DTCC Weekly Credit Default Swaps Data Tables - Week Ending December 7, 2012

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 December 07, 2012)

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

       21,098,984,957

-0.75%

3.10%

4.18%

      392,141,412,640

      12,978

FRENCH REPUBLIC

SOV

       16,795,262,661

-3.31%

-7.01%

-24.55%

      177,274,752,271

        7,494

FEDERATIVE REPUBLIC OF BRAZIL

SOV

       16,754,044,238

-0.24%

-1.33%

-8.12%

      159,422,790,552

      10,140

FEDERAL REPUBLIC OF GERMANY

SOV

       15,426,780,155

-3.84%

-9.95%

-21.49%

      153,538,791,715

        5,827

KINGDOM OF SPAIN

SOV

       12,643,205,724

-0.17%

1.89%

-18.21%

      211,487,200,339

      10,149

JAPAN

SOV

       10,147,754,384

0.46%

-10.83%

13.51%

        77,918,004,959

        7,577

PEOPLE'S REPUBLIC OF CHINA

SOV

         8,789,716,506

-4.81%

-4.05%

-5.89%

        74,977,060,816

        8,170

UNITED MEXICAN STATES

SOV

         8,748,009,217

-2.21%

-6.18%

-0.87%

      119,718,276,216

        8,596

UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND

SOV

         8,274,442,381

-2.00%

-4.35%

-32.93%

        70,302,262,179

        4,534

REPUBLIC OF TURKEY

SOV

         7,171,176,192

0.14%

6.40%

56.07%

      144,761,667,903

        9,996

REPUBLIC OF KOREA

SOV

         6,692,115,990

-1.77%

-1.75%

32.52%

        84,971,788,954

        9,295

RUSSIAN FEDERATION

SOV

         5,055,140,204

1.37%

4.90%

8.82%

      115,943,160,800

        9,682

REPUBLIC OF AUSTRIA

SOV

         4,644,247,078

-0.37%

-3.66%

-21.53%

        60,671,124,609

        2,694

PORTUGUESE REPUBLIC

SOV

         4,293,905,209

1.86%

-2.64%

-21.93%

        71,432,060,411

        4,709

COMMONWEALTH OF AUSTRALIA

SOV

         3,901,512,942

-8.80%

-16.14%

-24.55%

        39,241,610,413

        4,325

Top 15 Corporate Reference Entities by Net Notional (Week ending December 07, 2012)

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

         9,231,891,263

0.40%

1.10%

-17.68%

        81,501,895,956

        6,423

BERKSHIRE HATHAWAY INC.

CORP

         7,475,554,042

4.80%

17.25%

41.84%

        34,561,121,205

        3,459

THE GOLDMAN SACHS GROUP, INC.

CORP

         5,103,582,760

1.05%

4.22%

3.10%

        73,637,587,729

        7,386

DEUTSCHE BANK AKTIENGESELLSCHAFT

CORP

         4,877,296,027

0.85%

5.90%

-6.98%

        59,946,891,445

        7,167

METLIFE, INC.

CORP

         4,767,887,082

1.44%

2.94%

0.48%

        31,237,566,032

        3,933

MORGAN STANLEY

CORP

         4,556,065,523

-0.58%

-0.47%

1.12%

        72,681,849,651

        7,482

BANK OF AMERICA CORPORATION

CORP

         4,510,788,038

-0.19%

-2.89%

-22.90%

        72,518,183,479

        8,405

BARCLAYS BANK PLC

CORP

         4,295,305,133

0.90%

5.72%

16.39%

        51,799,981,185

        6,486

WELLS FARGO & COMPANY

CORP

         3,964,628,686

-1.18%

-1.89%

-24.06%

        53,584,385,693

        6,294

JPMORGAN CHASE & CO.

CORP

         3,874,665,709

-1.17%

2.38%

-32.95%

        69,893,558,216

        7,336

VOLKSWAGEN AKTIENGESELLSCHAFT

CORP

         3,526,471,561

-1.49%

6.20%

2.38%

        39,764,880,208

        4,617

TELEFONICA, S.A.

