Credit default swaps top movers: Ukraine and Royal Bank of Scotland

Credit default swaps sovereign & corporate movers

France, Italy and Germany remained atop the list of countries 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. is number one on the corporate list, with an increase of 0.75% from last week, followed by Berkshire Hathaway Inc. and The Goldman Sachs Group Inc.

The top mover in sovereign debt this week is Ukraine, with an 11.44% increase in its net notional amount from one week ago, followed by Vietnam with an 8.91% increase. Venezuela's net notional amount amount also rose, increasing 4.90% this week.

On the corporate side, the top mover was The Royal Bank of Scotland, whose amount of net notional debt to be paid out in case of a default was up 47.01% from one week ago. Rounding out the top three were Australian gaming operator Tabcorp Holdings Ltd. (17.17% increase in net notional) and Tenet Healthcare, a health-care delivery systems company based in Dallas (16.27% increase in net notional).

Top 10 Sovereign Reference Entities by Net Notional (Week ending October 5, 2012)
   Net Notional (USD EQ)  Net % Change (1 week) Net % Change (4 weeks) Net % Change (1 year)  Gross Notional (USD EQ)   Contracts 
FRANCE        20,894,586,220 1.28% -2.75% -15.86%       164,656,565,151         7,281
ITALY        20,403,776,722 -0.93% -3.00% -6.08%       369,561,617,344       12,005
GERMANY        17,931,592,013 -1.07% -8.41% -6.79%       141,956,830,029         5,683
BRAZIL        17,348,846,244 -0.64% -7.50% -0.26%       159,597,263,645       10,185
SPAIN        12,347,466,431 -1.96% -6.68% -29.14%       196,405,877,781         9,122
JAPAN        11,545,398,080 -1.39% 1.60% 22.57%         79,483,494,051         7,848
CHINA          9,735,373,105 -2.16% -1.69% 6.03%         73,780,568,992         7,851
UNITED KINGDOM          9,631,712,779 -2.33% -8.97% -22.85%         69,169,548,167         4,607
MEXICO          9,000,138,196 1.44% -1.58% 0.34%       121,310,039,554         8,851
SOUTH KOREA          7,277,923,802 2.13% 2.88% 47.71%         80,975,850,600         8,779

 

Top 10 Corporate Reference Entities by Net Notional (Week ending October 5, 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.          9,313,794,024 0.75% -8.56% -16.47%         81,005,884,540         6,374
BERKSHIRE HATHAWAY          5,865,576,367 2.04% 3.67% 11.38%         31,115,524,760         3,158
GOLDMAN SACHS          4,806,307,776 1.87% -0.96% -5.92%         76,172,249,950         7,617
BANK OF AMERICA          4,572,365,093 -0.05% -5.39% -19.89%         69,964,603,194         8,091
METLIFE, INC.          4,494,579,640 0.38% -1.88% -7.39%         30,790,080,091         3,787
DEUTSCHE BANK          4,348,788,642 2.17% -5.32% -17.95%         57,141,961,935         6,794
MORGAN STANLEY          4,309,111,791 0.06% -7.03% -0.21%         75,729,442,615         8,013
BARCLAYS BANK PLC          4,145,794,574 4.01% 8.78% 13.91%         50,244,554,219         6,280
WELLS FARGO          4,034,480,444 -0.55% -10.75% -20.70%         55,941,664,199         6,444
JPMORGAN CHASE & CO.          3,764,844,002 -0.75% -10.99% -33.00%         72,173,470,518         7,597

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.

Comments
comments powered by Disqus