Credit default swaps top movers: Sweden and Unitymedia GMBH

Once again, France and General Electric topped the list of the latest Depository Trust & Clearing Corporation (DTCC) ranking of sovereign and corporate credit default swaps based on net notional value. France, the top sovereign reference entity, saw a -1.23% drop in net notional value from one week ago, while General Electric experienced a smaller, -0.60%, percent decline.

The top three movers in sovereign debt this week were Sweden (a -11.78% drop in the net notional amount that would be paid out in case of a default), Vietnam (a -7.37% change) and the Czech Republic (a 7.08% increase).

Among corporations, Unitymedia GMBH experienced the biggest change in the net notional amount that would be paid out in case of a default, a whopping -32.90% drop. Mitsubishi Corp. and Petrobras saw more modest increases (10.70% and 10.48%, respectively).

Top 10 Sovereign Reference Entities by Net Notional (Week ending September 07, 2012)
 COUNTRY  Net Notional (USD EQ)  Net % Change (1 week) Net % Change (4 weeks) Net % Change (1 year)  Gross Notional (USD EQ)   Contracts 
FRANCE        21,486,163,986 -1.23% -7.28% -15.12%       156,178,572,871         7,064
ITALY        21,033,964,908 -0.26% 3.40% -10.75%       351,332,795,707       11,118
GERMANY        19,578,099,797 -3.77% -11.79% 7.76%       136,636,333,595         5,389
BRAZIL        18,755,220,177 -0.26% -0.79% 3.15%       163,258,269,547       10,306
SPAIN        13,230,643,045 -0.52% -1.92% -26.86%       185,700,730,963         8,371
JAPAN        11,364,024,510 0.80% 0.36% 25.75%         72,261,095,590         7,002
UNITED KINGDOM        10,581,263,395 -2.52% -4.12% -16.30%         66,108,870,590         4,276
CHINA          9,902,265,783 1.21% 5.34% 24.22%         71,249,204,325         7,730
MEXICO          9,144,402,983 0.35% 0.52% 0.76%       119,029,990,889         8,905
KOREA          7,074,467,317 -0.79% 2.41% 61.05%         77,435,825,011         8,474

 

Top 10 Corporate Reference Entities by Net Notional (Week ending September 07, 2012)
 CORPORATION  Net Notional (USD EQ)  Net % Change (1 week) Net % Change (4 weeks) Net % Change (1 year)  Gross Notional (USD EQ)   Contracts 
GENERAL ELECTRIC        10,185,478,161 -0.60% -1.05% -7.88%         85,191,747,543         6,777
BERKSHIRE HATHAWAY          5,658,105,362 0.49% 2.95% 6.24%         31,187,900,328         3,205
GOLDMAN SACHS          4,853,106,097 0.49% 3.70% -12.40%         77,552,409,268         7,660
BANK OF AMERICA          4,833,078,206 0.18% -2.14% -18.88%         78,395,525,464         9,001
MORGAN STANLEY          4,635,193,189 1.00% -1.78% -6.27%         79,352,432,074         8,159
DEUTSCHE BANK          4,593,093,670 2.18% 7.38% -11.40%         58,434,611,048         6,891
METLIFE, INC.          4,580,596,707 0.84% 1.93% -6.78%         31,818,303,043         3,887
WELLS FARGO          4,520,236,101 -0.11% 0.60% -12.22%         58,638,723,923         6,608
JPMORGAN          4,229,620,480 -2.23% -6.15% -23.96%         78,015,533,496         8,030
BARCLAYS BANK PLC          3,811,201,782 5.56% 7.29% 1.32%         49,919,851,950         6,262

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.

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