Italy, Brazil and France continued their run as the trio of countries with the largest net notional amount to be paid out in the event of a default, according to the latest numbers from the Depository Trust & Clearing Corp. Italy's net notional amount increased by 0.14% from last week to this, while Brazil and France saw their net notional amounts fall by 0.85% and 0.50%, respectively.
The corporate side also was unchanged, with General Electric Capital Corp. (0.75% increase in net notional), Berkshire Hathaway Inc. (0.18% increase) and Metlife Inc. (0.16% decrease) topping the list.
The sovereign entity whose net notional amount changed the most from last week to this is Ukraine, with a decline of 12.90%. Croatia's net notional, meanwhile, rose by 8.96%. Rounding out the top three was Romania, with an 8.12% decrease in net notional.
Finally, the top corporate mover was Macy's Retail Holding Inc., whose net notional amount jumped by 21.95%. The Halyk Savings Bank of Kazakhstan (16.95% increase) and Texas-based XTO Energy Inc. (14.87%) increase also saw their net notional amounts go up.
| Top 10 Sovereign Reference Entities by Net Notional (Week ending January 25, 2013) | ||||||
| Net Notional (USD EQ) | Net % Change (1 week) | Net % Change (4 weeks) | Net % Change (1 year) | Gross Notional (USD EQ) | Contracts | |
| ITALY | 21,397,830,563 | 0.14% | 0.58% | -1.99% | 403,522,663,061 | 13,482 |
| BRAZIL | 17,263,343,109 | -0.85% | -0.25% | -2.67% | 157,456,442,053 | 9,748 |
| FRANCE | 15,393,610,021 | -0.50% | -2.11% | -29.96% | 181,868,858,099 | 7,750 |
| GERMANY | 14,657,247,230 | 0.12% | -4.01% | -23.92% | 160,485,734,064 | 6,053 |
| SPAIN | 12,500,872,747 | -1.28% | -1.34% | -12.30% | 218,013,423,340 | 10,400 |
| JAPAN | 9,088,179,286 | -3.45% | -6.88% | 1.16% | 79,906,616,470 | 7,926 |
| MEXICO | 8,090,459,485 | 1.23% | -2.92% | -3.56% | 119,771,035,232 | 8,455 |
| CHINA | 8,080,299,376 | 0.37% | 0.10% | -8.48% | 76,171,442,323 | 8,304 |
| UNITED KINGDOM | 8,054,294,262 | 0.02% | -1.56% | -34.09% | 70,830,966,483 | 4,562 |
| TURKEY | 7,664,378,371 | 2.88% | 6.41% | 45.53% | 142,083,609,581 | 9,322 |
| Top 10 Corporate Reference Entities by Net Notional (Week ending January 25, 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. | 8,997,783,530 | 0.75% | 3.76% | -15.82% | 78,093,948,353 | 6,012 |
| BERKSHIRE HATHAWAY INC. | 7,660,535,180 | 0.18% | 1.89% | 46.59% | 35,719,271,633 | 3,379 |
| METLIFE, INC. | 4,695,313,557 | -0.16% | -0.82% | 0.36% | 29,702,498,231 | 3,736 |
| DEUTSCHE BANK | 4,650,677,896 | 2.83% | 0.43% | -6.25% | 58,583,769,095 | 7,038 |
| BANK OF AMERICA CORP. | 4,493,838,450 | 0.15% | -1.58% | -21.39% | 61,419,436,416 | 7,064 |
| THE GOLDMAN SACHS GROUP, INC. | 4,488,321,160 | 0.75% | -0.74% | -6.30% | 65,876,707,525 | 6,562 |
| BARCLAYS BANK PLC | 4,112,433,187 | 0.72% | 4.64% | 16.06% | 49,678,562,079 | 6,230 |
| MORGAN STANLEY | 3,904,813,568 | 0.77% | 4.00% | -8.98% | 65,748,652,002 | 6,775 |
| WELLS FARGO & CO. | 3,768,177,705 | 0.79% | 2.83% | -24.13% | 47,443,831,689 | 5,738 |
| JPMORGAN CHASE & CO. | 3,378,575,529 | -0.22% | 1.36% | -38.38% | 62,720,920,418 | 6,616 |
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 | |
| UKRAINE | 794,155,747 | -12.90% | -6.93% | -3.23% | 32,505,331,434 | 3,170 |
| CROATIA | 533,584,865 | 8.96% | 25.16% | 8.61% | 12,167,864,517 | 1,411 |
| ROMANIA | 874,996,870 | -8.12% | -12.99% | -12.55% | 17,778,963,115 | 1,985 |
| RUSSIA | 4,869,711,938 | 7.14% | 4.13% | 18.70% | 113,463,395,227 | 8,898 |
| ESTONIA | 323,634,056 | 7.07% | 7.39% | -18.53% | 3,265,952,642 | 438 |
| CZECH REPUBLIC | 703,218,967 | 5.87% | 2.98% | -24.34% | 14,579,857,127 | 1,254 |
| EGYPT | 456,300,805 | 5.18% | -5.05% | -31.43% | 4,305,231,921 | 991 |
| PANAMA | 509,797,831 | -4.42% | -1.57% | -24.41% | 6,823,012,151 | 970 |
| SLOVAKIA | 865,169,089 | 3.75% | 4.78% | 8.58% | 13,057,275,677 | 1,045 |
| JAPAN | 9,088,179,286 | -3.45% | -6.88% | 1.16% | 79,906,616,470 | 7,926 |
| 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 | |
| MACY'S RETAIL HOLDINGS, INC. | 133,447,417 | 21.95% | 7.18% | -43.81% | 1,450,346,542 | 419 |
| HALYK SAVINGS BANK OF KAZAKHSTAN | 247,363,873 | 16.95% | 19.38% | -8.33% | 2,607,581,586 | 321 |
| XTO ENERGY INC. | 332,342,951 | 14.87% | 14.88% | 45.33% | 4,044,443,909 | 932 |
| ONEOK PARTNERS, L.P. | 356,422,508 | 14.78% | 16.88% | 25.42% | 2,225,100,535 | 497 |
| MURPHY OIL CORP. | 184,758,656 | 11.87% | 11.70% | -23.80% | 2,178,569,810 | 581 |
| ALLIED WASTE NORTH AMERICA, INC. | 176,674,040 | 11.79% | 11.89% | -26.55% | 2,313,342,188 | 580 |
| HUNTSMAN INTERNATIONAL LLC | 42,543,526 | -11.27% | -11.36% | -76.95% | 1,579,585,589 | 554 |
| JSC "KAZKOMMERTSBANK" | 258,367,185 | -10.67% | -13.65% | -32.31% | 6,434,035,406 | 853 |
| STANDARD PACIFIC CORP. | 477,978,764 | 10.61% | 15.08% | 40.95% | 5,919,317,603 | 1,469 |
| DELL INC. | 1,179,944,416 | 9.85% | 17.41% | 15.41% | 10,637,676,299 | 1,925 |
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.