Credit default swaps top movers: Ireland and Stanley see biggest weekly change

Italy and GE top list

For the week ending on June 27, Italy on the sovereign side and General Electric on the corporate side  would pay out the highest net notional amount in the event of default.  Russia and Turkey  topped the list of countries adding net notional risk for the week. 

On the corporate side, Compagnie de Saint-Gobain topped the list by almost 500 million, with Sberbank and Rentokil Initial at a far second and third. The companies were relatively volatile, each experiencing around a 15% shift from last week — Rentokil's was negative. 

 

Top 10 Sovereign Reference Entities by net notional change vs. 1 week ago

   Net Notional (USD EQ)  vs 1 Week Ago vs 4 Weeks Ago vs 1 Year Ago  Gross Notional (USD EQ)   Contracts 
IRELAND  1,469,530,786 -8.72% -15.90% -36.35%  45,993,503,013  2,883
ISRAEL  1,529,445,459 5.42% 2.10% -18.05%  12,261,889,422  1,285
TURKEY  9,359,205,232 4.36% -1.47% 21.58%  126,728,718,181  8,346
ROMANIA  774,534,406 -4.29% -2.67% -16.18%  11,972,257,622  1,247
AUSTRIA  3,830,717,444 -4.26% 0.72% -10.29%  58,249,963,853  2,578
RUSSIA  9,784,906,441 4.16% 1.72% 89.85%  117,982,170,429  9,608
BELGIUM  2,903,067,689 3.91% 2.19% -13.97%  55,833,408,718  3,101
LITHUANIA  352,519,594 -3.85% 3.51% -22.93%  6,224,011,635  688
AUSTRALIA  4,001,272,913 -3.76% -0.28% 13.07%  24,636,521,499  1,437
EGYPT  260,010,638 -3.71% -7.21% -26.70%  3,152,203,858  673

 

Top 10 Corporate Reference Entities by net notional change vs. 1 week ago

   Net Notional (USD EQ)  vs 1 Week Ago vs 4 Weeks Ago vs 1 Year Ago  Gross Notional (USD EQ)   Contracts 
STANLEY BLACK & DECKER  368,953,394 25.83% -31.43% -45.01%  4,951,805,672  989
ALLIANCE & LEICESTER  72,572,188 21.85% -34.44% -55.48%  1,167,228,155  219
SOLVAY  363,335,677 -21.66% -27.73% -33.22%  7,350,564,854  1,147
ALPHA APPALACHIA  178,357,693 20.23% 18.15% 20.55%  1,260,614,744  423
MEDIACOM  149,128,566 17.96% 8.01% 2.66%  1,179,891,478  375
ARAMARK  296,199,304 16.96% 12.64% 21.38%  2,441,286,699  769
UNISYS  220,925,289 16.03% 15.66% 8.66%  1,484,800,743  539
COMPAGNIE DE SAINT-GOBAIN  908,976,382 15.70% -0.81% -18.72%  15,490,078,262  2,171
RENTOKIL INITIAL  383,997,894 -15.47% -34.34% -41.96%  8,175,674,550  1,450
SBERBANK  548,153,188 14.99% 10.72% -47.43%  8,155,838,739  1,069

 

Top 10 Sovereign Reference Entities by net notional change vs. 4 weeks ago

   Net Notional (USD EQ)  vs 1 Week Ago vs 4 Weeks Ago

vs 1 Year Ago

 Gross Notional (USD EQ)   Contracts 
CHILE  1,408,355,074 2.89% 22.70% 61.06%  9,039,762,882  935
VIETNAM  614,012,131 1.82% 21.54% 15.62%  5,206,058,717  727
ESTONIA  122,835,487 0.10% 16.62% -48.13%  1,696,657,462  234
IRELAND  1,469,530,786 -8.72% -15.90% -36.35%  45,993,503,013  2,883
NETHERLANDS  2,492,841,128 -1.75% -13.59% -21.17%  35,434,951,598  1,825
KAZAKHSTAN  497,475,779 0.02% -12.65% -29.24%  7,666,492,609  843
SPAIN  9,394,787,099 -0.87% -11.20% -10.03%  182,955,771,997  8,108
POLAND  936,811,226 0.53% 10.77% -22.12%  26,506,380,763  2,242
LATVIA  382,061,611 -1.14% -10.33% -20.83%  8,410,734,028  833
HUNGARY  974,092,766 0.20% -9.85% -35.50%  41,962,588,811  3,623

 

Top 10 Corporate Reference Entities by net notional change vs. 4 weeks ago

   Net Notional (USD EQ)  vs 1 Week Ago vs 4 Weeks Ago vs 1 Year Ago  Gross Notional (USD EQ)   Contracts 
ALLIED DOMECQ  56,490,100 0.19% -61.59% -55.45%  880,776,451  327
CELESTICA  41,887,042 0.00% -56.42% -44.50%  987,093,165  255
PILKINGTON GROUP  52,919,211 6.86% -52.15% -69.58%  1,315,846,272  321
ALLIANCE BOOTS  195,705,862 0.17% -42.73% -38.71%  6,570,857,547  1,484
BRITISH SKY BROADCASTING  656,543,426 10.78% 42.55% 22.77%  7,875,524,538  1,114
BAUSCH & LOMB  70,392,653 2.30% -41.88% -67.59%  1,808,365,108  464
OPEN JOINT STOCK  502,680,000 0.00% -39.66% 100.00%  1,369,429,082  140
KONINKLIJKE PHILIPS  509,030,606 0.35% -39.09% -50.93%  11,750,586,341  1,550
CREDIT SUISSE  130,187,113 0.09% -38.74% -66.46%  955,339,730  194
PORTIGON AG  185,824,309 13.53% 38.61% 100.00%  1,169,570,884  265


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