Credit default swaps top movers: Mexico and Mitsubishi Chemical Corp.

Credit default swaps sovereign & corporate movers

Italy, Brazil and France once again took the top spots of countries with the largest net notional to be paid out in case of default, with net notional increases of 0.08%, 0.39% and 0.25%, respectively, since last week. Things also stayed the same on the corporate side, where General Electric Capital Corp. (0.15% decrease), Berkshire Hathaway Inc. and Metlife Inc. (both with 0.01% increases) topped the list.

The top sovereign mover this week was Mexico, with a 3.67% increase in its net notional amount, followed by Qatar, which saw a 2.08% uptick, and Russia, whose net notional jumped by 1.76%. Among corporations, Mitsubishi Chemical Corp. saw its net notional fall by 18.06%. The Halyk Savings Bank of Kazakhstan's net notional amount declined by 10.72%, while Johnson & Johnson's rose by 7.69%.

Top 10 Sovereign Reference Entities by Net Notional (Week ending December 28, 2012)
   Net Notional (USD EQ)  Net % Change (1 week) Net % Change vs (4 weeks) Net % Change (1 year)  Gross Notional (USD EQ)   Contracts 
ITALY        21,275,226,813 0.08% 0.08% 3.84%       387,652,735,017       12,948
BRAZIL        17,307,185,776 0.39% 3.05% -5.78%       156,206,285,364         9,772
FRANCE        15,725,421,204 0.25% -9.47% -27.89%       176,769,033,455         7,517
GERMANY        15,270,233,644 -0.45% -4.82% -21.19%       154,434,654,029         5,808
SPAIN        12,670,639,318 0.08% 0.05% -19.86%       212,362,148,642       10,143
JAPAN          9,759,327,927 -0.78% -3.39% 10.19%         78,550,298,365         7,634
MEXICO          8,333,897,992 3.67% -6.84% -3.38%       117,160,842,319         8,298
UNITED KINGDOM          8,182,328,926 -0.41% -3.09% -32.92%         70,502,476,547         4,541
CHINA          8,072,430,047 0.09% -12.57% -11.90%         74,726,036,423         8,149
TURKEY          7,202,536,377 1.27% 0.58% 49.02%       137,210,275,652         9,014

 

Top 15 Corporate Reference Entities by Net Notional (Week ending December 28, 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.          8,671,482,908 -0.15% -5.69% -18.30%         77,084,719,862         5,986
BERKSHIRE HATHAWAY INC.          7,518,125,010 0.01% 5.40% 46.57%         34,279,110,648         3,347
METLIFE, INC.          4,734,303,683 0.01% 0.73% 2.33%         29,434,433,828         3,733
DEUTSCHE BANK          4,630,711,369 2.51% -4.25% -0.23%         56,292,277,898         6,788
BANK OF AMERICA CORP.          4,566,186,179 0.06% 1.04% -19.83%         67,214,865,010         7,921
THE GOLDMAN SACHS GROUP, INC.          4,521,933,495 0.40% -10.46% -5.40%         68,331,382,353         6,949
BARCLAYS BANK PLC          3,930,069,131 0.26% -7.68% 18.43%         47,853,199,974         6,142
MORGAN STANLEY          3,754,557,540 0.16% -18.07% -12.25%         66,981,031,118         7,038
WELLS FARGO & CO.          3,664,423,878 1.08% -8.67% -28.80%         48,000,354,342         5,842
JPMORGAN CHASE & CO.          3,333,335,593 -0.46% -14.98% -40.98%         63,990,736,895         6,844

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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