CORP

         3,401,652,439

0.95%

4.70%

-10.38%

        45,820,531,469

        5,205

UNICREDIT, SOCIETA PER AZIONI

CORP

         3,341,483,523

-2.15%

-0.60%

-16.72%

        43,355,166,742

        5,850

AXA

CORP

         3,240,357,811

-0.96%

0.70%

-0.50%

        39,851,173,379

        5,441

ARCELORMITTAL

CORP

         3,211,979,249

-1.55%

1.07%

-9.80%

        38,547,271,613

        5,313

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

COMMONWEALTH OF AUSTRALIA

SOV

         3,901,512,942

-8.80%

-16.14%

-24.55%

        39,241,610,413

        4,325

ARGENTINE REPUBLIC

SOV

         1,525,455,499

8.12%

-20.47%

-34.72%

        38,954,075,863

        3,812

REPUBLIC OF CYPRUS

SOV

             304,801,778

-8.00%

-2.98%

100.00%

          1,939,677,689

            273

REPUBLIC OF PANAMA

SOV

             464,761,975

5.43%

2.43%

-41.58%

          7,103,810,104

        1,026

PEOPLE'S REPUBLIC OF CHINA

SOV

         8,789,716,506

-4.81%

-4.05%

-5.89%

        74,977,060,816

        8,170

KINGDOM OF BELGIUM

SOV

         3,894,810,545

-4.42%

-4.56%

-31.20%

        66,755,953,508

        3,499

KINGDOM OF SAUDI ARABIA

SOV

             490,124,071

-3.94%

-3.88%

27.90%

          2,737,334,271

            315

FEDERAL REPUBLIC OF GERMANY

SOV

       15,426,780,155

-3.84%

-9.95%

-21.49%

      153,538,791,715

        5,827

FRENCH REPUBLIC

SOV

       16,795,262,661

-3.31%

-7.01%

-24.55%

      177,274,752,271

        7,494

REPUBLIC OF SOUTH AFRICA

SOV

         2,952,059,399

2.56%

1.91%

28.62%

        53,605,708,363

        6,000

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

E.ON AG

CORP

             458,050,841

-71.90%

-70.87%

-79.82%

          2,536,375,904

            447

CELESTICA INC.

CORP

             147,188,452

25.94%

12.60%

-23.49%

          2,482,183,227

            614

MERCK & CO., INC.

CORP

             367,390,759

20.55%

21.39%

-3.03%

          4,245,262,978

            947

YUM! BRANDS, INC.

CORP

             391,552,821

20.33%

17.65%

-20.70%

          8,389,993,373

        1,558

MITSUBISHI CHEMICAL CORPORATION

CORP

             280,897,558

-18.20%

-18.28%

100.00%

          1,884,413,149

            253

UNUM GROUP

CORP

             309,019,240

17.26%

21.44%

-30.22%

          4,200,243,465

        1,217

PEPCO HOLDINGS, INC.

CORP

             144,214,302

16.74%

15.16%

-30.56%

          2,346,315,266

            749

THE WILLIAMS COMPANIES, INC.

CORP

             367,199,940

14.00%

18.84%

-9.47%

          5,539,191,340

        1,243

MOLSON COORS BREWING COMPANY

CORP

             282,110,515

13.79%

16.94%

8.63%

          2,148,490,339

            604

SCOR SE

CORP

             196,364,105

-13.78%

-19.04%

-40.17%

          6,854,158,906

        1,477

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

ARGENTINE REPUBLIC

SOV

         1,525,455,499

8.12%

-20.47%

-34.72%

        38,954,075,863

        3,812

REPUBLIC OF BULGARIA

SOV

             658,407,892

0.74%

17.16%

-21.25%

        18,659,600,521

        2,012

COMMONWEALTH OF AUSTRALIA

SOV

         3,901,512,942

-8.80%

-16.14%

-24.55%

        39,241,610,413

        4,325

JAPAN

SOV

       10,147,754,384

0.46%

-10.83%

13.51%

        77,918,004,959

        7,577

FEDERAL REPUBLIC OF GERMANY

SOV

       15,426,780,155

-3.84%

-9.95%

-21.49%

      153,538,791,715

        5,827

HUNGARY

SOV

         1,922,245,815

-0.25%

9.45%

100.00%

        70,729,703,988

        6,649

REPUBLIC OF CHILE

SOV

             762,702,891

-0.06%

9.17%

60.42%

          6,277,073,212

            630

KINGDOM OF DENMARK

SOV

         2,031,534,379

-1.20%

-9.13%

-32.21%

        19,436,081,780

        1,684

REPUBLIC OF POLAND

SOV

         1,551,426,944

-1.79%

-8.63%

-20.83%

        46,724,538,179

        4,434

REPUBLIC OF COLOMBIA

SOV

         1,839,337,700

-0.08%

8.50%

7.87%

        27,743,394,733

        2,668

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

E.ON AG

CORP

             458,050,841

-71.90%

-70.87%

-79.82%

          2,536,375,904

            447

THE BANK OF TOKYO-MITSUBISHI UFJ, LTD.

CORP

             675,643,877

1.89%

28.50%

15.85%

        12,041,733,424

        1,882

UNUM GROUP

CORP

             309,019,240

17.26%

21.44%

-30.22%

          4,200,243,465

        1,217

MERCK & CO., INC.

CORP

             367,390,759

20.55%

21.39%

-3.03%

          4,245,262,978

            947

JSC "KAZKOMMERTSBANK"

CORP

             333,410,806

0.73%

-19.15%

-35.50%

          7,890,475,222

            985

NORDEA BANK AB

CORP

             378,406,297

-0.90%

19.15%

-14.81%

          2,813,352,715

            441

SCOR SE

CORP

             196,364,105

-13.78%

-19.04%

-40.17%

          6,854,158,906

        1,477

THE WILLIAMS COMPANIES, INC.

CORP

             367,199,940

14.00%

18.84%

-9.47%

          5,539,191,340

        1,243

MITSUBISHI CHEMICAL CORPORATION

CORP

             280,897,558

-18.20%

-18.28%

100.00%

          1,884,413,149

            253

YUM! BRANDS, INC.

CORP

             391,552,821

20.33%

17.65%

-20.70%

          8,389,993,373

        1,558