Top 15 Sovereign and Corporate Credit Default Swaps

For Week Ending April 18

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

  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


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