The Depository Trust & Clearing Corporation (DTCC) publishes weekly data listing credit default swaps (CDS) contracts on the top 15 sovereign and corporate reference entities by net notional amount as well as the Top 10 volume movers by percentage change based on the net notional amount registered in its Trade Information Warehouse.
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, where you can also view more extensive information on the total size of the global CDS market and other data. DTCC makes this information available to the public as part of its ongoing efforts to bring greater transparency to the CDS market.
The gross notional amount represents the value of all active CDS contracts, including offsetting contracts. The net notional amount is a better indication of risk since it eliminates offsetting CDS contracts and represents the maximum amount that would have to be paid in the event of a default by the indicated entity, assuming netting across trade counterparties’ families.* The Top 10 volume movers show the reference entities with the largest notional movement for that week compared to one week ago (table #3) and four weeks ago (table #4), using data from the Top 1000 reference entities on www.dtcc.com.
Note: A counterparty family will typically include all of the accounts of a particular asset manager or corporate affiliates rolled up to the holding company level.
| Top 15 Sovereign Reference Entities by Net Notional (Week ending Apr 18, 2014) | |||||||
| 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 | 19,268,697,753 | -0.16% | 4.81% | -7.40% | 366,789,805,082 | 13,148 |
| BRAZIL | SOV | 17,264,365,463 | 0.70% | -1.84% | -2.12% | 129,258,765,670 | 9,360 |
| CHINA | SOV | 12,095,542,594 | 0.62% | 5.72% | 71.76% | 77,188,337,343 | 7,862 |
| MEXICO | SOV | 11,843,419,970 | -0.28% | 1.26% | 38.89% | 100,291,858,862 | 7,286 |
| GERMANY | SOV | 11,380,774,517 | -0.38% | 0.02% | -19.02% | 119,846,319,896 | 3,624 |
| SPAIN | SOV | 10,298,819,153 | 1.19% | 4.11% | -9.52% | 166,921,722,134 | 7,603 |
| FRENCH REPUBLIC | SOV | 9,833,989,073 | 1.34% | -4.40% | -32.74% | 141,252,638,806 | 5,695 |
| JAPAN | SOV | 9,358,078,467 | 0.53% | -1.42% | -2.21% | 63,623,303,748 | 4,599 |
| TURKEY | SOV | 9,115,913,460 | -0.34% | 5.79% | 16.63% | 123,658,861,540 | 9,059 |
| RUSSIAN FEDERATION | SOV | 8,740,753,101 | 5.09% | 18.60% | 66.02% | 121,410,409,901 | 10,943 |
| KOREA | SOV | 7,034,318,103 | -0.14% | 1.67% | 16.56% | 68,196,753,832 | 5,310 |
| UNITED KINGDOM | SOV | 5,319,559,319 | -0.02% | 0.05% | -27.07% | 59,276,692,086 | 3,135 |
| SOUTH AFRICA | SOV | 4,745,808,141 | 0.57% | 3.78% | 47.99% | 51,943,992,129 | 5,374 |
| AUSTRALIA | SOV | 4,065,580,199 | 0.59% | 1.88% | 14.93% | 24,199,480,459 | 1,447 |
| UNITED STATES | SOV | 4,055,597,877 | 1.21% | 1.35% | 23.63% | 21,230,045,778 | 868 |
| Top 15 Corporate Reference Entities by Net Notional (Week ending Apr 18, 2014) | |||||||
