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.
*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 January 04, 2013) |
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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 ITALY |
SOV |
21,051,903,152 |
-1.05% |
-0.22% |
-1.44% |
388,134,186,854 |
13,010 |
FEDERATIVE REPUBLIC OF BRAZIL |
SOV |
17,399,919,883 |
0.54% |
3.86% |
-4.30% |
156,392,760,926 |
9,748 |
FRENCH REPUBLIC |
SOV |
15,728,586,366 |
0.02% |
-6.35% |
-27.91% |
177,438,363,600 |
7,547 |
FEDERAL REPUBLIC OF GERMANY |
SOV |
14,937,665,805 |
-2.18% |
-3.17% |
-22.93% |
154,731,771,117 |
5,838 |
KINGDOM OF SPAIN |
SOV |
12,411,586,964 |
-2.04% |
-1.83% |
-21.63% |
212,935,499,745 |
10,129 |
JAPAN |
SOV |
9,739,775,687 |
-0.20% |
-4.02% |
10.88% |
78,523,163,548 |
7,635 |
UNITED MEXICAN STATES |
SOV |
8,270,633,685 |
-0.76% |
-5.46% |
-3.71% |
117,805,642,821 |
8,321 |
PEOPLE'S REPUBLIC OF CHINA |
SOV |
8,108,939,307 |
0.45% |
-7.75% |
-12.28% |
74,869,718,471 |
8,143 |
UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND |
SOV |
8,078,736,243 |
-1.27% |
-2.37% |
-33.71% |
70,435,769,978 |
4,540 |
REPUBLIC OF TURKEY |
SOV |
7,081,468,760 |
-1.68% |
-1.25% |
40.09% |
137,678,160,845 |
9,062 |
REPUBLIC OF KOREA |
SOV |
6,375,025,921 |
-0.55% |
-4.74% |
28.92% |
84,730,669,694 |
9,031 |
REPUBLIC OF AUSTRIA |
SOV |
4,542,642,365 |
-1.52% |
-2.19% |
-22.94% |
61,027,203,349 |
2,700 |
RUSSIAN FEDERATION |
SOV |
4,482,733,938 |
-4.15% |
-11.32% |
9.30% |
109,797,055,287 |
8,628 |
PORTUGUESE REPUBLIC |
SOV |
4,165,812,396 |
-2.96% |
-2.98% |
-18.53% |
70,837,948,298 |
4,651 |
KINGDOM OF BELGIUM |
SOV |
3,999,867,442 |
-0.85% |
2.70% |
-28.44% |
66,382,786,297 |
3,452 |
Top 15 Corporate Reference Entities by Net Notional (Week ending January 04, 2013) |
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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 |
GENERAL ELECTRIC CAPITAL CORPORATION |
CORP |
8,653,369,431 |
-0.21% |
-6.27% |
-19.75% |
77,385,821,221 |
6,007 |
BERKSHIRE HATHAWAY INC. |
CORP |
7,541,914,254 |
0.32% |
0.89% |
45.51% |
34,604,519,114 |
3,375 |
METLIFE, INC. |
CORP |
4,675,321,164 |
-1.25% |
-1.94% |
1.03% |
29,370,177,875 |
3,723 |
BANK OF AMERICA CORPORATION |
CORP |
4,606,071,296 |
0.87% |
2.11% |
-19.36% |
67,284,281,368 |
7,916 |
DEUTSCHE BANK AKTIENGESELLSCHAFT |
CORP |
4,578,926,823 |
-1.12% |
-6.12% |
-0.10% |
55,963,882,735 |
6,806 |
THE GOLDMAN SACHS GROUP, INC. |
CORP |
4,462,639,554 |
-1.31% |
-12.56% |
-5.79% |
68,348,935,518 |
6,967 |
BARCLAYS BANK PLC |
CORP |
3,893,967,405 |
-0.92% |
-9.34% |
18.38% |
47,555,932,846 |
6,156 |
MORGAN STANLEY |
CORP |
3,774,110,470 |
