Credit default swaps top movers: Ukraine and Macy's Retail Holdings

Credit default swaps sovereign & corporate movers

Italy, Brazil and France continued their run as the trio of countries with the largest net notional amount to be paid out in the event of a default, according to the latest numbers from the Depository Trust & Clearing Corp. Italy's net notional amount increased by 0.14% from last week to this, while Brazil and France saw their net notional amounts fall by 0.85% and 0.50%, respectively.

The corporate side also was unchanged, with General Electric Capital Corp. (0.75% increase in net notional), Berkshire Hathaway Inc. (0.18% increase) and Metlife Inc. (0.16% decrease) topping the list.

The sovereign entity whose net notional amount changed the most from last week to this is Ukraine, with a decline of 12.90%. Croatia's net notional, meanwhile, rose by 8.96%. Rounding out the top three was Romania, with an 8.12% decrease in net notional.

Finally, the top corporate mover was Macy's Retail Holding Inc., whose net notional amount jumped by 21.95%. The Halyk Savings Bank of Kazakhstan (16.95% increase) and Texas-based XTO Energy Inc. (14.87%) increase also saw their net notional amounts go up.

Top 10 Sovereign Reference Entities by Net Notional (Week ending January 25, 2013)
   Net Notional (USD EQ)  Net % Change (1 week) Net % Change (4 weeks) Net % Change (1 year)  Gross Notional (USD EQ)   Contracts 
ITALY        21,397,830,563 0.14% 0.58% -1.99%       403,522,663,061       13,482
BRAZIL        17,263,343,109 -0.85% -0.25% -2.67%       157,456,442,053         9,748
FRANCE        15,393,610,021 -0.50% -2.11% -29.96%       181,868,858,099         7,750
GERMANY        14,657,247,230 0.12% -4.01% -23.92%       160,485,734,064         6,053
SPAIN        12,500,872,747 -1.28% -1.34% -12.30%       218,013,423,340       10,400
JAPAN          9,088,179,286 -3.45% -6.88% 1.16%         79,906,616,470         7,926
MEXICO          8,090,459,485 1.23% -2.92% -3.56%       119,771,035,232         8,455
CHINA          8,080,299,376 0.37% 0.10% -8.48%         76,171,442,323         8,304
UNITED KINGDOM          8,054,294,262 0.02% -1.56% -34.09%         70,830,966,483         4,562
TURKEY          7,664,378,371 2.88% 6.41% 45.53%       142,083,609,581         9,322

 

Top 10 Corporate Reference Entities by Net Notional (Week ending January 25, 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.          8,997,783,530 0.75% 3.76% -15.82%         78,093,948,353         6,012
BERKSHIRE HATHAWAY INC.          7,660,535,180 0.18% 1.89% 46.59%         35,719,271,633         3,379
METLIFE, INC.          4,695,313,557 -0.16% -0.82% 0.36%         29,702,498,231         3,736
DEUTSCHE BANK          4,650,677,896 2.83% 0.43% -6.25%         58,583,769,095         7,038
BANK OF AMERICA CORP.          4,493,838,450 0.15% -1.58% -21.39%         61,419,436,416         7,064
THE GOLDMAN SACHS GROUP, INC.          4,488,321,160 0.75% -0.74% -6.30%         65,876,707,525         6,562
BARCLAYS BANK PLC          4,112,433,187 0.72% 4.64% 16.06%         49,678,562,079         6,230
MORGAN STANLEY          3,904,813,568 0.77% 4.00% -8.98%         65,748,652,002         6,775
WELLS FARGO & CO.          3,768,177,705 0.79% 2.83% -24.13%         47,443,831,689         5,738
JPMORGAN CHASE & CO.          3,378,575,529 -0.22% 1.36% -38.38%         62,720,920,418         6,616

 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.

Comments
comments powered by Disqus