Credit default swaps top movers: New Zealand and Credit Suisse USA

Credit default swaps sovereign & corporate movers

After falling in the rankings last week, France is once again the country with the highest net exposure on the Depository Trust & Clearing Corporation's (DTCC) weekly ranking of sovereign and corporate credit default swaps based on net notional value. Once again, General Electric Capital Corp. sits atop the corporate list, despite seeing a small, -0.46% drop from one week ago.

The top mover in sovereign debt this week is New Zealand, with a 9.40% increase in its net notional amount from one week ago, followed by Panama with a 9.17% increase. Iceland, on the other hand, saw a -7.71% drop from one week ago in the net notional amount that would be paid out in case of a default.

On the corporate side, the top mover was Credit Suisse USA, which experienced a 24.74% rise in the amount of net notional debt to be paid out in case of a default from one week ago. Rounding out the top three were Dutch gas and electricity supplier ENECO Holding (-17.65% decrease in net notional) and Tenet Healthcare, a health-care delivery systems company based in Dallas (16.07% increase in net notional).

Top 10 Sovereign Reference Entities by Net Notional (Week ending September 28, 2012)
   Net Notional (USD EQ)  Net % Change (1 week) Net % Change (4 weeks) Net % Change (1 year)  Gross Notional (USD EQ)   Contracts 
FRANCE        20,631,385,257 0.19% -5.15% -15.89%       163,104,492,911         7,222
ITALY        20,595,580,563 -1.31% -2.34% -4.37%       359,589,628,630       11,599
GERMANY        18,126,377,615 -1.23% -10.91% -3.51%       140,744,591,396         5,648
BRAZIL        17,461,303,855 0.82% -7.14% -0.84%       158,237,247,012       10,154
SPAIN        12,594,853,557 -0.27% -5.30% -27.91%       194,386,800,067         8,972
JAPAN        11,708,403,326 1.97% 3.86% 24.00%         79,455,202,558         7,835
CHINA          9,949,889,023 0.55% 1.69% 19.24%         73,785,607,680         7,833
UNITED KINGDOM          9,861,164,125 -3.20% -9.15% -21.16%         68,245,886,881         4,500
MEXICO          8,872,537,909 0.72% -2.63% -1.82%       121,292,580,145         8,875
SOUTH KOREA          7,126,397,942 2.89% -0.06% 49.30%         80,155,659,461         8,704

 

Top 10 Corporate Reference Entities by Net Notional (Week ending September 28, 2012)
   Net Notional (USD EQ)  Net % Change (1 week) Net % Change (4 weeks) Net % Change (1 year)  Gross Notional (USD EQ)   Contracts 
GE CAPITAL CORP.          9,244,291,617 -0.46% -9.78% -15.80%         81,046,226,451         6,403
BERKSHIRE HATHAWAY          5,748,461,167 1.10% 2.09% 9.64%         30,928,868,955         3,146
GOLDMAN SACHS          4,718,142,409 -1.11% -2.31% -8.42%         75,637,763,248         7,557
BANK OF AMERICA          4,574,659,738 -0.19% -5.18% -21.61%         74,373,730,375         8,622
METLIFE, INC.          4,477,411,565 0.35% -1.43% -7.52%         30,653,931,036         3,758
MORGAN STANLEY          4,306,570,105 0.22% -6.16% -2.61%         75,398,955,886         7,979
DEUTSCHE BANK          4,256,425,944 1.56% -5.31% -18.61%         56,015,007,405         6,756
WELLS FARGO          4,056,893,712 -1.18% -10.35% -21.66%         55,780,917,018         6,433
BARCLAYS BANK          3,985,904,431 1.11% 10.39% 6.86%         48,549,413,551         6,158
JPMORGAN CHASE & CO.          3,793,355,841 -2.35% -12.31% -31.58%         71,973,812,830         7,581

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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