Top 15 Sovereign and Corporate Credit Default Swaps

For the week ending May 16

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 and four weeks ago, using data from the Top 1000 reference entities.

 

Top 15 Sovereign Reference Entities by Net Notional (Week ending May 16, 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  19,599,504,859 1.06% 1.72% 0.56%  389,216,146,700  13,511
BRAZIL SOV  17,420,633,308 -0.67% 0.91% -0.56%  140,137,382,373  9,569
CHINA SOV  13,434,998,190 3.47% 11.07% 89.08%  81,972,925,488  8,707
MEXICO SOV  12,211,627,917 -0.59% 3.11% 44.65%  104,119,422,425  7,388
GERMANY SOV  11,149,025,926 -0.58% -2.04% -20.29%  131,414,045,572  3,727
SPAIN SOV  10,673,511,379 1.38% 3.64% -5.77%  173,447,557,780  7,704
RUSSIA SOV  9,599,186,013 1.69% 9.82% 75.16%  128,997,166,159  11,477
TURKEY SOV  9,514,223,351 -6.37% 4.37% 21.27%  136,442,466,669  9,621
JAPAN SOV  9,403,922,057 -0.41% 0.49% -1.03%  65,170,773,031  4,641
FRANCE SOV  9,228,688,115 -6.46% -6.16% -38.41%  144,581,883,891  5,663
KOREA SOV  7,092,566,969 0.52% 0.83% 20.37%  69,780,773,639  5,449
UNITED KINGDOM SOV  5,325,558,177 -0.02% 0.11% -21.84%  62,212,415,980  3,172
SOUTH AFRICA SOV  4,558,725,865 0.58% -3.94% 33.31%  53,166,536,279  5,592
AUSTRALIA SOV  3,975,826,590 -2.36% -2.21% 13.90%  24,210,634,450  1,456
UNITED STATES OF AMERICA SOV  3,946,151,356 -0.46% -2.70% 22.81%  23,589,021,970  927
               
Top 15 Corporate Reference Entities by Net Notional (Week ending May 16, 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  8,902,566,778 -1.21% 2.15% 9.99%  60,283,728,868  4,596
BERKSHIRE HATHAWAY INC. CORP  6,705,220,206 0.11% 1.56% -3.15%  34,533,062,130  3,121
METLIFE, INC. CORP  4,640,958,232 -1.15% 2.68% 17.43%  26,784,418,335  3,355
DEUTSCHE BANK  CORP  4,300,328,014 -1.52% -4.01% -2.15%  46,910,882,006  5,105
BARCLAYS BANK PLC CORP  4,284,269,545 -1.02% 2.00% 6.73%  40,725,789,979  4,780
JPMORGAN CHASE & CO. CORP  4,275,007,290 -0.28% 2.18% 9.22%  47,790,897,912  5,411
BANK OF AMERICA  CORP  4,161,658,810 0.17% -0.58% 0.94%  62,759,780,216  7,842
TELEFONICA, S.A. CORP  3,582,565,190 1.23% 0.86% 25.08%  36,193,680,864  4,256
AXA CORP  3,429,852,077 -1.26% -1.39% 2.67%  34,109,626,526  3,984
PETROLEO BRASILEIRO CORP  3,385,182,288 0.75% 3.18% -3.65%  12,230,898,915  1,913
THE GOLDMAN SACHS GROUP CORP  3,022,465,456 0.71% 7.83% -28.69%  46,193,768,982  5,093
UNICREDIT CORP  2,936,866,647 0.14% 2.92% -12.57%  40,610,286,031  5,220
DAIMLER AG CORP  2,879,387,328 -0.48% -1.87% 0.22%  32,342,863,023  3,301
VOLKSWAGEN  CORP  2,791,829,948 0.72% -0.01% -10.31%  30,263,170,815  2,993
MORGAN STANLEY CORP  2,608,431,431 1.26% -1.08% -31.06%  47,804,796,273  5,356
               
