Italy, Brazil and Germany were 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 and Brazil's net notional amounts increased by 0.97% and 4.15%, respectively from last week to this, while Germany saw its net notional amounts fall by 0.25%.
The corporate side saw General Electric Capital Corp. (0.86% increase in net notional), Berkshire Hathaway Inc. (0.51% decrease) and Deutsche Bank (0.65% decrease) topping the list.
The sovereign entity whose net notional amount changed the most from last week to this is Argentina, with an increase of 13.51%. Colombia’s net notional, meanwhile, rose by 9.79%. Rounding out the top three was Estonia, with an 9.62% decrease in net notional.
Finally, the top corporate mover was Orix Corp., whose net notional amount fell by 20.10%. DDR Corp. and Pilkington Group Limited also saw their net notional amounts decrease by 18.91% and 15.53%, respectively.
| Top 10 Sovereign Reference Entities by Net Notional (Week ending Dec 13, 2013) | |||||||
| Type | Net Notional (USD EQ) | Net % Change vs 1 Week Ago | Net % Change vs 4 Weeks Ago | Net % Change vs 52 Weeks Ago | Gross Notional (USD EQ) | Contracts | |
| ITALY | SOV | 18,036,293,901 | 0.97% | 1.27% | -15.44% | 393,407,903,707 | 12,685 |
| BRAZIL | SOV | 16,334,080,373 | 4.15% | 12.62% | -1.33% | 139,146,320,820 | 9,389 |
| GERMANY | SOV | 11,839,200,214 | -0.25% | -6.57% | -23.18% | 128,789,057,475 | 4,093 |
| FRANCE | SOV | 11,115,635,490 | -0.38% | -1.59% | -30.76% | 154,111,808,973 | 6,212 |
| MEXICO | SOV | 10,243,912,991 | 4.69% | 9.68% | 19.14% | 109,081,742,628 | 8,112 |
| SPAIN | SOV | 9,775,280,688 | -1.82% | 1.00% | -22.79% | 179,179,922,674 | 7,950 |
| JAPAN | SOV | 9,547,098,789 | -0.22% | -0.45% | -3.57% | 70,627,318,365 | 6,002 |
| CHINA | SOV | 8,601,314,004 | 4.04% | 4.77% | 2.35% | 67,417,009,824 | 5,961 |
| TURKEY | SOV | 8,428,019,994 | -0.32% | 1.42% | 18.35% | 110,088,211,299 | 7,224 |
| SOUTH KOREA | SOV | 6,896,408,424 | -0.59% | -0.83% | 3.09% | 73,245,875,625 | 6,017 |
| Top 10 Corporate Reference Entities by Net Notional (Week ending Dec 13, 2013) | |||||||
| Type | Net Notional (USD EQ) | Net % Change vs 1 Week Ago | Net % Change vs 4 Weeks Ago | Net % Change vs 52 Weeks Ago | Gross Notional (USD EQ) | Contracts | |
| GENERAL ELECTRIC CAPITAL CORPORATION | CORP | 7,713,269,237 | 0.86% | 4.59% | -18.55% | 61,757,949,036 | 5,045 |
| BERKSHIRE HATHAWAY INC. | CORP | 5,896,824,332 | -0.51% | 1.10% | -23.29% | 32,984,544,954 | 3,155 |
| DEUTSCHE BANK AKTIENGESELLSCHAFT | CORP | 4,532,532,865 | -0.65% | 1.48% | -8.62% | 47,631,713,969 | 5,148 |
| BARCLAYS BANK PLC | CORP | 4,365,937,327 | -0.50% | 5.19% | 0.66% | 41,960,410,134 | 4,916 |
| JPMORGAN CHASE & CO. | CORP | 4,072,129,744 | 0.20% | 0.46% | 5.39% | 50,907,404,949 | 5,762 |
