Most Active Names in Credit and Equity Derivatives – Jan2023

Late last year I looked at the SEC Securities Based SDRs (SBSDRs) for the Most Active Names in Credit and Equity Derivatives in Oct22, so today I will update that blog for the entity names that were most actively traded in the month of January 2023.

CDS on Sovereigns

Using SBSDRView, we can find the twenty most active sovereigns for Credit Derivatives trades in Jan 2023.

• Showing the name, gross notional in millions of usd, trade count and rank in the period (with rank change from prior month).
• We could rank by notional but for CDS we prefer to use trade count as with $5million as the maximum disclosed notional for a single trade, we know from the data that this total gross notional is significantly understated, particularly for Sovereigns and less so for Corporates.
• Republic of Brazil, the most active name for buying and selling CDS protection with > $1.15 billion gross notional, 256 trades and also ranked number one in the prior month. The top rank most likely due to the recent election in Oct 2022, the return of Lula da Silva after a narrow win over Jair Bolsonaro and the resulting uncertainty over acceptance of the result by the losing party.
• The top 6 positions predominately the same as the prior month
• Republic of Italy the largest faller, down 7 places to 14th most active
• Australia, that largest riser, up 9 places to 19th most active.

CDS on US Corporates

Next the twenty most active US corporates by trade count for Jan 2023.

• American Airlines heading the list with > $600 million, 179 trades and up 4 places.
• Corporates unlike Sovereigns showing significant rank changes month on month
• Royal Carribean and Carnival Corporation, both cruise operators in second and third, up 28 and 17 places respectively. Each with significant long term debts, Royal Carribean with $19 billion, Carnival Corporation with $32 billion and each up >100% since 2019 due to Covid lockdowns.
• Petroleos Mexicanos up 51 places to 8th, with a $2 billion bond issue in Jan 2023 to refinance existing debt of close to $105 billion.
• United Airlines up 35 places, declared full-year results in mid-Jan 2023 with 5.2% operating margin for the year and 11.1% in the fourth quarter.
• Ovintiv Inc, an oil and natural gas producer, up 113 places with 76 trades, I don’t know what is going on with this name, possibly something to do with the recent softening of gas prices and price hedging
• Tenet Healthcare, up 44 places, recently issuing $3.7 billion of bonds with maturities in 2023 and 2028.

CDS on EU Corporates

Next let’s look at the most active EU Corporates.

• Jaguar heading the list with 92 trades and up 10 places from the prior month
• CMA CGM, a French container transportation and shipping company, is up 73 places
• Credit Suisse in fourth, remaing in the top 5
• Barclays, Deutsche Bank, Unicredit and Intesa Sanpaolo, the other banks in the top 20
• Cellnex Telecom, the Spanish wireless telecoms infrastructure services is up 87 places to sixth
• Imperial Brands, a UK listed global tobbaco firm, is up 106 places to 8th
• Ladbrokes Coral, a UK gambling company, up 98 places to 19th

TRS on US Equities

Let’s turn now to Equity markets and Total Return Swaps on US Stocks in Jan 2023 and rank by gross notional (as unlike CDS a far smaller portion of trades have capped notionals).

• TotalEnergies SE ADR in top place with > $6.3 billion gross notional, 205 trades and up 254 places. This volume is much larger than the approximately $2 billion of stock trading volume in Jan 2023, assuming an ADV of 1.7m shares, an average stock price of $64 and 20 trading days
• MPLX, Marathon Petroleum in second with > $4.3 billion gross notional, 484 trades and up 92 places. This volume is also much higher than the $2 billion in shares (2.95m ADV, $35 and 20 days).
• Plains All American Pipeline in third with > $3.6 billion, 394 trades and up 122 places. Again with much higher volume than the $1.1 billion in shares (4.67m ADV, $12.25 and 20 days).
• TESLA in fourth with > $2.9 billion notional and 513 trades. This time the volume is far less than the approximately $400 billion in shares (154m ADV, $130 and 20 days), not surprising given the massive retail following of the stock. Short interest in Tesla as of 31-Jan was 90 million shares, $15.6 billion or 2.85% of outstanding shares, up from $9.9 billion on 30-Dec, but down from the recent high of $19 billion on 15-Sep.
• Alliance Bernstein in fifth with > $2 billion, 244 trades and up 83 places.
• Scanning the rest of the list, we see a fair amount of month on month position changes.

TRS on EU Equities

Next the twenty most active names in EUR.

• Philips, the Dutch multinational conglomerate in top place with > $3.6 billion, 1,886 trades and up 123 places from the prior month.
• Nestle, the Swiss multinational food and drinks conglomerate in second with > $3.2 billion, 1,092 trades and up 188 places.
• TotalEnergies also in this list with its Ordinary shares and > $2 billion from 2,236 trades.
• Only one Banking group in the list with BNP Paribas in tenth.

TRS on UK Equities

Next the twenty most active UK names.

• JD Sports, the UK retail company, in third place with > $3.9 billion from 1,905 trades up 69 places.
• Flutter Entertainment, the Irish gambling company, up 40 places in 7th
• Coca-Cola Hellenic Bottling Company, up 87 places to 16th
• The only names above that also show up in the latest FCA’s daily net short positions of shares > 0.5%, are Sainsburys, Anglo American and Prudential

TRS on JPY Equities

Next the twenty most active JPY names.

TRS on AUD Equities

And before we end, lets’s also take a look at AUD.

That’s all for today.

In Summary

• There is a lot of data reported on Credit and Equity Derivatives from the US SEC SBSDRs.
• SBSDRView provides new transparency on OTC Derivatives
• Our Most Active view highlights the names that trade in a period
• Providing new information and insights
• Please contact us, if you are interested in learning more.