| 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 | CORP | 8,714,925,367 | 2.40% | 11.84% | 8.33% | 57,037,894,777 | 4,460 |
| BERKSHIRE HATHAWAY INC. | CORP | 6,602,287,641 | 1.67% | 7.77% | -6.30% | 33,081,956,029 | 3,118 |
| METLIFE, INC. | CORP | 4,519,808,142 | 2.69% | 7.40% | 5.33% | 25,159,764,249 | 3,139 |
| DEUTSCHE BANK | CORP | 4,480,022,071 | -0.31% | 0.53% | 0.56% | 45,453,118,578 | 4,892 |
| BARCLAYS BANK PLC | CORP | 4,200,162,042 | 0.99% | 8.09% | 8.25% | 39,217,389,270 | 4,624 |
| BANK OF AMERICA CORP. | CORP | 4,185,858,334 | -0.08% | 4.63% | -1.52% | 60,734,696,479 | 7,656 |
| JPMORGAN CHASE & CO. | CORP | 4,183,796,338 | 0.66% | 5.56% | 10.46% | 44,446,589,224 | 5,048 |
| TELEFONICA, S.A. | CORP | 3,552,177,974 | -0.06% | 8.98% | 26.00% | 35,058,996,509 | 4,218 |
| AXA | CORP | 3,478,173,001 | 0.33% | -0.35% | 1.54% | 32,916,727,142 | 3,920 |
| PETROLEO BRASILEIRO S/A | CORP | 3,280,750,604 | -0.66% | 6.53% | 1.52% | 11,543,490,263 | 1,805 |
| DAIMLER AG | CORP | 2,934,141,553 | -1.28% | 0.95% | 1.52% | 31,240,223,939 | 3,254 |
| UNICREDIT, SOCIETA PER AZIONI | CORP | 2,853,475,613 | 3.87% | 2.33% | -16.98% | 38,471,435,688 | 4,952 |
| THE GOLDMAN SACHS GROUP | CORP | 2,803,096,323 | -0.32% | 2.17% | -32.53% | 43,786,922,948 | 4,906 |
| VOLKSWAGEN | CORP | 2,792,030,026 | -1.04% | -0.25% | -9.07% | 29,265,463,325 | 2,932 |
| BANCO SANTANDER, S.A. | CORP | 2,666,687,821 | -0.94% | 0.53% | 30.97% | 51,323,388,114 | 5,701 |
| 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 | |
| REPUBLIC OF KAZAKHSTAN | SOV | 791,094,116 | 25.05% | 26.62% | 12.11% | 7,795,988,537 | 894 |
| RUSSIAN FEDERATION | SOV | 8,740,753,101 | 5.09% | 18.60% | 66.02% | 121,410,409,901 | 10,943 |
| KINGDOM OF NORWAY | SOV | 699,322,209 | -4.82% | -4.63% | -21.21% | 9,048,992,782 | 530 |
| REPUBLIC OF CYPRUS | SOV | 192,749,871 | 3.98% | 2.34% | -31.47% | 1,898,351,439 | 294 |
| HUNGARY | SOV | 1,158,659,161 | -3.17% | -4.05% | -28.71% | 45,926,716,823 | 4,049 |
| ROMANIA | SOV | 914,177,299 | 2.31% | 2.32% | -12.06% | 11,996,933,002 | 1,281 |
| BOLIVARIAN REPUBLIC OF VENEZUELA | SOV | 1,909,710,032 | 1.93% | 4.23% | -12.84% | 38,118,337,621 | 3,057 |
| CZECH REPUBLIC | SOV | 475,110,400 | 1.92% | -10.31% | -25.13% | 11,974,993,374 | 932 |
| REPUBLIC OF PANAMA | SOV | 535,815,747 | 1.90% | 7.63% | 2.96% | 5,233,543,644 | 831 |
| SOCIALIST REPUBLIC OF VIETNAM | SOV | 496,965,825 | -1.78% | -0.80% | -1.82% | 4,910,696,023 | 700 |
| 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 | |
| KABEL DEUTSCHLAND VERTRIEB UND SERVICE GMBH | CORP | 200,080,690 | -18.22% | -20.42% | -49.53% | 9,193,685,348 | 1,993 |
| ENERGY FUTURE HOLDINGS CORP. | CORP | 123,321,449 | 18.20% | 11.73% | -76.05% | 2,512,807,683 | 1,680 |
| PRIDE INTERNATIONAL, INC. | CORP | 139,223,867 | 16.72% | 16.79% | -35.52% | 1,874,582,193 | 501 |