0.52% |
-17.16% |
-10.55% |
66,979,712,622 |
7,034 |
WELLS FARGO & COMPANY |
CORP |
3,680,783,241 |
0.45% |
-7.16% |
-28.33% |
48,033,535,195 |
5,848 |
JPMORGAN CHASE & CO. |
CORP |
3,353,461,365 |
0.60% |
-13.45% |
-40.20% |
63,902,308,361 |
6,844 |
VOLKSWAGEN AKTIENGESELLSCHAFT |
CORP |
3,159,210,109 |
-0.48% |
-10.41% |
-2.76% |
35,975,850,294 |
4,183 |
UNICREDIT, SOCIETA PER AZIONI |
CORP |
3,132,515,647 |
-0.96% |
-6.25% |
-17.46% |
41,233,143,426 |
5,533 |
AXA |
CORP |
3,122,796,310 |
-1.07% |
-3.63% |
2.10% |
37,452,276,861 |
5,071 |
TELEFONICA, S.A. |
CORP |
3,106,553,439 |
-1.32% |
-8.68% |
-7.34% |
40,526,602,538 |
4,835 |
ARCELORMITTAL |
CORP |
2,969,445,756 |
-0.65% |
-7.55% |
-5.32% |
35,457,372,901 |
4,951 |
Top 10 Sovereign Reference Entities by Net Notional Change vs 1 Week 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 |
|||||
IRELAND |
SOV |
2,553,959,792 |
-9.88% |
-11.33% |
-28.79% |
49,918,553,334 |
3,491 |
|||||
ARGENTINE REPUBLIC |
SOV |
1,406,278,432 |
-5.92% |
-7.81% |
-39.11% |
37,304,659,136 |
3,665 |
|||||
ARAB REPUBLIC OF EGYPT |
SOV |
460,361,277 |
-4.20% |
-7.76% |
-39.97% |
4,295,659,138 |
1,001 |
|||||
RUSSIAN FEDERATION |
SOV |
4,482,733,938 |
-4.15% |
-11.32% |
9.30% |
109,797,055,287 |
8,628 |
|||||
COMMONWEALTH OF AUSTRALIA |
SOV |
3,585,752,581 |
-3.46% |
-8.09% |
-29.37% |
39,242,549,648 |
4,435 |
|||||
REPUBLIC OF CROATIA |
SOV |
441,000,252 |
3.45% |
1.71% |
-2.89% |
11,551,656,038 |
1,333 |
|||||
PORTUGUESE REPUBLIC |
SOV |
4,165,812,396 |
-2.96% |
-2.98% |
-18.53% |
70,837,948,298 |
4,651 |
|||||
HUNGARY |
SOV |
1,940,387,061 |
-2.60% |
0.94% |
100.00% |
69,257,274,699 |
6,549 |
|||||
UNITED STATES OF AMERICA |
SOV |
3,410,744,548 |
-2.43% |
-0.24% |
-31.31% |
23,245,438,126 |
1,024 |
|||||
FEDERAL REPUBLIC OF GERMANY |
SOV |
14,937,665,805 |
-2.18% |
-3.17% |
-22.93% |
154,731,771,117 |
5,838 |
|||||
Top 10 Corporate Reference Entities by Net Notional Change vs 1 Week 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 |
|||||
SANMINA-SCI CORPORATION |
CORP |
226,571,342 |
25.47% |
-11.49% |
-22.60% |
3,569,984,355 |
1,146 |
|||||
MITSUBISHI CHEMICAL CORPORATION |
CORP |
267,567,216 |
16.64% |
-4.75% |
100.00% |
1,895,088,192 |
273 |
|||||
AGEAS N.V. |
CORP |
271,397,216 |
13.64% |
-15.66% |
-29.00% |
2,644,658,542 |
450 |
|||||
STATOIL ASA |
CORP |
706,567,643 |
-11.97% |
-16.02% |
-10.42% |
5,769,689,873 |
1,027 |
|||||
MTR CORPORATION LIMITED |
CORP |
94,146,356 |
-11.63% |
-21.23% |
-35.61% |
1,435,583,614 |
289 |
|||||
THE ROYAL BANK OF SCOTLAND N.V. |
CORP |
607,583,064 |
-10.64% |
-24.22% |
-4.56% |
13,968,647,838 |
1,776 |
|||||
HASBRO, INC. |
CORP |
212,133,066 |
