| Reference Entity |
Gross Notional |
Net Notional |
Contracts |
Leverage |
| REPUBLIC OF TURKEY |
188,628,684,750 |
7,594,668,113 |
14,093 |
24.8 |
| REPUBLIC OF ITALY |
148,617,213,985 |
22,649,907,205 |
3,253 |
6.6 |
| FEDERATIVE REPUBLIC OF BRAZIL |
147,282,298,727 |
12,255,197,772 |
11,664 |
12.0 |
| RUSSIAN FEDERATION |
110,068,180,097 |
8,306,875,852 |
7,651 |
13.3 |
| GMAC LLC |
100,582,547,204 |
4,406,800,860 |
13,602 |
22.8 |
| MERRILL LYNCH & CO., INC. |
94,555,034,977 |
8,163,378,452 |
9,931 |
11.6 |
| THE GOLDMAN SACHS GROUP, INC. |
92,776,829,418 |
6,944,435,432 |
9,793 |
13.4 |
| MORGAN STANLEY |
91,941,632,210 |
8,361,620,604 |
9,913 |
11.0 |
| GENERAL ELECTRIC CAPITAL CORPORATION |
86,003,350,507 |
12,153,297,831 |
8,457 |
7.1 |
| COUNTRYWIDE HOME LOANS, INC. |
84,574,756,270 |
6,735,492,687 |
11,919 |
12.6 |
| UNITED MEXICAN STATES |
74,941,756,398 |
4,911,334,683 |
6,387 |
15.3 |
| TELECOM ITALIA SPA |
70,227,145,929 |
4,392,755,946 |
7,671 |
16.0 |
| DEUTSCHE BANK AKTIENGESELLSCHAFT |
68,785,417,264 |
12,449,401,666 |
5,910 |
5.5 |
| DEUTSCHE TELEKOM AG |
68,074,525,326 |
5,362,294,794 |
6,804 |
12.7 |
| FRANCE TELECOM |
67,427,782,985 |
4,577,092,347 |
6,383 |
14.7 |
| THE BEAR STEARNS COMPANIES INC. |
67,059,925,330 |
4,467,138,775 |
7,968 |
15.0 |
| REPUBLIC OF THE PHILIPPINES |
66,218,347,379 |
3,571,458,070 |
8,007 |
18.5 |
| CITIGROUP INC. |
65,693,195,181 |
6,094,579,421 |
6,463 |
10.8 |
| UKRAINE |
65,535,296,951 |
3,295,731,027 |
6,023 |
19.9 |
| GENERAL MOTORS CORPORATION |
64,732,348,273 |
4,061,973,089 |
9,683 |
15.9 |
| JPMORGAN CHASE & CO. |
62,385,482,888 |
5,391,968,731 |
6,412 |
11.6 |
| KINGDOM OF SPAIN |
61,362,202,916 |
16,648,584,672 |
1,899 |
3.7 |
| CIT GROUP INC. |
58,966,098,093 |
5,296,727,633 |
8,180 |
11.1 |
| TELEFONICA, S.A. |
55,882,631,251 |
4,774,067,712 |
5,616 |
11.7 |
| ARGENTINE REPUBLIC |
54,898,977,416 |
3,331,384,736 |
5,535 |
16.5 |
| BRITISH TELECOMMUNICATIONS PUBLIC LIMITED COMPANY |
54,234,187,423 |
3,728,781,793 |
6,184 |
14.5 |
| FORD MOTOR COMPANY |
53,195,610,466 |
4,587,193,922 |
7,962 |
11.6 |
| MBIA INSURANCE CORPORATION |
51,318,728,740 |
5,409,295,061 |
5,746 |
9.5 |
| BANK OF AMERICA CORPORATION |
51,027,741,932 |
3,858,188,822 |
5,361 |
13.2 |
| CENTEX CORPORATION |
50,525,631,571 |
3,158,734,041 |
8,076 |
16.0 |
| BOLIVARIAN REPUBLIC OF VENEZUELA |
50,229,525,972 |
2,967,065,288 |
5,127 |
16.9 |
| AMERICAN INTERNATIONAL GROUP, INC. |
49,763,405,860 |
4,606,640,647 |
6,290 |
10.8 |
| VOLKSWAGEN AKTIENGESELLSCHAFT |
49,542,097,529 |
3,973,818,504 |
5,321 |
12.5 |
| REPUBLIC OF KOREA |
49,254,188,100 |
6,744,798,925 |
4,330 |
7.3 |
| PULTE HOMES, INC. |
49,147,547,184 |
3,102,632,720 |
7,930 |
15.8 |
| SLM CORPORATION |
48,953,483,504 |
5,369,280,587 |
7,719 |
9.1 |
| LENNAR CORPORATION |
48,233,659,200 |
2,588,936,004 |
7,942 |
18.6 |
| KONINKLIJKE KPN N.V. |
47,774,582,735 |
3,475,776,324 |
5,827 |
13.7 |
| RADIAN GROUP INC. |
46,413,308,821 |
3,687,933,516 |
6,977 |
12.6 |
| WELLS FARGO & COMPANY |
45,746,278,232 |
3,756,744,334 |
5,011 |
12.2 |
| MBIA INC. |
45,592,851,125 |
4,122,817,490 |
6,148 |
11.1 |
| WACHOVIA CORPORATION |
44,986,862,550 |
4,049,132,094 |
5,575 |
11.1 |
| CONTINENTAL AKTIENGESELLSCHAFT |
44,345,186,000 |
4,837,228,092 |
5,083 |
9.2 |
| HUTCHISON WHAMPOA LIMITED |
43,843,002,091 |
3,363,253,371 |
5,248 |
13.0 |
| BARCLAYS BANK PLC |
43,612,865,471 |
5,542,047,744 |
4,180 |
7.9 |
| VODAFONE GROUP PUBLIC LIMITED COMPANY |
43,169,370,013 |
4,564,258,386 |
4,749 |
9.5 |
| THE PMI GROUP, INC. |
42,140,959,381 |
4,600,641,825 |
6,203 |
9.2 |
| RESIDENTIAL CAPITAL, LLC |
41,218,073,776 |
2,415,421,268 |
7,063 |
17.1 |
| WASHINGTON MUTUAL, INC. |
40,692,961,166 |
3,091,403,804 |
6,078 |
13.2 |
| FORD MOTOR CREDIT COMPANY LLC |
40,053,450,100 |
3,003,321,851 |
5,716 |
13.3 |
| INTERNATIONAL LEASE FINANCE CORPORATION |
39,855,455,249 |
3,587,058,433 |
5,118 |
11.1 |
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