,426 | 6,422 |
| BERKSHIRE HATHAWAY | 6,638,134,768 | 4.11% | 12.95% | 25.00% | 32,490,004,480 | 3,363 |
| GOLDMAN SACHS | 4,939,757,457 | 0.87% | 0.78% | -0.46% | 73,149,123,776 | 7,315 |
| DEUTSCHE BANK | 4,685,509,211 | 1.74% | 6.02% | -11.17% | 58,723,199,978 | 7,121 |
| METLIFE, INC. | 4,647,815,054 | 0.35% | 3.49% | -2.21% | 31,175,304,923 | 3,930 |
| MORGAN STANLEY | 4,573,029,466 | -0.10% | 3.64% | 5.32% | 72,046,450,304 | 7,445 |
| BANK OF AMERICA CORP. | 4,560,578,163 | -1.82% | -0.50% | -20.89% | 71,751,657,295 | 8,339 |
| BARCLAYS BANK PLC | 4,158,486,181 | 2.36% | -0.28% | 14.39% | 50,738,740,471 | 6,448 |
| WELLS FARGO & CO. | 4,004,059,265 | -0.92% | -0.33% | -22.91% | 52,862,107,558 | 6,203 |
| JPMORGAN CHASE & CO. | 3,903,063,861 | 3.13% | 3.32% | -32.26% | 69,331,868,702 | 7,262 |
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 vs 1 Week Ago | Net % Change vs 4 Weeks Ago | Net % Change vs 52 Weeks Ago | Gross Notional (USD EQ) | Contracts | |
| CHILE | 743,315,284 | 6.40% | 7.93% | 39.99% | 6,516,499,217 | 681 |
| SOUTH AFRICA | 3,062,684,058 | 5.73% | 15.04% | 31.21% | 52,916,777,236 | 6,025 |
| SLOVENIA | 742,452,315 | 5.01% | 6.83% | -9.44% | 8,020,856,776 | 706 |
| ARGENTINA | 1,822,506,943 | -4.99% | -23.87% | -20.57% | 40,528,920,206 | 3,872 |
| COLOMBIA | 1,776,677,038 | 4.81% | 8.48% | 7.19% | 29,772,988,937 | 2,932 |
| HUNGARY | 1,832,859,480 | 4.36% | 3.54% | 100.00% | 71,116,855,491 | 6,683 |
| CYPRUS | 327,095,378 | 4.12% | 4.08% | 100.00% | 1,920,900,853 | 255 |
| BULGARIA | 542,223,890 | -3.51% | -9.84% | -37.34% | 19,167,149,057 | 2,036 |
| MALAYSIA | 1,469,708,749 | 3.13% | 5.42% | 12.99% | 19,462,636,414 | 2,601 |
| JAPAN | 11,029,173,707 | -3.09% | -4.03% | 23.62% | 78,841,371,096 | 7,724 |
| 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 | |
| NORDEA BANK AB | 362,062,155 | 14.00% | 15.72% | -5.55% | 2,767,821,057 | 434 |
| BTMU | 595,177,755 | 13.20% | 13.37% | 7.43% | 11,888,292,524 | 1,845 |
| TECHNIP | 215,954,012 | -13.04% | -21.55% | -15.56% | 4,964,774,517 | 985 |
| J. C. PENNEY COMPANY, INC. | 1,220,724,264 | 11.02% | 12.25% | 8.25% | 20,042,045,299 | 4,128 |
| DONG ENERGY A/S | 242,465,454 | -10.45% | -12.83% | -4.76% | 1,855,334,669 | 413 |
| THE SERVICEMASTER CO. | 242,257,375 | -10.39% | -9.95% | -19.03% | 2,575,762,124 | 646 |
| CNOOC LTD. | 153,842,920 | 9.99% | 3.26% | -31.33% | 1,874,246,294 | 413 |
| CELESTICA INC. | 117,724,338 | -9.94% | -17.75% | -42.04% | 2,468,778,687 | 612 |
| SWEDBANK AB | 274,889,110 | 9.59% | 7.51% | 100.00% | 1,738,716,773 | 301 |
| SONY CORP. | 821,480,887 | 9.55% | 19.93% | 19.03% | 12,318,391,343 | 2,122 |
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.
