Once again, Italy, Brazil and France remained atop the list of sovereign entities with the largest net notional amount to be paid out in case of default. Italy's net notional increased by 0.93% from two weeks ago, while Brazil and France saw their net notional amounts drop by 1.05% and 1.32%, respectively. Things were also unchanged on the corporate side, where General Electric Capital Corp. (2.15% increase in net notional), Berkshire Hathaway Inc. (0.36% increase) and Metlife Inc. (0.02% increase) took the top three spots on the list.
The country that experienced the largest change in net notional from last week to this was Croatia, with an 8.38% increase. Rounding out the top three were South Korea, whose net notional dropped by 4.37%, and Slovenia, whose net notional dropped by a slightly smaller 4.26%.
On the corporate side, the biggest mover was Weatherford International Inc., a Swiss oil and natural gas service company, whose net notional to be paid out in case of default rose by 57.22%. Pennsylvania-based drug wholesale company AmericsourceBergen Corp. took the second spot, with a 20.13% rise in net notional, while Dole Food Company Inc. saw an 18.66% increase in its total net notional amount.
| Top 10 Sovereign Reference Entities by Net Notional (Week ending January 18, 2013) | ||||||
| Net Notional (USD EQ) | Net % Change (1 week) | Net % Change (4 weeks) | Net % Change (1 year) | Gross Notional (USD EQ) | Contracts | |
| ITALY | 21,368,676,082 | 0.93% | 0.52% | -3.76% | 395,678,522,151 | 13,209 |
| BRAZIL | 17,411,420,509 | -1.05% | 1.00% | -2.19% | 159,088,915,038 | 10,005 |
| FRANCE | 15,470,495,572 | -1.32% | -1.37% | -29.77% | 181,075,327,265 | 7,676 |
| GERMANY | 14,639,827,042 | -1.63% | -4.56% | -23.84% | 159,866,593,437 | 6,044 |
| SPAIN | 12,663,030,870 | 1.50% | 0.02% | -12.26% | 215,982,587,939 | 10,297 |
| JAPAN | 9,412,945,558 | -1.34% | -4.30% | 4.58% | 79,493,894,847 | 7,857 |
| UNITED KINGDOM | 8,052,838,897 | -0.84% | -1.99% | -34.11% | 70,712,057,247 | 4,554 |
| CHINA | 8,050,611,415 | -0.50% | -0.18% | -9.05% | 76,004,288,387 | 8,283 |
| MEXICO | 7,991,793,117 | -0.55% | -0.59% | -3.88% | 119,260,860,460 | 8,433 |
| TURKEY | 7,449,690,236 | 2.76% | 4.74% | 47.20% | 142,966,660,127 | 9,394 |
| Top 10 Corporate Reference Entities by Net Notional (Week ending January 18, 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. | 8,931,188,235 | 2.15% | 2.84% | -15.37% | 77,652,054,879 | 6,002 |
| BERKSHIRE HATHAWAY INC. | 7,647,006,849 | 0.36% | 1.73% | 47.06% | 35,504,497,202 | 3,391 |
| METLIFE, INC. | 4,702,666,548 | 0.02% | -0.66% | 2.03% | 29,575,509,015 | 3,740 |
| DEUTSCHE BANK | 4,522,538,337 | -3.11% | 0.11% | -6.38% | 57,613,810,283 | 6,970 |
| BANK OF AMERICA CORP. | 4,486,982,959 | -2.98% | -1.68% | -22.24% | 60,800,884,047 | 7,003 |
| THE GOLDMAN SACHS GROUP, INC. | 4,455,079,638 | -0.21% | -1.08% | -3.20% | 69,518,644,308 | 7,024 |
| BARCLAYS BANK PLC | 4,082,996,074 | 0.26% | 4.16% | 16.84% | 48,805,449,343 | 6,200 |
| MORGAN STANLEY | 3,874,802,854 | 2.16% | 3.37% | -5.23% | 65,100,413,683 | 6,707 |
| WELLS FARGO & CO. | 3,738,530,615 | -0.60% | 3.13% | -26.00% | 48,374,224,021 | 5,856 |
| JPMORGAN CHASE & CO. | 3,386,092,443 | -1.28% | 1.11% | -39.32% | 62,247,979,894 | 6,561 |
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 | |
| CROATIA | 489,722,134 | 8.38% | 15.00% | -30.88% | 12,150,407,708 | 1,420 |
| SOUTH KOREA | 6,076,744,562 | -4.37% | -5.11% | 20.99% | 86,383,255,046 | 9,210 |
| SLOVENIA | 712,486,095 | -4.26% | -3.07% | -3.47% | 8,500,635,003 | 752 |
| IRELAND | 2,777,206,408 | -4.01% | -1.43% | -23.09% | 50,279,497,130 | 3,522 |
| AUSTRALIA | 3,392,282,875 | -3.95% | -9.83% | -33.59% | 39,357,376,517 | 4,534 |
| VENEZUELA | 2,107,382,974 | 3.73% | 11.70% | -13.84% | 48,467,067,408 | 4,053 |
| LATVIA | 507,569,830 | -3.29% | -3.01% | -11.60% | 10,854,396,627 | 1,276 |
| SOUTH AFRICA | 3,032,991,285 | 3.10% | 7.50% | 36.88% | 53,286,985,647 | 5,619 |
| CHILE | 782,943,496 | -2.98% | -0.85% | 40.07% | 5,958,603,332 | 607 |
| TURKEY | 7,449,690,236 | 2.76% | 4.74% | 47.20% | 142,966,660,127 | 9,394 |
| 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 | |
| WEATHERFORD INTERNATIONAL, INC. | 294,371,516 | 57.22% | 62.05% | 34.04% | 2,837,096,597 | 594 |
| AMERISOURCEBERGEN CORP. | 268,044,435 | 20.13% | 20.43% | -1.49% | 2,968,121,421 | 828 |
| DOLE FOOD COMPANY, INC. | 194,299,155 | 18.66% | 30.02% | -29.83% | 2,466,634,645 | 629 |
| COCA-COLA REFRESHMENTS USA, INC. | 420,336,295 | 18.26% | 18.47% | 3.81% | 6,028,898,649 | 1,320 |
| TELEKOMUNIKACJA POLSKA SPOLKA AKCYJNA | 181,058,493 | -16.29% | -15.39% | -32.82% | 1,745,415,522 | 450 |
| ILLINOIS TOOL WORKS INC. | 182,425,076 | 15.86% | 16.01% | -12.05% | 1,642,787,946 | 302 |
| LINDE AKTIENGESELLSCHAFT | 894,712,932 | 15.51% | 24.02% | -5.63% | 17,032,320,618 | 2,471 |
| DELHAIZE AMERICA, LLC | 347,070,257 | 14.95% | 15.12% | 28.49% | 4,809,490,520 | 1,297 |
| INVENSYS PLC | 162,725,222 | -14.02% | -12.85% | -37.09% | 5,016,970,426 | 1,068 |
| COMMERZBANK AKTIENGESELLSCHAFT | 2,220,040,921 | 14.02% | 10.07% | 3.49% | 45,327,095,984 | 6,538 |
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.
