Credit default swaps top movers: Panama and CIR S.P.A.

France and General Electric Capital Corp. continue to sit atop 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 -0.64% drop in net notional value from one week ago, while General Electric experienced a 0.33% increase.

The top mover in sovereign debt this week was Panama, who saw a -11.83% drop in the net notional amount that would be paid out in case of a default. Rounding out the top three were Malaysia, with an 8.22% increase, and Poland, with a smaller, 4.86% increase.

Among corporations, the Italian holding company Compagnie Industriali Riunite S.P.A. (CIR S.P.A.) experienced the largest increase in the net notional amount to be paid in the event of a default (a 16.36% increase). U.S. construction company Vulcan Materials Co. had the second largest change from a week ago (a -13.59% decrease). Finally, mining company Vale Canada Ltd. took the third spot, with a 13.43% increase over last week.

Top 10 Sovereign Reference Entities by Net Notional (Week ending September 14, 2012)
   Net Notional (USD EQ)  Net % Change (1 week) Net % Change (4 weeks) Net % Change (1 year)  Gross Notional (USD EQ)   Contracts 
FRANCE        21,348,128,244 -0.64% -4.83% -12.25%       158,673,318,843         7,103
ITALY        21,082,473,367 0.23% 3.19% -9.68%       357,378,488,615       11,347
GERMANY        19,164,367,607 -2.11% -10.00% 4.08%       138,423,962,293         5,547
BRAZIL        18,576,815,839 -0.95% -2.08% 2.65%       162,660,077,670       10,331
SPAIN        13,248,714,031 0.14% -0.86% -25.53%       188,470,992,571         8,582
JAPAN        11,563,438,971 1.75% 2.17% 25.51%         77,878,785,056         7,662
UNITED KINGDOM        10,584,964,595 0.03% -4.09% -15.22%         66,664,991,461         4,383
CHINA        10,020,247,692 1.19% 6.18% 26.94%         72,693,488,389         7,891
MEXICO          9,055,586,599 -0.97% -1.76% -1.13%       119,611,008,194         8,955
SOUTH KOREA          6,993,721,339 -1.14% 1.95% 60.15%         79,295,501,612         8,703

 

Top 10 Corporate Reference Entities by Net Notional (Week ending September 14, 2012)
   Net Notional (USD EQ)  Net % Change (1 week) Net % Change (4 weeks) Net % Change (1 year)  Gross Notional (USD EQ)   Contracts 
GENERAL ELECTRIC        10,218,895,153 0.33% -0.69% -8.78%         85,546,424,633         6,782
BERKSHIRE HATHAWAY          5,685,255,451 0.48% 2.83% 6.29%         31,361,224,710         3,214
GOLDMAN SACHS          4,914,430,264 1.26% 2.58% -10.67%         79,081,769,258         7,777
BANK OF AMERICA          4,896,348,936 1.31% 1.11% -18.45%         78,955,635,631         9,038
DEUTSCHE TELEKOM          4,774,051,771 3.94% 9.40% -11.04%         60,455,017,702         7,005
METLIFE, INC.          4,645,003,191 1.41% 2.43% -4.70%         32,182,573,698         3,906
MORGAN STANLEY          4,621,778,003 -0.29% -0.66% -5.09%         79,995,867,757         8,224
WELLS FARGO          4,540,090,821 0.44% 0.63% -12.94%         58,998,930,986         6,653
JPMORGAN CHASE          4,258,469,088 0.68% -4.57% -22.44%         78,789,213,385         8,107
BARCLAYS BANK PLC          4,123,384,871 8.19% 15.00% 6.09%         52,226,845,312         6,405

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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