-8.96% |
-28.41% |
-44.70% |
4,137,542,146 |
1,092 |
|||||
SUMITOMO CORPORATION |
CORP |
518,108,542 |
-8.35% |
-6.17% |
-22.06% |
4,985,525,556 |
891 |
|||||
TRW AUTOMOTIVE INC. |
CORP |
408,776,155 |
-7.97% |
-21.58% |
-28.19% |
6,010,512,440 |
1,610 |
|||||
CASINO GUICHARD-PERRACHON |
CORP |
1,017,565,809 |
-7.92% |
0.75% |
-30.30% |
18,983,292,978 |
3,050 |
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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 |
|||||
SWISS CONFEDERATION |
SOV |
503,381,455 |
-0.63% |
100.00% |
100.00% |
1,436,750,549 |
96 |
|||||
REPUBLIC OF KAZAKHSTAN |
SOV |
764,595,054 |
0.00% |
-17.32% |
-12.81% |
15,954,290,520 |
1,582 |
|||||
REPUBLIC OF ICELAND |
SOV |
501,771,279 |
-0.05% |
-13.78% |
-38.67% |
5,634,436,462 |
881 |
|||||
REPUBLIC OF PANAMA |
SOV |
524,121,382 |
1.20% |
12.77% |
-29.22% |
6,905,106,305 |
971 |
|||||
SOCIALIST REPUBLIC OF VIETNAM |
SOV |
585,115,000 |
-1.91% |
-11.60% |
-18.92% |
8,344,765,200 |
1,246 |
|||||
REPUBLIC OF BULGARIA |
SOV |
582,598,409 |
0.01% |
-11.51% |
-21.22% |
18,251,767,566 |
1,974 |
|||||
IRELAND |
SOV |
2,553,959,792 |
-9.88% |
-11.33% |
-28.79% |
49,918,553,334 |
3,491 |
|||||
RUSSIAN FEDERATION |
SOV |
4,482,733,938 |
-4.15% |
-11.32% |
9.30% |
109,797,055,287 |
8,628 |
|||||
REPUBLIC OF INDONESIA |
SOV |
3,133,689,600 |
-0.11% |
-11.22% |
0.52% |
40,696,400,622 |
5,249 |
|||||
CZECH REPUBLIC |
SOV |
680,706,358 |
-0.31% |
-9.93% |
-25.38% |
14,568,861,498 |
1,258 |
|||||
Top 10 Corporate 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 |
|||||
HUNTSMAN INTERNATIONAL LLC |
CORP |
48,074,909 |
0.16% |
-57.04% |
-73.79% |
1,559,486,881 |
551 |
|||||
BRITISH ENERGY BOND FINANCE PLC |
CORP |
244,375,808 |
-1.09% |
56.35% |
80.09% |
1,645,507,248 |
277 |
|||||
BANCA ITALEASE S.P.A. |
CORP |
75,721,384 |
-1.11% |
-47.21% |
-61.30% |
1,633,172,851 |
323 |
|||||
BRISTOL-MYERS SQUIBB COMPANY |
CORP |
406,676,945 |
-0.13% |
-43.31% |
-41.15% |
11,560,658,157 |
1,791 |
|||||
ALLIANCE BOOTS HOLDINGS LIMITED |
CORP |
341,861,035 |
-0.87% |
-40.13% |
-50.78% |
10,968,582,984 |
2,337 |
|||||
MATTEL, INC. |
CORP |
362,683,060 |
-0.45% |
-38.62% |
-42.54% |
5,875,481,425 |
1,398 |
|||||
J SAINSBURY PLC |
CORP |
614,989,195 |
-0.87% |
37.21% |
-25.44% |
14,621,759,676 |
2,244 |
|||||
RHODIA |
CORP |
240,973,104 |
-1.24% |
-36.01% |
-45.43% |
8,777,726,105 |
1,778 |
|||||
COLT TECHNOLOGY SERVICES GROUP LIMITED |
CORP |
127,477,550 |
-1.07% |
-35.84% |
-33.09% |
3,106,325,703 |
738 |
|||||
INFINEON TECHNOLOGIES HOLDING B.V. |
CORP |
139,616,174 |
0.91% |
-35.67% |
-39.65% |
3,222,086,536 |
844 |
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