Credit default swaps top movers: Switzerland and Huntsman International

Credit default swaps sovereign & corporate movers

Italy is, once again, the country with the largest net notional amount to be paid out in case of default, despite a 0.33% decrease in its net notional from last week to this. Brazil's net notional, which increased by 4.14%, surpassed that of France, which fell by 2.29%. General Electric Capital Corporation (8.29% decrease in net notional), Berkshire Hathaway Inc. (2.21% decrease) and Metlife Inc. (1.32% decrease) were the corporations with the largest net notional amounts.

The top mover on the sovereign side was Switzerland, whose net notional amount rose by a whopping 100.0% over the past week, to a total of 505,724,244. Rounding out the top three were Kazakhstan, with a 17.32% decrease in net notional, and Iceland, which saw an 13.85% decrease in its notional amount.

On the corporate side, chemical manufacturer and marketer Huntsman International saw a 56.45% decrease in its net notional this week. British Bond Energy Finance's net notional rose by 54.84%, while Italian bank Banca Italease saw a 49.03% decrease.

Top 10 Sovereign Reference Entities by Net Notional (Week ending December 21, 2012)
   Net Notional (USD EQ)  Net % Change (1 week) Net % Change (4 weeks) Net % Change (1 year)  Gross Notional (USD EQ)   Contracts 
ITALY        21,258,637,403 -0.33% 2.19% 6.10%       387,401,068,547       12,942
BRAZIL        17,239,388,627 4.14% 0.50% -6.19%       155,722,024,921         9,768
FRANCE        15,685,473,479 -2.29% -10.45% -28.00%       176,531,221,689         7,511
GERMANY        15,339,137,794 -0.47% -8.20% -21.05%       154,425,759,693         5,808
SPAIN        12,659,993,407 -0.01% 1.88% -18.84%       212,225,115,999       10,139
JAPAN          9,835,769,476 -0.65% -9.03% 10.82%         78,561,125,708         7,629
UNITED KINGDOM          8,216,392,352 -0.64% -2.71% -32.72%         70,531,812,813         4,543
CHINA          8,064,987,107 -4.03% -12.33% -11.51%         74,626,696,444         8,141
MEXICO          8,038,990,364 -6.50% -10.79% -6.05%       116,662,041,011         8,280
TURKEY          7,112,440,441 -0.13% 0.18% 46.47%       137,118,220,965         9,010

 

Top 10 Corporate Reference Entities by Net Notional (Week ending December 21, 2012)
   Net Notional (USD EQ)  Net % Change (1 week) Net % Change (4 weeks) Net % Change (1 year)  Gross Notional (USD EQ)   Contracts 
GENERAL ELECTRIC CAPITAL CORP.          8,684,701,218 -8.29% -5.31% -18.21%         77,014,782,419         5,979
BERKSHIRE HATHAWAY INC.          7,517,026,133 -2.21% 11.36% 46.48%         34,250,880,611         3,345
METLIFE, INC.          4,733,721,172 -1.32% 2.14% 2.63%         29,431,391,840         3,733
BANK OF AMERICA CORP.          4,563,449,504 1.42% -0.22% -20.31%         67,114,167,388         7,919
DEUTSCHE BANK          4,517,473,374 -8.92% -5.57% -3.34%         55,956,171,994         6,771
THE GOLDMAN SACHS GROUP, INC.          4,503,855,043 -11.31% -11.39% -6.36%         68,271,741,995         6,943
BARCLAYS BANK PLC          3,919,742,346 -9.63% -7.75% 17.72%         47,725,900,518         6,142
MORGAN STANLEY          3,748,620,396 -15.89% -18.85% -12.51%         66,941,233,391         7,034
WELLS FARGO & CO.          3,625,107,717 -8.94% -9.85% -29.59%         47,901,681,764         5,838
JPMORGAN CHASE & CO.          3,348,824,548 -13.33% -14.40% -40.76%         63,968,683,990         6,843

 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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