| ACCOR | CORP | 471,106,770 | -16.61% | -15.27% | -46.79% | 9,894,381,835 | 1,480 |
| BANCA POPOLARE DI MILANO SOC. COOP. A R.L. | CORP | 142,111,779 | -13.88% | -18.59% | -14.80% | 1,578,880,713 | 331 |
| DISH DBS CORPORATION | CORP | 585,519,450 | -12.02% | -10.81% | -19.90% | 5,635,167,536 | 1,384 |
| ONEOK, INC. | CORP | 280,959,169 | -10.52% | -9.65% | -41.21% | 5,881,525,741 | 1,160 |
| TELENOR ASA | CORP | 551,808,755 | -9.80% | -8.97% | -25.02% | 10,617,104,929 | 1,513 |
| CON-WAY INC. | CORP | 418,886,656 | -8.14% | -8.19% | -22.55% | 4,123,531,905 | 936 |
| COLGATE-PALMOLIVE CO. | CORP | 158,560,519 | -8.08% | -10.64% | -28.98% | 1,137,417,712 | 290 |
|
Top 10 Sovereign Reference Entities by Net Notional Change vs 4 Weeks Ago |
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| 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 | |
| REPUBLIC OF KAZAKHSTAN | SOV | 791,094,116 | 25.05% | 26.62% | 12.11% | 7,795,988,537 | 894 |
| RUSSIAN FEDERATION | SOV | 8,740,753,101 | 5.09% | 18.60% | 66.02% | 121,410,409,901 | 10,943 |
| CZECH REPUBLIC | SOV | 475,110,400 | 1.92% | -10.31% | -25.13% | 11,974,993,374 | 932 |
| REPUBLIC OF INDONESIA | SOV | 3,387,083,180 | 1.38% | 10.09% | 8.31% | 30,292,263,321 | 3,715 |
| ARAB REPUBLIC OF EGYPT | SOV | 268,351,034 | 0.00% | -8.52% | -35.81% | 3,225,043,424 | 724 |
| REPUBLIC OF LATVIA | SOV | 356,029,456 | -1.57% | -8.48% | -30.48% | 7,895,111,818 | 829 |
| ARGENTINE REPUBLIC | SOV | 769,855,798 | 1.47% | -8.17% | -48.62% | 20,151,936,991 | 2,346 |
| REPUBLIC OF PANAMA | SOV | 535,815,747 | 1.90% | 7.63% | 2.96% | 5,233,543,644 | 831 |
| SLOVAK REPUBLIC | SOV | 619,299,775 | -1.77% | 7.33% | -30.51% | 10,629,139,809 | 879 |
| REPUBLIC OF POLAND | SOV | 978,561,688 | -0.17% | -6.88% | -27.90% | 27,566,959,244 | 2,393 |
| Top 10 Corporate Reference Entities by Net Notional Change vs 4 Weeks 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 | |
| NTC S.A. | CORP | 215,815,243 | -0.48% | 39.77% | 12.97% | 1,040,515,147 | 183 |
| DOLE FOOD COMPANY, INC. | CORP | 203,498,345 | 0.00% | 32.34% | 4.76% | 1,684,685,231 | 509 |
| METSA BOARD CORPORATION | CORP | 548,071,767 | 2.67% | 27.64% | 41.08% | 9,523,148,630 | 2,159 |
| TEVA PHARMACEUTICAL INDUSTRIES LIMITED | CORP | 176,254,141 | 100.00% | 27.06% | -14.59% | 986,833,099 | 250 |
| CNOOC LIMITED | CORP | 296,687,392 | -0.15% | 25.39% | 13.51% | 1,453,540,605 | 289 |
| SUN HUNG KAI PROPERTIES LIMITED | CORP | 333,108,785 | 0.00% | 24.48% | 100.00% | 1,115,058,785 | 224 |
| PARKER DRILLING COMPANY | CORP | 128,920,441 | 6.26% | 23.92% | -22.51% | 1,325,355,795 | 532 |
| BASF PERSONAL CARE AND NUTRITION GMBH | CORP | 141,305,139 | -0.52% | 22.73% | -2.54% | 3,659,489,230 | 704 |
| EILEME 2 AB (PUBL) | CORP | 311,218,259 | -1.39% | -22.54% | 100.00% | 2,407,409,026 | 851 |
| RWE AKTIENGESELLSCHAFT | CORP | 1,271,875,677 | -6.03% | -21.85% | -7.10% | 17,832,065,090 | 2,091 |