Credit default swaps top movers: General Motors and Poland

Credit default swaps sovereign & corporate movers

Once again, Italy is the country 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 slight, 0.62% increase in the amount of its net notional from last week, while France (1.04% decline) and Germany (2.51% increase) rounded out the top three.

Things also stayed consistent on the corporate side, where General Electric Capital Corp., Berkshire Hathaway and Goldman Sachs experienced a 0.37% decrease, a 3.63% increase and a 0.34% increase, respectively, in the amount of net notional to be paid out in case of a default.

The top mover among sovereign entities was Poland, whose net notional decreased by 8.92% from one week ago. In the second spot, Australia saw a slightly smaller 8.82% decline in net notional, while South Africa's net notional amount increased by 5.24%.

General Motors Co. led corporate movers with an increase of 14.12% in its net notional. Rounding out the top three were global chemical manufacturer Huntsman International, with a 13.13% increase in net notional, and managed health care company WellPoint Inc., with an 11.06% increase.

Top 10 Sovereign Reference Entities by Net Notional (Week ending November 09, 2012)
   Net Notional (USD EQ)  Net % Change (1 week) Net % Change (4 weeks) Net % Change (1 year)  Gross Notional (USD EQ)   Contracts 
ITALY        20,463,966,406 0.62% -0.96% -0.32%       385,295,137,024       12,744
FRANCE        18,060,965,360 -1.04% -12.60% -22.74%       175,446,159,500         7,472
GERMANY        17,130,449,933 2.51% -4.62% -13.27%       151,777,622,473         5,867
BRAZIL        16,980,300,538 0.53% -3.41% -4.58%       157,952,500,033       10,089
SPAIN        12,408,848,138 -1.47% -2.44% -23.21%       208,684,939,231         9,989
JAPAN        11,380,641,511 -1.78% -0.96% 27.38%         79,096,011,730         7,702
MEXICO          9,324,277,968 -0.49% 4.30% 6.47%       120,917,470,445         8,751
CHINA          9,160,683,361 -1.98% -4.89% -5.36%         75,267,816,164         8,135
UNITED KINGDOM          8,650,402,543 -3.14% -9.28% -31.11%         70,734,220,777         4,644
SOUTH KOREA          6,811,121,517 -1.96% -6.84% 36.54%         83,254,469,394         9,014

 

Top 10 Corporate Reference Entities by Net Notional (Week ending November 09, 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.          9,131,808,382 -0.37% -2.25% -18.67%         80,576,635,740         6,395
BERKSHIRE HATHAWAY          6,375,873,183 3.63% 8.28% 18.21%         31,793,093,028         3,285
GOLDMAN SACHS          4,897,018,673 0.34% 1.84% -2.54%         72,902,835,497         7,285
BANK OF AMERICA CORP.          4,644,915,995 1.45% 1.59% -20.55%         71,481,627,527         8,301
METLIFE, INC.          4,631,825,403 -0.14% 3.25% -2.60%         31,058,574,809         3,922
DEUTSCHE BANK          4,605,583,972 1.86% 6.71% -13.63%         58,375,677,616         7,082
MORGAN STANLEY          4,577,781,261 0.55% 5.64% 7.01%         71,882,428,743         7,420
BARCLAYS BANK PLC          4,062,741,510 3.72% -2.18% 9.47%         50,191,824,843         6,447
WELLS FARGO & CO.          4,041,055,038 0.69% 0.98% -22.10%         52,743,495,973         6,185
JPMORGAN CHASE & CO.          3,784,447,042 -0.54% 0.50% -34.20%         69,197,052,450         7,238

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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