Italy tops France on latest CDS list

Credit default swaps sovereign & corporate movers

Italy surpassed France for net exposure on the Depository Trust & Clearing Corporation's (DTCC) weekly ranking of sovereign and corporate credit default swaps based on net notional value. On the corporate side, General Electric Capital Corp. stayed on top, despite seeing a -9.12% drop in the net notional amount that would be paid out in case of a default.

Once again, the top mover in sovereign debt this week was Panama, which saw a 16.58% increase in its net notional amount. Rounding out the top three were the United States, with a -12.79% decrease, and New Zealand, with a slightly smaller decrease of -12.51%.

Among corporations, the Mexican telecommunications company America Movil saw a -37.10% decrease in the net notional amount to be paid out in case of a default, edging out French financial services company Score SE, which whose notional amount decreased by -37.01%. Finally, Danish communications company TDC A/S took the third spot, with a -36.74% drop.

Top 10 Sovereign Reference Entities by Net Notional (Week ending September 21, 2012)
   Net Notional (USD EQ)  Net % Change (1 week) Net % Change (4 weeks) Net % Change vs (1 year)  Gross Notional (USD EQ)   Contracts 
ITALY        20,868,161,254 -1.02% 0.50% -5.37%       357,612,298,801       11,418
FRANCE        20,592,308,535 -3.54% -7.85% -15.32%       159,609,995,995         7,117
GERMANY        18,351,847,937 -4.24% -11.41% 0.34%       138,929,943,792         5,600
BRAZIL        17,319,068,411 -6.77% -8.64% -1.86%       156,046,712,837       10,119
SPAIN        12,629,060,132 -4.68% -3.89% -27.68%       190,290,549,187         8,712
JAPAN        11,482,065,038 -0.70% 0.90% 23.21%         78,448,196,298         7,776
UNITED KINGDOM        10,186,745,677 -3.76% -7.89% -17.95%         67,135,260,198         4,356
CHINA          9,895,626,514 -1.24% 4.29% 25.75%         72,674,761,683         7,723
MEXICO          8,808,739,083 -2.73% -3.56% -3.21%       119,257,683,761         8,832
SOUTH KOREA          6,926,372,263 -0.96% 2.79% 52.21%         79,408,641,537         8,612

 

Top 10 Corporate Reference Entities by Net Notional (Week ending September 21, 2012)
   Net Notional (USD EQ)  Net % Change (1 week) Net % Change (4 weeks) Net % Change (1 year)  Gross Notional (USD EQ)   Contracts 
GENERAL ELECTRIC          9,286,762,415 -9.12% -9.27% -14.38%         80,983,538,308         6,403
BERKSHIRE HATHAWAY          5,686,153,790 0.02% 1.93% 8.97%         30,900,584,949         3,150
GOLDMAN SACHS          4,771,117,552 -2.92% -0.36% -9.25%         75,108,594,891         7,465
BANK OF AMERICA          4,583,591,317 -6.39% -5.46% -20.31%         73,773,416,820         8,506
DEUTSCHE TELEKOM          4,461,827,909 -3.94% -1.67% -8.10%         31,059,548,402         3,764
MORGAN STANLEY          4,297,117,802 -7.02% -6.64% -6.87%         74,807,221,619         7,867
DEUTSCHE BANK          4,191,216,796 -12.21% -6.88% -19.23%         56,006,934,624         6,685
WELLS FARGO          4,105,433,063 -9.57% -8.98% -20.68%         55,260,382,449         6,378
BARCLAYS          3,942,091,991 -4.40% 8.83% 4.14%         48,428,514,422         6,136
JPMORGAN CHASE          3,884,699,232 -8.78% -10.24% -27.60%         71,543,945,256         7,494

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