Italy is, once again, the country with the largest net notional amount to be paid out in case of default, despite a 0.33% decrease in its net notional from last week to this. Brazil's net notional, which increased by 4.14%, surpassed that of France, which fell by 2.29%. General Electric Capital Corporation (8.29% decrease in net notional), Berkshire Hathaway Inc. (2.21% decrease) and Metlife Inc. (1.32% decrease) were the corporations with the largest net notional amounts.
The top mover on the sovereign side was Switzerland, whose net notional amount rose by a whopping 100.0% over the past week, to a total of 505,724,244. Rounding out the top three were Kazakhstan, with a 17.32% decrease in net notional, and Iceland, which saw an 13.85% decrease in its notional amount.
On the corporate side, chemical manufacturer and marketer Huntsman International saw a 56.45% decrease in its net notional this week. British Bond Energy Finance's net notional rose by 54.84%, while Italian bank Banca Italease saw a 49.03% decrease.
| Top 10 Sovereign Reference Entities by Net Notional (Week ending December 21, 2012) | ||||||
| Net Notional (USD EQ) | Net % Change (1 week) | Net % Change (4 weeks) | Net % Change (1 year) | Gross Notional (USD EQ) | Contracts | |
| ITALY | 21,258,637,403 | -0.33% | 2.19% | 6.10% | 387,401,068,547 | 12,942 |
| BRAZIL | 17,239,388,627 | 4.14% | 0.50% | -6.19% | 155,722,024,921 | 9,768 |
| FRANCE | 15,685,473,479 | -2.29% | -10.45% | -28.00% | 176,531,221,689 | 7,511 |
| GERMANY | 15,339,137,794 | -0.47% | -8.20% | -21.05% | 154,425,759,693 | 5,808 |
| SPAIN | 12,659,993,407 | -0.01% | 1.88% | -18.84% | 212,225,115,999 | 10,139 |
| JAPAN | 9,835,769,476 | -0.65% | -9.03% | 10.82% | 78,561,125,708 | 7,629 |
| UNITED KINGDOM | 8,216,392,352 | -0.64% | -2.71% | -32.72% | 70,531,812,813 | 4,543 |
| CHINA | 8,064,987,107 | -4.03% | -12.33% | -11.51% | 74,626,696,444 | 8,141 |
| MEXICO | 8,038,990,364 | -6.50% | -10.79% | -6.05% | 116,662,041,011 | 8,280 |
| TURKEY | 7,112,440,441 | -0.13% | 0.18% | 46.47% | 137,118,220,965 | 9,010 |
| Top 10 Corporate Reference Entities by Net Notional (Week ending December 21, 2012) | ||||||
| Net Notional (USD EQ) | Net % Change (1 week) | Net % Change (4 weeks) | Net % Change (1 year) | Gross Notional (USD EQ) | Contracts | |
| GENERAL ELECTRIC CAPITAL CORP. | 8,684,701,218 | -8.29% | -5.31% | -18.21% | 77,014,782,419 | 5,979 |
| BERKSHIRE HATHAWAY INC. | 7,517,026,133 | -2.21% | 11.36% | 46.48% | 34,250,880,611 | 3,345 |
| METLIFE, INC. | 4,733,721,172 | -1.32% | 2.14% | 2.63% | 29,431,391,840 | 3,733 |
| BANK OF AMERICA CORP. | 4,563,449,504 | 1.42% | -0.22% | -20.31% | 67,114,167,388 | 7,919 |
| DEUTSCHE BANK | 4,517,473,374 | -8.92% | -5.57% | -3.34% | 55,956,171,994 | 6,771 |
| THE GOLDMAN SACHS GROUP, INC. | 4,503,855,043 | -11.31% | -11.39% | -6.36% | 68,271,741,995 | 6,943 |
| BARCLAYS BANK PLC | 3,919,742,346 | -9.63% | -7.75% | 17.72% | 47,725,900,518 | 6,142 |
| MORGAN STANLEY | 3,748,620,396 | -15.89% | -18.85% | -12.51% | 66,941,233,391 | 7,034 |
| WELLS FARGO & CO. | 3,625,107,717 | -8.94% | -9.85% | -29.59% | 47,901,681,764 | 5,838 |
| JPMORGAN CHASE & CO. | 3,348,824,548 | -13.33% | -14.40% | -40.76% | 63,968,683,990 | 6,843 |
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 | |
| SWITZERLAND | 505,724,244 | 100.00% | 100.00% | 100.00% | 1,439,777,439 | 96 |
| KAZAKHSTAN | 764,602,111 | -17.32% | -19.86% | -9.73% | 15,945,773,835 | 1,580 |
| ICELAND | 501,965,657 | -13.85% | -13.77% | -39.23% | 5,687,372,766 | 883 |
| CHILE | 789,685,634 | 12.51% | 3.50% | 57.18% | 5,989,156,945 | 608 |
| PANAMA | 517,911,173 | 11.41% | 17.37% | -30.11% | 6,886,711,720 | 968 |
| VIETNAM | 596,505,000 | -10.56% | -10.84% | -16.17% | 8,319,765,200 | 1,242 |
| UKRAINE | 855,757,707 | -10.37% | -11.49% | -4.75% | 32,749,584,822 | 3,153 |
| CZECH REPUBLIC | 682,290,654 | -10.19% | -11.11% | -26.37% | 14,514,593,791 | 1,252 |
| INDONESIA | 3,119,504,600 | -9.10% | -13.39% | -0.11% | 40,646,574,816 | 5,253 |
| QATAR | 964,399,283 | 8.97% | -9.75% | 47.08% | 9,242,779,357 | 1,284 |
| 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 | |
| HUNTSMAN INTERNATIONAL LLC | 48,017,900 | -56.45% | -56.47% | -74.10% | 1,571,704,495 | 568 |
| BRITISH ENERGY BOND FINANCE PLC | 246,384,905 | 54.84% | 57.05% | 77.29% | 1,659,134,560 | 277 |
| BANCA ITALEASE S.P.A. | 76,350,279 | -49.03% | -46.96% | -63.15% | 1,646,615,665 | 323 |
| BRISTOL-MYERS SQUIBB CO. | 407,056,770 | -43.37% | -41.26% | -39.94% | 11,608,714,687 | 1,796 |
| ALLIANCE BOOTS HOLDINGS LTD. | 344,251,246 | -40.45% | -39.88% | -51.80% | 11,048,705,268 | 2,338 |
| INFINEON TECHNOLOGIES HOLDING B.V. | 137,999,350 | -37.52% | -36.23% | -41.83% | 3,252,160,333 | 845 |
| RHODIA | 243,212,594 | -36.58% | -39.02% | -46.33% | 8,866,266,582 | 1,783 |
| COLT TECHNOLOGY SERVICES GROUP LIMITED | 128,497,984 | -36.44% | -35.55% | -34.08% | 3,131,029,498 | 738 |
| ANGEL LUX COMMON S.A. | 214,449,270 | -36.26% | -36.05% | 100.00% | 3,221,911,839 | 729 |
| MATTEL, INC. | 363,904,290 | -36.25% | -36.74% | -42.77% | 5,883,304,989 | 1,398 |
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.