Credit default swaps top movers: Croatia and Weatherford International

Credit default swaps sovereign & corporate movers

Once again, Italy, Brazil and France remained atop the list of sovereign entities with the largest net notional amount to be paid out in case of default. Italy's net notional increased by 0.93% from two weeks ago, while Brazil and France saw their net notional amounts drop by 1.05% and 1.32%, respectively. Things were also unchanged on the corporate side, where General Electric Capital Corp. (2.15% increase in net notional), Berkshire Hathaway Inc. (0.36% increase) and Metlife Inc. (0.02% increase) took the top three spots on the list.

The country that experienced the largest change in net notional from last week to this was Croatia, with an 8.38% increase. Rounding out the top three were South Korea, whose net notional dropped by 4.37%, and Slovenia, whose net notional dropped by a slightly smaller 4.26%.

On the corporate side, the biggest mover was Weatherford International Inc., a Swiss oil and natural gas service company, whose net notional to be paid out in case of default rose by 57.22%. Pennsylvania-based drug wholesale company AmericsourceBergen Corp. took the second spot, with a 20.13% rise in net notional, while Dole Food Company Inc. saw an 18.66% increase in its total net notional amount.

Top 10 Sovereign Reference Entities by Net Notional (Week ending January 18, 2013)
   Net Notional (USD EQ)  Net % Change (1 week) Net % Change (4 weeks) Net % Change (1 year)  Gross Notional (USD EQ)   Contracts 
ITALY        21,368,676,082 0.93% 0.52% -3.76%       395,678,522,151       13,209
BRAZIL        17,411,420,509 -1.05% 1.00% -2.19%       159,088,915,038       10,005
FRANCE        15,470,495,572 -1.32% -1.37% -29.77%       181,075,327,265         7,676
GERMANY        14,639,827,042 -1.63% -4.56% -23.84%       159,866,593,437         6,044
SPAIN        12,663,030,870 1.50% 0.02% -12.26%       215,982,587,939       10,297
JAPAN          9,412,945,558 -1.34% -4.30% 4.58%         79,493,894,847         7,857
UNITED KINGDOM          8,052,838,897 -0.84% -1.99% -34.11%         70,712,057,247         4,554
CHINA          8,050,611,415 -0.50% -0.18% -9.05%         76,004,288,387         8,283
MEXICO          7,991,793,117 -0.55% -0.59% -3.88%       119,260,860,460         8,433
TURKEY          7,449,690,236 2.76% 4.74% 47.20%       142,966,660,127         9,394

 

Top 10 Corporate Reference Entities by Net Notional (Week ending January 18, 2013)
   Net Notional (USD EQ)  Net % Change (1 week) Net % Change (4 weeks) Net % Change (1 year)  Gross Notional (USD EQ)   Contracts 
GE CAPITAL CORP.          8,931,188,235 2.15% 2.84% -15.37%         77,652,054,879         6,002
BERKSHIRE HATHAWAY INC.          7,647,006,849 0.36% 1.73% 47.06%         35,504,497,202         3,391
METLIFE, INC.          4,702,666,548 0.02% -0.66% 2.03%         29,575,509,015         3,740
DEUTSCHE BANK          4,522,538,337 -3.11% 0.11% -6.38%         57,613,810,283         6,970
BANK OF AMERICA CORP.          4,486,982,959 -2.98% -1.68% -22.24%         60,800,884,047         7,003
THE GOLDMAN SACHS GROUP, INC.          4,455,079,638 -0.21% -1.08% -3.20%         69,518,644,308         7,024
BARCLAYS BANK PLC          4,082,996,074 0.26% 4.16% 16.84%         48,805,449,343         6,200
MORGAN STANLEY          3,874,802,854 2.16% 3.37% -5.23%         65,100,413,683         6,707
WELLS FARGO & CO.          3,738,530,615 -0.60% 3.13% -26.00%         48,374,224,021         5,856
JPMORGAN CHASE & CO.          3,386,092,443 -1.28% 1.11% -39.32%         62,247,979,894         6,561

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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