Credit default swaps top movers: Lithuania and Domtar

Credit default swaps sovereign & corporate movers

Italy remained atop France on 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. In the number two spot, France saw a decrease of 5.82% in the amount of net notional to be paid out in case of a default from last week. Once again, Germany ranked third, with a 1.49% decrease in net notional from last week. The corporate side once again held steady, with General Electric Capital Corp. (1.67% decrease from last week), Berkshire Hathaway (2.65% increase) and Goldman Sachs (-0.52% decrease) once again landing in the top three spots.

The top mover this week was Lithuania, with a 6.88% decrease in its amount of net notional. Bulgaria and Argentina saw similar decreases of 6.66% and 6.52% respectively.

On the corporate side, the top mover was Canadian paper producer Domtar Corp., with a 14.56% decrease from one week ago. Rounding out the top three were Singaporean investment company Temasek Holdings Ltd. (12.98% decrease in net notional) and Stanley Black & Decker Inc., an American tool and hardware manufacturer (11.43% increase in net notional).

 

Top 10 Sovereign Reference Entities by Net Notional (Week ending October 26, 2012)
   Net Notional (USD EQ)  Net % Change (1 week) Net % Change (4 weeks) Net % Change (1 year)  Gross Notional (USD EQ)   Contracts 
ITALY        20,315,413,707 -2.47% -1.36% -4.18%       381,027,238,567       12,518
FRANCE        18,842,221,688 -5.82% -8.67% -21.81%       173,833,627,851         7,424
GERMANY        17,379,018,061 -1.49% -4.12% -11.10%       150,115,272,079         5,819
BRAZIL        17,046,700,577 0.21% -2.37% -3.42%       158,284,936,419       10,102
SPAIN        12,814,745,599 -0.96% 1.75% -24.32%       204,979,437,557         9,825
JAPAN        11,594,331,723 0.89% -0.97% 26.32%         79,667,933,452         7,870
CHINA          9,388,384,803 -1.40% -5.64% -0.62%         74,928,652,327         8,062
UNITED KINGDOM          9,304,394,235 -0.67% -5.65% -26.15%         70,803,678,386         4,670
MEXICO          9,276,291,138 -0.17% 4.55% 8.64%       120,865,912,711         8,736
SOUTH KOREA          7,112,915,818 -2.20% -0.19% 37.45%         82,252,367,121         8,910

 

Top 10 Corporate Reference Entities by Net Notional (Week ending October 26, 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.          9,209,830,782 -1.67% -0.37% -18.51%         80,918,439,169         6,467
BERKSHIRE HATHAWAY          6,032,496,329 2.65% 4.94% 12.74%         31,744,282,763         3,211
GOLDMAN SACHS          4,876,235,259 -0.52% 3.35% -4.23%         72,719,708,624         7,190
METLIFE, INC.          4,535,981,164 1.00% 1.31% -4.68%         30,936,588,805         3,832
BANK OF AMERICA CORP.          4,531,289,992 -1.13% -0.95% -22.39%         70,736,670,181         8,181
MORGAN STANLEY          4,496,659,591 1.90% 4.41% 7.06%         71,441,942,779         7,307
DEUTSCHE BANK          4,426,020,884 0.14% 3.98% -18.79%         57,837,273,461         6,917
BARCLAYS BANK PLC          4,113,321,650 -1.36% 3.20% 9.16%         50,690,999,943         6,404
WELLS FARGO & CO.          3,953,889,388 -1.58% -2.54% -24.48%         52,112,311,858         6,096
JPMORGAN CHASE & CO.          3,822,362,926 1.18% 0.76% -31.70%         68,633,797,914         7,122

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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