Credit default swaps top movers: Lithuania and Chorus Limited

France and General Electric remained atop the list of the latest Depository Trust & Clearing Corporation (DTCC) ranking of sovereign and corporate credit default swaps based on net notional value.

The biggest movers this week among sovereign entities were Lithuania, Peru and Kazakhstan, who all saw drops of between 7.36% and 12.26% in the net notional amount that would be paid out in the event of a default.

On the corporate side, New Zealand telecommunications company Chorus Ltd., Japanese trading company Sumimoto Corp., and Codere Finance (Luxembourg) S.A. saw the biggest increases in the amount of net notional to be paid out in case of a default.

Top 10 Sovereign Reference Entities by Net Notional according to DTCC (Week ending August 31, 2012)
   Net Notional (USD EQ)  Net change (1-week) Net change (4-weeks) Net change (1-year)  Gross Notional (USD EQ)   Contracts 
FRANCE        21,752,700,987 -2.65% -7.36% -14.35%       155,384,790,878         7,101
ITALY        21,089,055,221 1.56% 3.49% -13.42%       345,494,923,108       10,905
GERMANY        20,345,854,309 -1.79% -9.13% 11.54%       136,142,356,136         5,463
 BRAZIL        18,804,365,914 -0.80% -0.63% 2.32%       164,046,085,571       10,349
SPAIN        13,299,885,784 1.21% -2.69% -27.39%       182,573,753,651         8,240
JAPAN        11,273,488,337 -0.93% -0.17% 27.08%         71,829,409,263         6,982
UNITED KINGDOM        10,854,667,531 -1.86% -2.57% -14.45%         66,322,294,396         4,370
CHINA          9,784,318,404 3.12% 4.19% 24.45%         69,625,594,188         7,639
MEXICO          9,112,474,309 -0.23% -0.40% 0.28%       119,835,143,290         8,963
KOREA          7,130,743,748 5.83% 1.58% 66.23%         76,168,425,018         8,361

 

Top 10 Corporate Reference Entities by Net Notional according to DTCC (Week ending August 31, 2012)
   Net Notional (USD EQ)  Net change (1-week) Net change (4-weeks) Net change (1-year)  Gross Notional (USD EQ)   Contracts 
GENERAL ELECTRIC        10,246,668,742 0.11% -0.60% -7.73%         84,745,706,308         6,733
BERKSHIRE HATHAWAY          5,630,741,330 0.93% 1.99% 4.16%         31,047,016,013         3,186
GOLDMAN SACHS          4,829,615,219 0.87% 1.14% -12.29%         77,140,159,601         7,625
BANK OF AMERICA          4,824,614,349 -0.49% -2.28% -19.21%         78,054,153,956         8,976
MORGAN STANLEY          4,589,495,826 -0.28% -3.27% -6.21%         78,965,571,029         8,101
METLIFE          4,542,302,122 0.11% -0.16% -6.55%         31,646,036,314         3,871
WELLS FARGO          4,525,183,759 0.33% -0.24% -14.92%         58,544,382,552         6,605
DEUTSCHE BANK          4,495,134,032 -0.13% 3.92% -16.09%         57,354,186,649         6,875
JPMORGAN CHASE          4,325,884,212 -0.04% -3.80% -22.66%         77,586,340,832         8,008
BARCLAYS BANK PLC          3,610,613,750 -0.32% 1.97% -9.62%         48,763,667,020         6,233

The net notional amount represents the maximum that would have to be paid in the event of a default by the entity, assuming netting across trade counterparties’ families. The gross notional amount represents the value of all active CDS contracts, including offsetting contracts. The Top 10 volume movers show the reference entities with the largest notional movement for the week.

Page 1 of 2 >>
Comments
comments powered by Disqus