Credit default swaps top movers: Argentina and Duke Realty

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. Italy saw a 0.11% increase in the amount of net notional to be paid out in case of a default from last week, while France's net notional decreased by 3.14% and Brazil saw a smaller, 0.92% decline.

The same three companies--General Electric Capital Corp., Berkshire Hathaway Inc. and The Goldman Sachs Group Inc.--led the corporate side with changes of -.48%, 1.99% and .09%, respectively, in their net notional amounts.

The biggest sovereign mover this week was Argentina, whose net notional amount dropped 10.37% from last week. Rounding out the top three were Denmark, with a -5.96% change, and Peru, with a 4.55% increase. Duke Realty Ltd. Partnership, a U.S. commercial real estate company, led corporate movers with a 14.12% increase in net notional from last week, followed by Texas-based steel and metal manufacturer Commercial Metals Co. (-10.16% decrease) and American Axle & Manufacturing Inc. (-9.47% decrease), an automotive component manufacturer.

Top 10 Sovereign Reference Entities by Net Notional (Week ending November 02, 2012)
   Net Notional (USD EQ)  Net % Change (1 week) Net % Change (4 weeks) Net % Change (1 year)  Gross Notional (USD EQ)   Contracts 
ITALY        20,338,476,005 0.11% -0.32% -2.28%       384,245,988,748       12,641
FRANCE        18,250,278,807 -3.14% -12.66% -23.25%       173,461,978,697         7,415
BRAZIL        16,889,991,095 -0.92% -2.64% -4.94%       158,448,608,790       10,115
GERMANY        16,710,815,320 -3.84% -6.81% -14.36%       150,958,171,222         5,841
SPAIN        12,594,280,013 -1.72% 2.00% -24.49%       205,067,246,640         9,831
JAPAN        11,587,225,346 -0.06% 0.36% 28.36%         79,352,805,149         7,730
MEXICO          9,370,010,058 1.01% 4.11% 8.05%       121,177,185,462         8,748
CHINA          9,345,771,058 -0.45% -4.00% -2.83%         74,452,128,130         8,079
UNITED KINGDOM          8,930,759,980 -4.02% -7.28% -28.71%         71,087,928,934         4,670
SOUTH KOREA          6,947,572,461 -2.32% -4.54% 38.88%         82,775,496,834         8,955

 

Top 10 Corporate Reference Entities by Net Notional (Week ending November 02, 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.          9,165,703,896 -0.48% -1.59% -18.59%         80,990,111,326         6,497
BERKSHIRE HATHAWAY          6,152,712,398 1.99% 4.90% 13.43%         31,874,290,125         3,227
GOLDMAN SACHS GROUP          4,880,395,361 0.09% 1.54% -3.57%         72,694,269,184         7,212
METLIFE, INC.          4,638,378,685 2.26% 3.20% -2.36%         31,149,314,098         3,879
BANK OF AMERICA CORP.          4,578,654,886 1.05% 0.14% -20.54%         70,786,011,899         8,199
MORGAN STANLEY          4,552,646,678 1.25% 5.65% 7.18%         71,488,873,809         7,324
DEUTSCHE BANK          4,521,572,730 2.16% 3.97% -14.90%         58,532,290,001         7,033
WELLS FARGO & CO.          4,013,212,468 1.50% -0.53% -22.43%         52,221,032,648         6,112
BARCLAYS BANK PLC          3,916,909,005 -4.78% -5.52% 5.04%         50,396,779,798         6,423
JPMORGAN CHASE & CO.          3,804,861,180 -0.46% 1.06% -32.79%         68,726,002,201

        7,158

 

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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