Credit default swaps top movers: Australia and E.ON SE

Credit default swaps sovereign & corporate movers

Italy, France and Brazil remained atop the list of the countries with the largest net notional amount to be paid out in case of default, with decreases of 0.75%, 3.31% and 0.25%, respectively, in their net notional amounts between last week and this. General Electric Capital Corporation (0.40% increase in net notional), Berkshire Hathaway Inc. (4.80% increase) and The Goldman Sachs Group Inc. (1.05% decrease) were once again the corporations with the largest net notional amounts.

The top mover on the sovereign side was Australia, whose net notional amount fell by 8.80% over the past week, to a total of 4,325 contracts. Rounding out the top three are Argentina, with an 8.12% increase in net notional, and Cyprus, who saw an 8.00% decrease in its notional amount.

On the corporate side, E.ON AG--a German-based electric utility service provider--saw a whopping 71.90% decrease in its net notional this week. Toronto-based electronics manufacturing services company Celestica Inc.'s net notional rose by 25.94%, while pharmaceutical company Merck & Co. Inc. saw a 20.55% increase.

Top 10 Sovereign Reference Entities by Net Notional (Week ending December 07, 2012)
   Net Notional (USD EQ)  Net % Change (1 week) Net % Change (4 weeks) Net % Change (1 year)  Gross Notional (USD EQ)   Contracts 
ITALY        21,098,984,957 -0.75% 3.10% 4.18%       392,141,412,640       12,978
FRANCE        16,795,262,661 -3.31% -7.01% -24.55%       177,274,752,271         7,494
BRAZIL        16,754,044,238 -0.24% -1.33% -8.12%       159,422,790,552       10,140
GERMANY        15,426,780,155 -3.84% -9.95% -21.49%       153,538,791,715         5,827
SPAIN        12,643,205,724 -0.17% 1.89% -18.21%       211,487,200,339       10,149
JAPAN        10,147,754,384 0.46% -10.83% 13.51%         77,918,004,959         7,577
CHINA          8,789,716,506 -4.81% -4.05% -5.89%         74,977,060,816         8,170
MEXICO          8,748,009,217 -2.21% -6.18% -0.87%       119,718,276,216         8,596
UNITED KINGDOM          8,274,442,381 -2.00% -4.35% -32.93%         70,302,262,179         4,534
TURKEY          7,171,176,192 0.14% 6.40% 56.07%       144,761,667,903         9,996

 

Top 10 Corporate Reference Entities by Net Notional (Week ending December 07, 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.          9,231,891,263 0.40% 1.10% -17.68%         81,501,895,956         6,423
BERKSHIRE HATHAWAY INC.          7,475,554,042 4.80% 17.25% 41.84%         34,561,121,205         3,459
THE GOLDMAN SACHS GROUP, INC.          5,103,582,760 1.05% 4.22% 3.10%         73,637,587,729         7,386
DEUTSCHE BANK          4,877,296,027 0.85% 5.90% -6.98%         59,946,891,445         7,167
METLIFE, INC.          4,767,887,082 1.44% 2.94% 0.48%         31,237,566,032         3,933
MORGAN STANLEY          4,556,065,523 -0.58% -0.47% 1.12%         72,681,849,651         7,482
BANK OF AMERICA CORP.          4,510,788,038 -0.19% -2.89% -22.90%         72,518,183,479         8,405
BARCLAYS BANK PLC          4,295,305,133 0.90% 5.72% 16.39%         51,799,981,185         6,486
WELLS FARGO & CO.          3,964,628,686 -1.18% -1.89% -24.06%         53,584,385,693         6,294
JPMORGAN CHASE & CO.          3,874,665,709 -1.17% 2.38% -32.95%         69,893,558,216         7,336

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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