Credit default swaps top movers: Ireland and ABN AMRO

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. The corporate side also held steady, with General Electric Capital Corp. (0.30% increase from last week), Berkshire Hathaway (0.39% increase) and Goldman Sachs (0.05% increase) once again landing in the top three spots.

It was a more volatile week for Ireland, which was the top mover in sovereign debt with a -8.63% decrease in its net notional amount from one week ago. South Africa and last week's leader Ukraine both saw 5.58% increases in the amount of net notional debt to be paid out in case of a default.

On the corporate side, the top mover was Dutch state-owned bank ABN AMRO, whose amount of net notional debt to be paid out in case of a default was down 37.63% from one week ago. Rounding out the top three were Australian telecommunications company SingTel Optus Pty Ltd. (18.24% increase in net notional) and Woodside Petroleum Ltd., an Australian petroleum exploration and production company (12.01% increase in net notional).

 

Top 10 Sovereign Reference Entities by Net Notional (Week ending October 12, 2012)
   Net Notional (USD EQ)  Net % Change (1 week) Net % Change (4 weeks) Net % Change (1 year)  Gross Notional (USD EQ)   Contracts 
FRANCE        20,663,930,577 -1.10% -3.20% -15.90%       164,753,547,528         7,290
ITALY        20,662,698,458 1.27% -1.99% -5.55%       372,473,000,733       12,150
GERMANY        17,959,527,900 0.16% -6.29% -7.08%       146,799,637,109         5,786
BRAZIL        17,580,358,826 1.33% -5.36% 0.03%       159,916,805,802       10,191
SPAIN        12,718,729,685 3.01% -4.00% -28.11%       198,242,005,839         9,374
JAPAN        11,491,053,279 -0.47% -0.63% 22.97%         79,735,063,011         7,883
CHINA          9,631,336,737 -1.07% -3.88% 4.70%         74,315,058,955         7,938
UNITED KINGDOM          9,535,197,044 -1.00% -9.92% -24.30%         70,710,835,080         4,651
MEXICO          8,939,690,587 -0.67% -1.28% -0.14%       121,404,048,707         8,840
SOUTH KOREA          7,310,952,714 0.45% 4.54% 43.12%         81,374,377,073         8,820

 

Top 10 Corporate Reference Entities by Net Notional (Week ending October 12, 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.          9,341,625,458 0.30% -8.58% -16.83%         80,916,866,656         6,372
BERKSHIRE HATHAWAY          5,888,244,744 0.39% 3.57% 11.35%         31,172,603,428         3,159
GOLDMAN SACHS          4,808,654,084 0.05% -2.15% -6.51%         76,417,217,054         7,652
BANK OF AMERICA          4,572,126,879 -0.01% -6.62% -20.18%         70,131,458,464         8,119
METLIFE INC.          4,486,094,642 -0.19% -3.42% -6.91%         30,914,483,095         3,792
MORGAN STANLEY          4,333,372,143 0.56% -6.24% 1.68%         70,396,015,749         7,179
DEUTSCHE BANK          4,316,079,525 -0.75% -9.59% -21.14%         56,956,099,550         6,813
BARCLAYS          4,153,391,960 0.18% 0.73% 9.96%         50,378,566,243         6,321
WELLS FARGO & CO.          4,001,820,208 -0.81% -11.86% -21.78%         56,104,628,505         6,472
JPMORGAN CHASE & CO.          3,765,438,730 0.02% -11.58% -32.81%         68,394,098,224         7,094

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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