The three countries with the largest net notional to be paid out in case of default stayed consistent from last week to this, as Italy, France and Brazil topped the list with net notional changes of 0.56%, -1.63% and 1.52%, respectively. The top three corporations also stayed the same, with GE Capital Corp., Berkshire Hathaway and Goldman Sachs each experiencing a slight rise in their net notional amount.
The top sovereign mover this week was Bulgaria, whose net notional rose by 22.37%. Kazakhstan and Romania saw smaller changes of 10.61 and -8.85%, respectively.
On the corporate side, Kazkommertsbank, the national bank of Kazakhstan, experienced the largest change in the amount of net notional to be paid out in case of default, with a 19.66% decrease. California-based agricultural corporation Dole Food Company Inc. saw a 16.47% drop in its net notional, while the Bank of Tokyo-Mitsubishi UFJ, Ltd. experienced a 13.11% increase in its total.
| Top 10 Sovereign Reference Entities by Net Notional (Week ending November 23, 2012) | ||||||
| Net Notional (USD EQ) | Net % Change (1 week) | Net % Change (4 weeks) | Net % Change (1 year) | Gross Notional (USD EQ) | Contracts | |
| ITALY | 20,802,480,310 | 0.56% | 2.40% | 5.43% | 388,941,670,493 | 12,796 |
| FRANCE | 17,515,675,961 | -1.63% | -7.04% | -21.68% | 176,929,686,493 | 7,511 |
| BRAZIL | 17,153,881,082 | 1.52% | 0.63% | -5.25% | 159,979,224,168 | 10,289 |
| GERMANY | 16,709,810,422 | -0.94% | -3.85% | -14.54% | 153,317,575,359 | 5,926 |
| SPAIN | 12,426,052,276 | -0.43% | -3.03% | -20.62% | 209,977,986,046 | 10,059 |
| JAPAN | 10,811,744,557 | -1.97% | -6.75% | 21.66% | 78,854,602,011 | 7,707 |
| CHINA | 9,198,930,547 | -0.96% | -2.02% | -4.97% | 75,656,152,143 | 8,193 |
| MEXICO | 9,011,389,240 | -2.31% | -2.86% | 3.15% | 120,540,754,663 | 8,786 |
| UNITED KINGDOM | 8,445,629,948 | -1.19% | -9.23% | -31.81% | 70,977,883,734 | 4,635 |
| TURKEY | 7,099,984,881 | 3.91% | 5.97% | 53.75% | 144,006,405,977 | 9,951 |
| Top 10 Corporate Reference Entities by Net Notional (Week ending November 23, 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. | 9,171,624,302 | 1.09% | -0.41% | -17.94% | 81,637,124,085 | 6,452 |
| BERKSHIRE HATHAWAY | 6,750,482,901 | 1.69% | 11.90% | 27.29% | 32,815,233,564 | 3,408 |
| GOLDMAN SACHS | 5,082,540,189 | 2.89% | 4.23% | 3.25% | 73,261,260,453 | 7,320 |
| DEUTSCHE BANK | 4,783,833,678 | 2.10% | 8.08% | -8.04% | 59,879,794,052 | 7,131 |
| METLIFE, INC. | 4,634,615,116 | -0.28% | 2.17% | -1.92% | 31,355,944,221 | 3,964 |
| MORGAN STANLEY | 4,619,178,566 | 1.01% | 2.72% | 5.55% | 72,368,931,742 | 7,468 |
| BANK OF AMERICA CORP. | 4,573,424,565 | 0.28% | 0.93% | -20.87% | 72,059,283,362 | 8,331 |
| BARCLAYS BANK PLC | 4,248,878,142 | 2.17% | 3.30% | 18.38% | 51,638,357,308 | 6,456 |
| WELLS FARGO & CO. | 4,021,042,219 | 0.42% | 1.70% | -22.39% | 53,009,810,606 | 6,209 |
| JPMORGAN CHASE & CO. | 3,912,355,805 | 0.24% | 2.35% | -32.89% | 69,686,492,119 | 7,291 |
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 | |
| BULGARIA | 663,518,356 | 22.37% | 18.20% | -22.32% | 18,560,370,751 | 2,004 |
| KAZAKHSTAN | 954,057,024 | 10.61% | 8.07% | 13.74% | 16,768,278,568 | 1,673 |
| ROMANIA | 942,012,724 | -8.85% | -5.69% | -6.73% | 18,447,630,481 | 2,052 |
| ARGENTINA | 1,684,794,449 | -7.56% | -24.71% | -27.63% | 39,620,144,931 | 3,828 |
| CROATIA | 423,766,051 | -7.22% | -6.17% | -8.84% | 11,681,202,237 | 1,357 |
| POLAND | 1,553,425,884 | -6.44% | -20.04% | -20.58% | 46,559,769,527 | 4,416 |
| HUNGARY | 1,918,348,476 | 4.66% | 11.80% | 100.00% | 70,528,253,114 | 6,631 |
| SOUTH AFRICA | 2,935,184,867 | -4.16% | 11.40% | 31.08% | 52,430,450,814 | 5,963 |
| LATVIA | 512,215,001 | 4.10% | 6.21% | -13.85% | 10,921,870,168 | 1,295 |
| RUSSIA | 5,055,686,367 | 4.02% | 6.18% | 9.47% | 115,575,802,798 | 9,667 |
| 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 | |
| KAZKOMMERTSBANK | 331,173,388 | -19.66% | -24.18% | -35.35% | 7,889,371,177 | 984 |
| DOLE FOOD COMPANY, INC. | 188,186,487 | -16.47% | -19.62% | -32.13% | 2,584,196,619 | 664 |
| BTMU | 673,218,767 | 13.11% | 28.55% | 17.40% | 11,991,459,638 | 1,853 |
| SSE PLC | 314,438,084 | 10.66% | 8.74% | 100.00% | 2,385,280,618 | 437 |
| TYSON FOODS, INC. | 631,980,731 | -9.34% | -23.10% | -54.43% | 20,289,604,973 | 2,968 |
| SCA | 793,498,623 | 9.15% | 9.74% | -9.73% | 14,272,950,885 | 2,492 |
| KOBE STEEL, LTD. | 834,337,058 | 8.48% | 3.94% | 15.19% | 6,611,823,614 | 1,441 |
| CON-WAY INC. | 559,513,393 | -8.37% | -2.67% | -14.33% | 6,505,445,903 | 1,309 |
| IBERDROLA, S.A. | 1,185,305,170 | 8.12% | 4.92% | -16.07% | 19,750,755,538 | 2,883 |
| MTR CORPORATION LTD. | 119,513,187 | 8.08% | 8.22% | -22.28% | 1,705,910,562 | 325 |
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.
