Italy, Brazil and France once again took the top spots of countries with the largest net notional to be paid out in case of default, with net notional increases of 0.08%, 0.39% and 0.25%, respectively, since last week. Things also stayed the same on the corporate side, where General Electric Capital Corp. (0.15% decrease), Berkshire Hathaway Inc. and Metlife Inc. (both with 0.01% increases) topped the list.
The top sovereign mover this week was Mexico, with a 3.67% increase in its net notional amount, followed by Qatar, which saw a 2.08% uptick, and Russia, whose net notional jumped by 1.76%. Among corporations, Mitsubishi Chemical Corp. saw its net notional fall by 18.06%. The Halyk Savings Bank of Kazakhstan's net notional amount declined by 10.72%, while Johnson & Johnson's rose by 7.69%.
| Top 10 Sovereign Reference Entities by Net Notional (Week ending December 28, 2012) | ||||||
| Net Notional (USD EQ) | Net % Change (1 week) | Net % Change vs (4 weeks) | Net % Change (1 year) | Gross Notional (USD EQ) | Contracts | |
| ITALY | 21,275,226,813 | 0.08% | 0.08% | 3.84% | 387,652,735,017 | 12,948 |
| BRAZIL | 17,307,185,776 | 0.39% | 3.05% | -5.78% | 156,206,285,364 | 9,772 |
| FRANCE | 15,725,421,204 | 0.25% | -9.47% | -27.89% | 176,769,033,455 | 7,517 |
| GERMANY | 15,270,233,644 | -0.45% | -4.82% | -21.19% | 154,434,654,029 | 5,808 |
| SPAIN | 12,670,639,318 | 0.08% | 0.05% | -19.86% | 212,362,148,642 | 10,143 |
| JAPAN | 9,759,327,927 | -0.78% | -3.39% | 10.19% | 78,550,298,365 | 7,634 |
| MEXICO | 8,333,897,992 | 3.67% | -6.84% | -3.38% | 117,160,842,319 | 8,298 |
| UNITED KINGDOM | 8,182,328,926 | -0.41% | -3.09% | -32.92% | 70,502,476,547 | 4,541 |
| CHINA | 8,072,430,047 | 0.09% | -12.57% | -11.90% | 74,726,036,423 | 8,149 |
| TURKEY | 7,202,536,377 | 1.27% | 0.58% | 49.02% | 137,210,275,652 | 9,014 |
| Top 15 Corporate Reference Entities by Net Notional (Week ending December 28, 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. | 8,671,482,908 | -0.15% | -5.69% | -18.30% | 77,084,719,862 | 5,986 |
| BERKSHIRE HATHAWAY INC. | 7,518,125,010 | 0.01% | 5.40% | 46.57% | 34,279,110,648 | 3,347 |
| METLIFE, INC. | 4,734,303,683 | 0.01% | 0.73% | 2.33% | 29,434,433,828 | 3,733 |
| DEUTSCHE BANK | 4,630,711,369 | 2.51% | -4.25% | -0.23% | 56,292,277,898 | 6,788 |
| BANK OF AMERICA CORP. | 4,566,186,179 | 0.06% | 1.04% | -19.83% | 67,214,865,010 | 7,921 |
| THE GOLDMAN SACHS GROUP, INC. | 4,521,933,495 | 0.40% | -10.46% | -5.40% | 68,331,382,353 | 6,949 |
| BARCLAYS BANK PLC | 3,930,069,131 | 0.26% | -7.68% | 18.43% | 47,853,199,974 | 6,142 |
| MORGAN STANLEY | 3,754,557,540 | 0.16% | -18.07% | -12.25% | 66,981,031,118 | 7,038 |
| WELLS FARGO & CO. | 3,664,423,878 | 1.08% | -8.67% | -28.80% | 48,000,354,342 | 5,842 |
| JPMORGAN CHASE & CO. | 3,333,335,593 | -0.46% | -14.98% | -40.98% | 63,990,736,895 | 6,844 |
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 | |
| MEXICO | 8,333,897,992 | 3.67% | -6.84% | -3.38% | 117,160,842,319 | 8,298 |
| QATAR | 984,418,378 | 2.08% | -1.84% | 50.09% | 9,263,916,049 | 1,285 |
| RUSSIA | 4,676,683,427 | 1.76% | -6.22% | 15.32% | 109,285,046,386 | 8,598 |
| AUSTRALIA | 3,714,380,473 | -1.27% | -13.17% | -27.62% | 39,206,751,208 | 4,337 |
| TURKEY | 7,202,536,377 | 1.27% | 0.58% | 49.02% | 137,210,275,652 | 9,014 |
| CHILE | 799,333,032 | 1.22% | 4.74% | 59.17% | 5,989,717,776 | 608 |
| POLAND | 1,544,503,628 | 1.07% | -2.23% | -13.77% | 45,720,105,799 | 4,340 |
| ARGENTINA | 1,494,708,408 | -0.79% | 5.94% | -34.31% | 37,428,494,446 | 3,670 |
| JAPAN | 9,759,327,927 | -0.78% | -3.39% | 10.19% | 78,550,298,365 | 7,634 |
| IRELAND | 2,833,859,630 | 0.58% | -2.68% | -18.31% | 50,529,913,976 | 3,540 |
| 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 | |
| MITSUBISHI CHEMICAL CORP. | 229,402,488 | -18.06% | -33.20% | 100.00% | 1,895,185,296 | 271 |
| HALYK SAVINGS BANK OF KAZAKHSTAN | 207,210,133 | -10.72% | -3.85% | -8.55% | 2,804,278,858 | 345 |
| JOHNSON & JOHNSON | 986,855,091 | 7.69% | -5.70% | -21.09% | 7,824,865,268 | 1,072 |
| CAIXA GERAL DE DEPOSITOS, S.A. | 263,234,252 | 4.87% | 100.00% | 100.00% | 1,491,879,983 | 296 |
| SANTANDER UK PLC | 271,848,849 | -4.46% | 1.20% | -20.61% | 4,696,300,539 | 738 |
| DE US, INC. | 598,177,194 | 4.40% | -17.00% | 100.00% | 11,813,977,357 | 3,088 |
| PULTEGROUP, INC. | 1,462,112,642 | 4.32% | -0.54% | -13.88% | 23,461,826,522 | 4,208 |
| TOSHIBA CORP. | 1,018,501,807 | -4.28% | -9.82% | 18.13% | 9,078,309,014 | 1,738 |
| PITNEY BOWES INC. | 1,217,773,738 | -3.79% | -3.67% | -13.80% | 18,580,764,120 | 2,480 |
| SMITHFIELD FOODS, INC. | 379,528,938 | -3.75% | -14.06% | -25.41% | 4,829,965,453 | 1,418 |
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.