Credit default swaps top movers: Bulgaria and Kazkommertsbank

Credit default swaps sovereign & corporate movers

 The three countries with the largest net notional to be paid out in case of default stayed consistent from last week to this, as Italy, France and Brazil topped the list with net notional changes of 0.56%, -1.63% and 1.52%, respectively. The top three corporations also stayed the same, with GE Capital Corp., Berkshire Hathaway and Goldman Sachs each experiencing a slight rise in their net notional amount.

The top sovereign mover this week was Bulgaria, whose net notional rose by 22.37%. Kazakhstan and Romania saw smaller changes of 10.61 and -8.85%, respectively.

On the corporate side, Kazkommertsbank, the national bank of Kazakhstan, experienced the largest change in the amount of net notional to be paid out in case of default, with a 19.66% decrease. California-based agricultural corporation Dole Food Company Inc. saw a 16.47% drop in its net notional, while the Bank of Tokyo-Mitsubishi UFJ, Ltd. experienced a 13.11% increase in its total.

Top 10 Sovereign Reference Entities by Net Notional (Week ending November 23, 2012)
   Net Notional (USD EQ)  Net % Change (1 week) Net % Change (4 weeks) Net % Change (1 year)  Gross Notional (USD EQ)   Contracts 
ITALY        20,802,480,310 0.56% 2.40% 5.43%       388,941,670,493       12,796
FRANCE        17,515,675,961 -1.63% -7.04% -21.68%       176,929,686,493         7,511
BRAZIL        17,153,881,082 1.52% 0.63% -5.25%       159,979,224,168       10,289
GERMANY        16,709,810,422 -0.94% -3.85% -14.54%       153,317,575,359         5,926
SPAIN        12,426,052,276 -0.43% -3.03% -20.62%       209,977,986,046       10,059
JAPAN        10,811,744,557 -1.97% -6.75% 21.66%         78,854,602,011         7,707
CHINA          9,198,930,547 -0.96% -2.02% -4.97%         75,656,152,143         8,193
MEXICO          9,011,389,240 -2.31% -2.86% 3.15%       120,540,754,663         8,786
UNITED KINGDOM          8,445,629,948 -1.19% -9.23% -31.81%         70,977,883,734         4,635
TURKEY          7,099,984,881 3.91% 5.97% 53.75%       144,006,405,977         9,951

 

Top 10 Corporate Reference Entities by Net Notional (Week ending November 23, 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.          9,171,624,302 1.09% -0.41% -17.94%         81,637,124,085         6,452
BERKSHIRE HATHAWAY          6,750,482,901 1.69% 11.90% 27.29%         32,815,233,564         3,408
GOLDMAN SACHS          5,082,540,189 2.89% 4.23% 3.25%         73,261,260,453         7,320
DEUTSCHE BANK          4,783,833,678 2.10% 8.08% -8.04%         59,879,794,052         7,131
METLIFE, INC.          4,634,615,116 -0.28% 2.17% -1.92%         31,355,944,221         3,964
MORGAN STANLEY          4,619,178,566 1.01% 2.72% 5.55%         72,368,931,742         7,468
BANK OF AMERICA CORP.          4,573,424,565 0.28% 0.93% -20.87%         72,059,283,362         8,331
BARCLAYS BANK PLC          4,248,878,142 2.17% 3.30% 18.38%         51,638,357,308         6,456
WELLS FARGO & CO.          4,021,042,219 0.42% 1.70% -22.39%         53,009,810,606         6,209
JPMORGAN CHASE & CO.          3,912,355,805 0.24% 2.35% -32.89%         69,686,492,119         7,291

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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