Once again, Italy, France and Brazil were the countries with the largest net notional amount to be paid out in case of default, with changes of 2.19%, 0.83% and -2.09%, respectively, from last week. Net notional rankings were also consistent on the corporate side, where General Electric Capital Corp. topped the list with an increase of 0.25% in its net notional and Berkshire Hathaway and Goldman Sachs rounded out the top three with a 5.66% increase and a 0.63 decrease, respectively.
First among sovereign movers this week was Argentina, which saw a 16.26% decrease in its net notional amount to be paid in case of default. Estonia landed in the second spot with an 8.22% decrease in its net notional, while Egypt experienced a 7.54% increase.
Wind Acquisition Finance, a bond-issuing subsidiary of Italian telecom operator Wind Telecomunicazioni SpA, saw its net notional rise by 14.42% over the past week. Rounding out the top three corporate movers were Macy's Retail Holdings Inc., with an 11.78% decrease, and Caterpillar Financial Services Corp., with a slightly smaller decrease of 11.54%.
| Top 10 Sovereign Reference Entities by Net Notional (Week ending November 30, 2012) | ||||||
| Net Notional (USD EQ) | Net % Change (1 week) | Net % Change (4 weeks) | Net % Change (1 year) | Gross Notional (USD EQ) | Contracts | |
| ITALY | 21,257,642,110 | 2.19% | 4.52% | 6.36% | 390,375,710,039 | 12,859 |
| FRANCE | 17,370,144,666 | -0.83% | -4.82% | -22.55% | 176,920,996,719 | 7,481 |
| BRAZIL | 16,794,932,407 | -2.09% | -0.56% | -6.59% | 159,785,661,398 | 10,210 |
| GERMANY | 16,043,048,213 | -3.99% | -4.00% | -18.60% | 152,364,159,881 | 5,744 |
| SPAIN | 12,664,529,344 | 1.92% | 0.56% | -18.31% | 211,134,101,604 | 10,102 |
| JAPAN | 10,101,733,868 | -6.57% | -12.82% | 13.28% | 76,996,778,201 | 7,460 |
| CHINA | 9,233,518,555 | 0.38% | -1.20% | -4.35% | 74,939,447,787 | 8,175 |
| MEXICO | 8,945,891,966 | -0.73% | -4.53% | 2.04% | 120,972,922,082 | 8,754 |
| UNITED KINGDOM | 8,442,951,534 | -0.03% | -5.46% | -31.46% | 70,643,493,320 | 4,537 |
| TURKEY | 7,161,273,909 | 0.86% | 5.25% | 58.15% | 144,308,263,319 | 9,958 |
| Top 10 Corporate Reference Entities by Net Notional (Week ending November 30, 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. | 9,194,757,142 | 0.25% | 0.32% | -17.96% | 81,145,490,155 | 6,424 |
| BERKSHIRE HATHAWAY INC. | 7,132,875,233 | 5.66% | 15.93% | 34.42% | 33,985,306,256 | 3,463 |
| GOLDMAN SACHS | 5,050,450,309 | -0.63% | 3.48% | 2.65% | 73,357,959,364 | 7,345 |
| DEUTSCHE BANK | 4,836,002,766 | 1.09% | 6.95% | -8.00% | 59,946,001,761 | 7,121 |
| METLIFE, INC. | 4,700,209,848 | 1.42% | 1.33% | -0.45% | 31,919,719,702 | 4,005 |
| MORGAN STANLEY | 4,582,622,355 | -0.79% | 0.66% | 3.23% | 72,525,621,366 | 7,511 |
| BANK OF AMERICA CORP. | 4,519,165,222 | -1.19% | -1.30% | -21.88% | 72,320,893,640 | 8,369 |
| BARCLAYS BANK PLC | 4,256,884,891 | 0.19% | 8.68% | 15.39% | 51,502,055,899 | 6,435 |
| WELLS FARGO & CO. | 4,012,090,727 | -0.22% | -0.03% | -22.77% | 53,328,309,127 | 6,262 |
| JPMORGAN CHASE & CO. | 3,920,458,127 | 0.21% | 3.04% | -32.68% | 69,877,171,665 | 7,322 |
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 | 1,410,844,643 | -16.26% | -29.66% | -39.70% | 39,008,509,652 | 3,813 |
| ESTONIA | 299,253,423 | -8.22% | -8.44% | -25.01% | 3,345,527,713 | 444 |
| EGYPT | 499,161,247 | 7.54% | 3.48% | -39.93% | 4,179,372,179 | 1,050 |
| JAPAN | 10,101,733,868 | -6.57% | -12.82% | 13.28% | 76,996,778,201 | 7,460 |
| QATAR | 1,002,829,514 | -6.16% | -1.38% | 62.15% | 9,467,513,061 | 1,341 |
| AUSTRALIA | 4,277,838,461 | -6.08% | -16.16% | -17.28% | 39,374,855,348 | 4,065 |
| DENMARK | 2,056,160,979 | -4.89% | -11.81% | -31.39% | 18,956,667,092 | 1,532 |
| NETHERLANDS | 3,257,019,539 | 4.71% | 4.65% | 2.48% | 32,074,168,651 | 1,750 |
| AUSTRIA | 4,661,477,742 | -4.02% | -5.24% | -20.70% | 60,426,861,929 | 2,656 |
| GERMANY | 16,043,048,213 | -3.99% | -4.00% | -18.60% | 152,364,159,881 | 5,744 |
| 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 | |
| WIND ACQUISITION FINANCE S.A. | 450,352,951 | 14.42% | 12.90% | -17.65% | 10,429,421,539 | 2,538 |
| MACY'S RETAIL HOLDINGS, INC. | 151,067,671 | -11.78% | -14.54% | -33.39% | 1,622,617,471 | 463 |
| CATERPILLAR FINANCIAL SERVICES CORP. | 556,397,607 | -11.54% | -15.49% | -17.68% | 5,913,353,324 | 1,144 |
| JFE HOLDINGS, INC. | 961,637,070 | 10.20% | 12.74% | 118.13% | 4,548,988,085 | 903 |
| KERR-MCGEE CORP. | 224,301,605 | 9.83% | 9.46% | -6.41% | 3,964,504,471 | 1,016 |
| COMPAGNIE FINANCIERE MICHELIN | 891,818,494 | 9.40% | 14.00% | -11.63% | 17,391,764,204 | 2,787 |
| THE COCA-COLA CO. | 678,088,961 | 9.37% | 8.59% | 129.45% | 2,773,687,671 | 533 |
| JAPAN TOBACCO INC. | 681,770,616 | 9.03% | 9.21% | -10.54% | 4,754,058,715 | 726 |
| WELLPOINT, INC. | 310,713,414 | 8.82% | 20.21% | -12.91% | 4,311,352,443 | 907 |
| SMURFIT KAPPA FUNDING PUBLIC LTD. CO. | 314,465,388 | 8.48% | 2.70% | -30.18% | 9,451,821,246 | 1,977 |
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.
