Credit default swaps top movers: Chile and Nordea Bank

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 1.09% increase in the amount of its net notional from last week, while France's net notional amount to be paid out in case of default decreased by 1.41%. Despite a 0.49% drop in net notional, Brazil passed Germany to take the third spot on the list.

The corporate rankings were consistent, with General Electric Capital Corp., Berkshire Hathaway and Goldman Sachs experiencing a 0.65% decrease, a 4.11% increase and a 0.87% increase, respectively, in the amount of net notional to be paid out in case of a default.

The top mover among sovereign entities was Chile, whose net notional increased by 6.40% from one week ago. South Africa moved from thrid place to second place in the rankings with a 5.73% increase in net notional, while Slovenia's net notional amount increased by 5.01%.

Nordea Bank, a Stockholm-based financial services group, led corporate movers with an increase of 14.00% in its net notional. Rounding out the top three were The Bank of Tokyo-Mitsubishi UFJ, Ltd., with a 13.20% increase in net notional, and Technip, an energy-sector engineering and construction company, with a 13.04% decrease.

Top 10 Sovereign Reference Entities by Net Notional (Week ending November 16, 2012)
   Net Notional (USD EQ)  Net % Change (1 week) Net % Change (4 weeks) Net % Change (1 year)  Gross Notional (USD EQ)   Contracts 
ITALY        20,686,325,881 1.09% -0.69% 2.80%       386,879,719,693       12,806
FRANCE        17,805,759,274 -1.41% -11.00% -21.23%       177,067,999,101         7,498
BRAZIL        16,897,616,680 -0.49% -0.67% -5.52%       159,247,308,484       10,183
GERMANY        16,867,714,810 -1.53% -4.39% -15.26%       153,689,052,058         5,948
SPAIN        12,480,137,662 0.57% -3.54% -19.58%       209,623,626,225       10,063
JAPAN        11,029,173,707 -3.09% -4.03% 23.62%         78,841,371,096         7,724
CHINA          9,287,978,279 1.39% -2.46% -3.80%         75,566,040,489         8,158
MEXICO          9,224,648,607 -1.07% -0.72% 5.72%       120,588,853,384         8,752
UNITED KINGDOM          8,547,210,659 -1.19% -8.76% -31.35%         70,917,536,894         4,668
SOUTH KOREA          6,933,004,856 1.79% -4.68% 40.32%         83,670,822,638         9,141

 

Top 15 Corporate Reference Entities by Net Notional (Week ending November 16, 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.          9,072,901,283 -0.65% -3.13% -19.35%         81,266,120,426         6,422
BERKSHIRE HATHAWAY          6,638,134,768 4.11% 12.95% 25.00%         32,490,004,480         3,363
GOLDMAN SACHS          4,939,757,457 0.87% 0.78% -0.46%         73,149,123,776         7,315
DEUTSCHE BANK          4,685,509,211 1.74% 6.02% -11.17%         58,723,199,978         7,121
METLIFE, INC.          4,647,815,054 0.35% 3.49% -2.21%         31,175,304,923         3,930
MORGAN STANLEY          4,573,029,466 -0.10% 3.64% 5.32%         72,046,450,304         7,445
BANK OF AMERICA CORP.          4,560,578,163 -1.82% -0.50% -20.89%         71,751,657,295         8,339
BARCLAYS BANK PLC          4,158,486,181 2.36% -0.28% 14.39%         50,738,740,471         6,448
WELLS FARGO & CO.          4,004,059,265 -0.92% -0.33% -22.91%         52,862,107,558         6,203
JPMORGAN CHASE & CO.          3,903,063,861 3.13% 3.32% -32.26%         69,331,868,702         7,262

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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