Credit default swap volumes – August 2013
n The TRADE Derivatives data
FIGURE 3: TOP 10 SOVEREIGN REFERENCE ENTITIES BY NET NOTIONAL CHANGE VS FOUR
WEEKS AGO
Type
Net notional
(USD EQ)
Net change
vs one
week ago
Net change
vs four
weeks ago
Net change
vs 52 weeks
ago
Gross notional
(USD EQ) Contracts
REPUBLIC OF SOU TH AFRICA SOV 3,894,063,787 3.26% 13.07% 46.28% 57,207,622,207 6,199
UNITED MEXICAN S TATES SOV 7,806,584,205 3.41% 9.96% - 15.31% 113,930,257,617 7,964
REPUBLIC OF COLOMBIA SOV 1,288,438,667 2.36% 9.44% - 22.37% 27,139,239,607 2,655
STATE OF ISRAEL SOV 1,665,517,541 - 4.81% - 8.88% -0.71% 14,668,749,224 1,729
REPUBLIC OF KAZAKHS TAN SOV 690,689,920 0.00% - 8.52% - 17.73% 13,798,605,261 1,428
RUSSIANFEDERATION SOV 5,792,542,504 3.29% 7.62% 33.40% 128,045,601,030 10,279
PEOPLE'S REPUBLIC OF CHINA SOV 7,089,992,485 3.00% 5.62% - 24.87% 85,049,881,037 8,705
FEDERATIVE REPUBLIC OF BRAZIL SOV 14,266,758,910 -2.75% - 5.53% - 24.80% 144,251,707,885 9,435
FRENCHREPUBLIC SOV 13,047,518,945 -1.69% - 5.01% - 41.83% 183,609,631,197 7,608
REPUBLICOFLITHUANIA SOV 443,292,915 0.38% - 4.88% - 20.54% 8,063,205,656 961
Source: DTCC
FIGURE 4: TOP 10 CORPORATE REFERENCE ENTITIES BY NET NOTIONAL CHANGE VS FOUR
WEEKS AGO
Type
Net notional
(USD EQ)
Net change
vs one
week ago
Net change
vs four
weeks ago
Net change
vs 52 weeks
ago
Gross notional
(USD EQ) Contracts
THALES CORP 513,929,982 4.00% 35.71% 18.51% 6,158,507,556 1,286
DNB BANK ASA CORP 239,836,262 2.47% 32.85% -1.68% 2,191,607,429 328
CA,INC. CORP 413,134,950 5.35% 20.64% - 23.89% 7,356,397,521 1,457
KINDER MORGAN, INC. CORP 611,651,507 - 3.93% - 19.14% - 29.30% 7,883,830,457 1,781
COMMUNITY HEALTH SYS TEMS, INC. CORP 267,456,626 -1.11% - 18.75% - 23.14% 3,294,491,909 973
SAN TANDER UK PLC CORP 290, 100,760 -0.04% 17.31% - 5.98% 3,653,790,221 605
ASSA ABLOY AB CORP 181,159,199 - 18.12% - 17.07% - 35.39% 2,169,408,777 419
CONVATEC HEALTHCARE E S.A. CORP 204,503,758 -0.05% - 16.74% 100.00% 1,650,886,511 614
AVNET,INC. CORP 576,609,115 5.68% 15.84% - 6.38% 8,228,908,771 1,633
GLAXOSMITHKLINEPLC CORP 718,506,681 0.09% 15.79% 19.76% 4,614,636,560 881
Source: DTCC
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.
