Credit default swaps top movers: Argentina and Wind Acquisition Finance

Credit default swaps sovereign & corporate movers

Once again, Italy, France and Brazil were the countries with the largest net notional amount to be paid out in case of default, with changes of 2.19%, 0.83% and -2.09%, respectively, from last week. Net notional rankings were also consistent on the corporate side, where General Electric Capital Corp. topped the list with an increase of 0.25% in its net notional and Berkshire Hathaway and Goldman Sachs rounded out the top three with a 5.66% increase and a 0.63 decrease, respectively.

First among sovereign movers this week was Argentina, which saw a 16.26% decrease in its net notional amount to be paid in case of default. Estonia landed in the second spot with an 8.22% decrease in its net notional, while Egypt experienced a 7.54% increase.

Wind Acquisition Finance, a bond-issuing subsidiary of Italian telecom operator Wind Telecomunicazioni SpA, saw its net notional rise by 14.42% over the past week. Rounding out the top three corporate movers were Macy's Retail Holdings Inc., with an 11.78% decrease, and Caterpillar Financial Services Corp., with a slightly smaller decrease of 11.54%.

Top 10 Sovereign Reference Entities by Net Notional (Week ending November 30, 2012)
   Net Notional (USD EQ)  Net % Change (1 week) Net % Change (4 weeks) Net % Change (1 year)  Gross Notional (USD EQ)   Contracts 
ITALY        21,257,642,110 2.19% 4.52% 6.36%       390,375,710,039       12,859
FRANCE        17,370,144,666 -0.83% -4.82% -22.55%       176,920,996,719         7,481
BRAZIL        16,794,932,407 -2.09% -0.56% -6.59%       159,785,661,398       10,210
GERMANY        16,043,048,213 -3.99% -4.00% -18.60%       152,364,159,881         5,744
SPAIN        12,664,529,344 1.92% 0.56% -18.31%       211,134,101,604       10,102
JAPAN        10,101,733,868 -6.57% -12.82% 13.28%         76,996,778,201         7,460
CHINA          9,233,518,555 0.38% -1.20% -4.35%         74,939,447,787         8,175
MEXICO          8,945,891,966 -0.73% -4.53% 2.04%       120,972,922,082         8,754
UNITED KINGDOM          8,442,951,534 -0.03% -5.46% -31.46%         70,643,493,320         4,537
TURKEY          7,161,273,909 0.86% 5.25% 58.15%       144,308,263,319         9,958

 

Top 10 Corporate Reference Entities by Net Notional (Week ending November 30, 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.          9,194,757,142 0.25% 0.32% -17.96%         81,145,490,155         6,424
BERKSHIRE HATHAWAY INC.          7,132,875,233 5.66% 15.93% 34.42%         33,985,306,256         3,463
GOLDMAN SACHS          5,050,450,309 -0.63% 3.48% 2.65%         73,357,959,364         7,345
DEUTSCHE BANK          4,836,002,766 1.09% 6.95% -8.00%         59,946,001,761         7,121
METLIFE, INC.          4,700,209,848 1.42% 1.33% -0.45%         31,919,719,702         4,005
MORGAN STANLEY          4,582,622,355 -0.79% 0.66% 3.23%         72,525,621,366         7,511
BANK OF AMERICA CORP.          4,519,165,222 -1.19% -1.30% -21.88%         72,320,893,640         8,369
BARCLAYS BANK PLC          4,256,884,891 0.19% 8.68% 15.39%         51,502,055,899         6,435
WELLS FARGO & CO.          4,012,090,727 -0.22% -0.03% -22.77%         53,328,309,127         6,262
JPMORGAN CHASE & CO.          3,920,458,127 0.21% 3.04% -32.68%         69,877,171,665         7,322

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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