Italy, Brazil and France maintained their standing atop the list of countries that would pay out the highest net notional amount in the event of default. The net notional amounts of all three remained relatively stable, with Italy experiencing a 1.05% decrease from last week, while Brazil and France saw increases of 0.54% and 0.02%, respectively.
The corporate side was also consistent, with General Electric Chemical Corp. (0.21% decrease in net notional), Berkshire Hathaway Inc. (0.32% increase) and Metlife Inc. (1.25% decrease) once again ranking as the companies with the largest net notional amounts.
Ireland was the sovereign entity with the most movement in net notional amount this week, with a decrease of 9.88%. Argentina and Egypt also saw their net notional fall by 5.92% and 4.20%. The most volatile corporate entity was Sanmina-Sci Corp., a California-based electronics manufacturing services provider, whose net notional amount jumped by 25.47%. Japan's Mitsubishi Chemical Corp. landed in the second spot with a 16.64% rise in net notional, and Ageas, a Belgian-Dutch insurance company, experienced a 13.64% increase.
| Top 10 Sovereign Reference Entities by Net Notional (Week ending January 04, 2013) | ||||||
| Net Notional (USD EQ) | Net % Change (1 week) | Net % Change (4 weeks) | Net % Change (1 year) | Gross Notional (USD EQ) | Contracts | |
| ITALY | 21,051,903,152 | -1.05% | -0.22% | -1.44% | 388,134,186,854 | 13,010 |
| BRAZIL | 17,399,919,883 | 0.54% | 3.86% | -4.30% | 156,392,760,926 | 9,748 |
| FRANCE | 15,728,586,366 | 0.02% | -6.35% | -27.91% | 177,438,363,600 | 7,547 |
| GERMANY | 14,937,665,805 | -2.18% | -3.17% | -22.93% | 154,731,771,117 | 5,838 |
| SPAIN | 12,411,586,964 | -2.04% | -1.83% | -21.63% | 212,935,499,745 | 10,129 |
| JAPAN | 9,739,775,687 | -0.20% | -4.02% | 10.88% | 78,523,163,548 | 7,635 |
| MEXICO | 8,270,633,685 | -0.76% | -5.46% | -3.71% | 117,805,642,821 | 8,321 |
| CHINA | 8,108,939,307 | 0.45% | -7.75% | -12.28% | 74,869,718,471 | 8,143 |
| UNITED KINGDOM | 8,078,736,243 | -1.27% | -2.37% | -33.71% | 70,435,769,978 | 4,540 |
| TURKEY | 7,081,468,760 | -1.68% | -1.25% | 40.09% | 137,678,160,845 | 9,062 |
| Top 15 Corporate Reference Entities by Net Notional (Week ending January 04, 2013) | ||||||
| Net Notional (USD EQ) | Net % Change (1 week) | Net % Change (4 weeks) | Net % Change (1 year) | Gross Notional (USD EQ) | Contracts | |
| GE CAPITAL CORP. | 8,653,369,431 | -0.21% | -6.27% | -19.75% | 77,385,821,221 | 6,007 |
| BERKSHIRE HATHAWAY INC. | 7,541,914,254 | 0.32% | 0.89% | 45.51% | 34,604,519,114 | 3,375 |
| METLIFE, INC. | 4,675,321,164 | -1.25% | -1.94% | 1.03% | 29,370,177,875 | 3,723 |
| BANK OF AMERICA CORP. | 4,606,071,296 | 0.87% | 2.11% | -19.36% | 67,284,281,368 | 7,916 |
| DEUTSCHE BANK | 4,578,926,823 | -1.12% | -6.12% | -0.10% | 55,963,882,735 | 6,806 |
| THE GOLDMAN SACHS GROUP, INC. | 4,462,639,554 | -1.31% | -12.56% | -5.79% | 68,348,935,518 | 6,967 |
| BARCLAYS BANK PLC | 3,893,967,405 | -0.92% | -9.34% | 18.38% | 47,555,932,846 | 6,156 |
| MORGAN STANLEY | 3,774,110,470 | 0.52% | -17.16% | -10.55% | 66,979,712,622 | 7,034 |
| WELLS FARGO & CO. | 3,680,783,241 | 0.45% | -7.16% | -28.33% | 48,033,535,195 | 5,848 |
| JPMORGAN CHASE & CO. | 3,353,461,365 | 0.60% | -13.45% | -40.20% | 63,902,308,361 | 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 | |
| IRELAND | 2,553,959,792 | -9.88% | -11.33% | -28.79% | 49,918,553,334 | 3,491 |
| ARGENTINA | 1,406,278,432 | -5.92% | -7.81% | -39.11% | 37,304,659,136 | 3,665 |
| EGYPT | 460,361,277 | -4.20% | -7.76% | -39.97% | 4,295,659,138 | 1,001 |
| RUSSIA | 4,482,733,938 | -4.15% | -11.32% | 9.30% | 109,797,055,287 | 8,628 |
| AUSTRALIA | 3,585,752,581 | -3.46% | -8.09% | -29.37% | 39,242,549,648 | 4,435 |
| CROATIA | 441,000,252 | 3.45% | 1.71% | -2.89% | 11,551,656,038 | 1,333 |
| PORTUGAL | 4,165,812,396 | -2.96% | -2.98% | -18.53% | 70,837,948,298 | 4,651 |
| HUNGARY | 1,940,387,061 | -2.60% | 0.94% | 100.00% | 69,257,274,699 | 6,549 |
| USA | 3,410,744,548 | -2.43% | -0.24% | -31.31% | 23,245,438,126 | 1,024 |
| GERMANY | 14,937,665,805 | -2.18% | -3.17% | -22.93% | 154,731,771,117 | 5,838 |
| 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 | |
| SANMINA-SCI CORP. | 226,571,342 | 25.47% | -11.49% | -22.60% | 3,569,984,355 | 1,146 |
| MITSUBISHI CHEMICAL CORP. | 267,567,216 | 16.64% | -4.75% | 100.00% | 1,895,088,192 | 273 |
| AGEAS N.V. | 271,397,216 | 13.64% | -15.66% | -29.00% | 2,644,658,542 | 450 |
| STATOIL ASA | 706,567,643 | -11.97% | -16.02% | -10.42% | 5,769,689,873 | 1,027 |
| MTR CORPORATION LTD. | 94,146,356 | -11.63% | -21.23% | -35.61% | 1,435,583,614 | 289 |
| THE ROYAL BANK OF SCOTLAND N.V. | 607,583,064 | -10.64% | -24.22% | -4.56% | 13,968,647,838 | 1,776 |
| HASBRO, INC. | 212,133,066 | -8.96% | -28.41% | -44.70% | 4,137,542,146 | 1,092 |
| SUMITOMO CORP. | 518,108,542 | -8.35% | -6.17% | -22.06% | 4,985,525,556 | 891 |
| TRW AUTOMOTIVE INC. | 408,776,155 | -7.97% | -21.58% | -28.19% | 6,010,512,440 | 1,610 |
| CASINO GUICHARD-PERRACHON | 1,017,565,809 | -7.92% | 0.75% | -30.30% | 18,983,292,978 | 3,050 |
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.