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 
VENEZUELA SOV  2,103,173,891 -16.51% 10.13% -9.09%  41,907,614,333  3,245
LATVIA SOV  406,250,166 6.75% 14.11% -20.33%  9,007,748,211  871
FRANCE SOV  9,228,688,115 -6.46% -6.16% -38.41%  144,581,883,891  5,663
TURKEY SOV  9,514,223,351 -6.37% 4.37% 21.27%  136,442,466,669  9,621
CZECH REPUBLIC SOV  386,555,541 -6.36% -18.64% -38.72%  11,758,162,806  922
ARGENTINA SOV  818,970,234 -6.32% 6.38% -45.07%  21,877,215,546  2,552
CYPRUS SOV  204,644,873 6.01% 6.17% -26.56%  2,189,906,387  311
PANAMA SOV  551,544,003 4.74% 2.94% 6.44%  5,844,706,726  893
UKRAINE SOV  616,450,257 4.35% 8.40% -30.80%  21,236,581,614  2,571
BULGARIA SOV  515,309,361 -4.25% 6.88% 5.40%  12,724,766,935  1,240
               
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 
EMERSON ELECTRIC CO. CORP  116,884,316 -14.56% -14.93% -25.67%  1,091,269,262  287
BRITISH AMERICAN TOBACCO CORP  662,071,068 11.76% -0.32% -35.64%  12,169,220,404  1,756
KATE SPADE & COMPANY CORP  229,303,474 11.46% 100.00% 100.00%  1,361,016,234  356
SHARP CORPORATION CORP  247,139,382 11.45% 26.31% -30.33%  3,267,816,524  956
EILEME 2 AB (PUBL) CORP  269,761,608 -11.39% -13.32% 100.00%  2,498,651,776  801
DIRECTV HOLDINGS LLC CORP  571,781,699 -11.24% -21.76% -17.17%  8,092,479,025  1,189
ENERGY FUTURE INTERMEDIATE HOLDING COMPANY LLC CORP  147,195,416 10.99% -11.90% -39.59%  3,008,961,181  1,473
THE HILLSHIRE BRANDS  CORP  812,151,632 -10.86% -12.84% -8.73%  11,212,082,038  2,429
FINMECCANICA S.P.A. CORP  832,036,626 10.64% -1.28% 12.95%  15,605,744,002  2,357
MEDIOBANCA BANCA DI CREDITO FINANZIARIO SOCIETA PER AZIONI CORP  364,916,116 -10.24% -11.38% -20.76%  3,190,957,523  452
               
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 
KAZAKHSTAN SOV  583,577,576 -0.02% -26.23% -18.06%  8,817,966,259  974
NORWAY SOV  565,988,603 -0.16% -19.07% -34.33%  9,858,733,860  593
CZECH REPUBLIC SOV  386,555,541 -6.36% -18.64% -38.72%  11,758,162,806  922
SLOVENIA SOV  474,756,430 0.04% 14.11% -36.91%  8,507,913,022  790
LATVIA SOV  406,250,166 6.75% 14.11% -20.33%  9,007,748,211  871
CHINA SOV  13,434,998,190 3.47% 11.07% 89.08%  81,972,925,488  8,707
ESTONIA SOV  106,888,840 -0.12% -10.51% -53.94%  1,880,319,287  256
VENEZUELA SOV  2,103,173,891 -16.51% 10.13% -9.09%  41,907,614,333  3,245
CROATIA SOV  1,018,751,936 1.21% 9.91% 52.62%  15,145,764,550  1,363
RUSSIA SOV  9,599,186,013 1.69% 9.82% 75.16%  128,997,166,159  11,477
               
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 
HANNOVER CORP  1,640,499,700 0.83% 65.52% 100.00%  25,517,569,466  3,705
TRANSOCEAN INC. CORP  1,203,021,998 3.79% 43.20% 19.17%  17,639,940,803  2,708
NOMURA SECURITIES CO. CORP  267,546,546 0.22% 40.85% -6.73%  1,702,551,543  269
DOMTAR  CORP  368,190,546 7.79% 37.32% 7.48%  5,123,589,942  1,285
THOMSON REUTERS  CORP  360,820,138 -0.40% 37.01% 1.86%  5,524,393,779  1,095
AMERICAN AXLE & MANUFACTURING, INC. CORP  539,442,996 4.49% 34.49% 18.47%  7,216,277,770  1,994
ABENGOA, S.A. CORP  350,065,053 3.44% 31.93% 100.00%  1,220,358,840  431
REALOGY GROUP LLC CORP  349,674,434 -0.02% 31.05% 9.17%  4,420,990,841  1,118
AMKOR TECHNOLOGY, INC. CORP  414,392,931 3.97% 26.78% 21.51%  3,607,521,052  1,186
TOYS "R" US, INC. CORP  506,551,615 6.53% 26.67% 34.33%  8,036,865,006  2,690
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