| METLIFE, INC. | CORP | 3,699,941,721 | -0.32% | -0.13% | -22.87% | 25,408,691,445 | 3,155 |
| AXA | CORP | 3,537,397,679 | 1.92% | 10.27% | 8.35% | 35,776,667,965 | 4,329 |
| BANK OF AMERICA CORPORATION | CORP | 3,277,159,735 | -0.24% | -3.53% | -27.17% | 51,650,943,776 | 6,158 |
| MORGAN STANLEY | CORP | 3,212,885,142 | 0.86% | -0.09% | -27.91% | 55,068,249,237 | 5,822 |
| TELEFONICA, S.A. | CORP | 3,209,165,846 | 3.42% | 2.45% | -8.54% | 39,037,802,971 | 4,261 |
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 | |||||||
| Type | Net Notional (USD EQ) | Net % Change vs 1 Week Ago | Net % Change vs 4 Weeks Ago | Net % Change vs 52 Weeks Ago | Gross Notional (USD EQ) | Contracts | |
| ARGENTINA | SOV | 848,756,486 | 13.51% | 11.04% | -46.00% | 23,434,425,557 | 2,685 |
| COLOMBIA | SOV | 1,911,093,889 | 9.79% | 9.73% | 3.09% | 21,428,818,602 | 2,122 |
| ESTONIA | SOV | 142,135,054 | -9.62% | -36.57% | -52.75% | 2,037,675,725 | 294 |
| SLOVENIA | SOV | 504,666,526 | -9.35% | -20.82% | -32.26% | 8,494,519,387 | 848 |
| LATVIA | SOV | 447,095,058 | -8.15% | -5.89% | -18.15% | 8,024,599,903 | 843 |
| CROATIA | SOV | 838,106,442 | 7.90% | 21.71% | 90.50% | 12,389,606,567 | 1,233 |
| SAUDI ARABIA | SOV | 439,657,500 | -6.29% | -8.24% | -9.97% | 2,939,669,900 | 283 |
| PERO | SOV | 1,576,807,177 | 5.62% | 4.65% | -7.22% | 16,084,537,893 | 1,736 |
| PANAMA | SOV | 377,523,924 | -5.51% | 1.10% | -18.79% | 5,523,293,279 | 822 |
| SOUTH AFRICA | SOV | 3,907,420,039 | 4.81% | 9.03% | 35.94% | 47,952,711,195 | 4,882 |
| Top 10 Corporate Reference Entities by Net Notional Change vs 1 Week Ago | |||||||
| Type | Net Notional (USD EQ) | Net % Change vs 1 Week Ago | Net % Change vs 4 Weeks Ago | Net % Change vs 52 Weeks Ago | Gross Notional (USD EQ) | Contracts | |
| ORIX CORPORATION | CORP | 609,801,105 | -20.10% | -20.60% | -12.49% | 6,487,010,917 | 1,514 |
| DDR CORP. | CORP | 329,570,351 | -18.91% | -18.74% | -31.55% | 3,569,055,056 | 785 |
| PILKINGTON GROUP LIMITED | CORP | 133,809,367 | -15.53% | -14.35% | -41.38% | 1,985,541,948 | 481 |
| ILLINOIS TOOL WORKS INC. | CORP | 93,059,380 | 13.81% | 3.64% | -43.63% | 1,233,443,928 | 248 |
| TELEVISION FRANCAISE 1 | CORP | 124,662,955 | -13.46% | -12.76% | -47.33% | 1,338,667,434 | 292 |
| BRITISH SKY BROADCASTING GROUP PLC | CORP | 460,043,262 | -12.32% | -14.79% | -9.83% | 8,717,980,787 | 1,434 |
| FAIRFAX FINANCIAL HOLDINGS LIMITED | CORP | 156,941,507 | 12.25% | 12.26% | -22.91% | 1,369,216,306 | 334 |
| ROGERS COMMUNICATIONS INC. | CORP | 302,543,925 | -11.83% | -12.06% | -43.23% | 1,983,127,778 | 443 |
| PUBLICIS GROUPE SA | CORP | 621,469,585 | -11.80% | -10.13% | -13.88% | 9,587,253,739 | 1,649 |
| PRIDE INTERNATIONAL, INC. | CORP | 148,798,970 | -11.43% | -11.36% | -47.59% | 2,344,283,956 | 607 |
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.