Credit default swaps top movers: Kazakhstan and ABN AMRO

Credit default swaps sovereign & corporate movers

For the first time in weeks, Italy has replaced France 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. France dropped to the number two spot, with a decrease of 3.18% in the amount of net notional to be paid out in case of a default, with Germany ranking third. The corporate side held steady, with General Electric Capital Corp. (0.26% increase from last week), Berkshire Hathaway (0.19% decrease) and Goldman Sachs (1.93% increase) once again landing in the top three spots.

Kazakhstan was the top mover in sovereign debt, with a 19.2% increase in its net notional amount. Qatar saw a smaller, 9.11% increase in its net notional, while Hungary's net notional decreased by 8.66%.

On the corporate side, the top mover was once again Dutch state-owned bank ABN AMRO, whose amount of net notional debt to be paid out in case of a default was down 47.22% from one week ago. Rounding out the top three were Canadian paper producer Domtar Corp. (18.18% increase in net notional) and The Interpublic Group of Companies Inc., an American advertising and public relations firm (14.61% increase in net notional).

Top 10 Sovereign Reference Entities by Net Notional (Week ending October 19, 2012)
   Net Notional (USD EQ)  Net % Change (1 week) Net % Change (4 weeks) Net % Change (1 year)  Gross Notional (USD EQ)   Contracts 
ITALY        20,830,696,159 0.81% -0.18% -5.22%       378,423,122,737       12,447
FRANCE        20,006,076,795 -3.18% -2.85% -16.57%       168,463,089,455         7,342
GERMANY        17,642,216,806 -1.77% -3.87% -9.93%       148,770,106,763         5,808
BRAZIL        17,011,350,699 -3.24% -1.78% -2.57%       158,897,359,940       10,157
SPAIN        12,938,719,315 1.73% 2.45% -27.96%       201,417,801,629         9,799
JAPAN        11,492,545,492 0.01% 0.09% 25.47%         79,704,591,857         7,884
CHINA          9,522,104,865 -1.13% -3.77% 2.66%         75,040,801,497         8,033
UNITED KINGDOM          9,367,511,321 -1.76% -8.04% -26.08%         71,222,019,046         4,665
MEXICO          9,291,810,617 3.94% 5.48% 5.30%       120,657,828,756         8,745
SOUTH KOREA          7,273,071,750 -0.52% 5.01% 41.46%         81,792,056,680         8,876

 

Top 10 Corporate Reference Entities by Net Notional (Week ending October 19, 2012)
   Net Notional (USD EQ)  Net % Change vs 1 Week Ago Net % Change vs 4 Weeks Ago Net % Change vs 52 Weeks Ago  Gross Notional (USD EQ)   Contracts 
GE CAPITAL CORP.          9,366,298,429 0.26% 0.86% -17.27%         80,648,225,183         6,365
BERKSHIRE HATHAWAY          5,876,866,916 -0.19% 3.35% 10.20%         31,319,608,350         3,154
GOLDMAN SACHS          4,901,623,576 1.93% 2.74% -3.38%         76,768,756,045         7,691
BANK OF AMERICA CORP.          4,583,306,251 0.24% -0.01% -20.75%         70,430,663,612         8,144
METLIFE, INC.          4,490,922,203 0.11% 0.65% -6.01%         30,806,559,724         3,788
DEUTSCHE BANK          4,419,654,148 2.40% 5.45% -18.03%         57,681,377,684         6,866
MORGAN STANLEY          4,412,628,476 1.83% 2.69% 6.40%         70,935,969,655         7,245
BARCLAYS BANK PLC          4,169,996,388 0.40% 5.78% 10.03%         50,848,492,807         6,373
WELLS FARGO & CO.          4,017,284,792 0.39% -2.15% -21.36%         56,381,052,021         6,558
JPMORGAN CHASE & CO.          3,777,626,073 0.32% -2.76% -32.51%         68,527,597,518         7,100

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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