Credit default swaps top movers: Argentina and Orix Corp.

Italy, Brazil and Germany were 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 and Brazil's net notional amounts increased by 0.97% and 4.15%, respectively from last week to this, while Germany saw its net notional amounts fall by 0.25%.

The corporate side saw General Electric Capital Corp. (0.86% increase in net notional), Berkshire Hathaway Inc. (0.51% decrease) and Deutsche Bank (0.65% decrease) topping the list.

The sovereign entity whose net notional amount changed the most from last week to this is Argentina, with an increase of 13.51%. Colombia’s net notional, meanwhile, rose by 9.79%. Rounding out the top three was Estonia, with an 9.62% decrease in net notional.

Finally, the top corporate mover was Orix Corp., whose net notional amount fell by 20.10%. DDR Corp. and Pilkington Group Limited also saw their net notional amounts decrease by 18.91% and 15.53%, respectively.

Top 10 Sovereign Reference Entities by Net Notional (Week ending Dec 13, 2013)
  Type  Net Notional (USD EQ)  Net % Change vs 1 Week Ago Net % Change vs 4 Weeks Ago Net % Change vs 52 Weeks Ago  Gross Notional (USD EQ)   Contracts 
ITALY SOV        18,036,293,901 0.97% 1.27% -15.44%       393,407,903,707       12,685
BRAZIL SOV        16,334,080,373 4.15% 12.62% -1.33%       139,146,320,820         9,389
GERMANY SOV        11,839,200,214 -0.25% -6.57% -23.18%       128,789,057,475         4,093
FRANCE SOV        11,115,635,490 -0.38% -1.59% -30.76%       154,111,808,973         6,212
MEXICO SOV        10,243,912,991 4.69% 9.68% 19.14%       109,081,742,628         8,112
SPAIN SOV          9,775,280,688 -1.82% 1.00% -22.79%       179,179,922,674         7,950
JAPAN SOV          9,547,098,789 -0.22% -0.45% -3.57%         70,627,318,365         6,002
CHINA SOV          8,601,314,004 4.04% 4.77% 2.35%         67,417,009,824         5,961
TURKEY SOV          8,428,019,994 -0.32% 1.42% 18.35%       110,088,211,299         7,224
SOUTH KOREA SOV          6,896,408,424 -0.59% -0.83% 3.09%         73,245,875,625         6,017
Top 10 Corporate Reference Entities by Net Notional (Week ending Dec 13, 2013)
  Type  Net Notional (USD EQ)  Net % Change vs 1 Week Ago Net % Change vs 4 Weeks Ago Net % Change vs 52 Weeks Ago  Gross Notional (USD EQ)   Contracts 
GENERAL ELECTRIC CAPITAL CORPORATION CORP          7,713,269,237 0.86% 4.59% -18.55%         61,757,949,036         5,045
BERKSHIRE HATHAWAY INC. CORP          5,896,824,332 -0.51% 1.10% -23.29%         32,984,544,954         3,155
DEUTSCHE BANK AKTIENGESELLSCHAFT CORP          4,532,532,865 -0.65% 1.48% -8.62%         47,631,713,969         5,148
BARCLAYS BANK PLC CORP          4,365,937,327 -0.50% 5.19% 0.66%         41,960,410,134         4,916
JPMORGAN CHASE & CO. CORP          4,072,129,744 0.20% 0.46% 5.39%         50,907,404,949         5,762
METLIFE, INC. CORP          3,699,941,721 -0.32% -0.13% -22.87%         25,408,691,445         3,155
AXA CORP          3,537,397,679 1.92% 10.27% 8.35%         35,776,667,965         4,329
BANK OF AMERICA CORPORATION CORP          3,277,159,735 -0.24% -3.53% -27.17%         51,650,943,776         6,158
MORGAN STANLEY CORP          3,212,885,142 0.86% -0.09% -27.91%         55,068,249,237         5,822
TELEFONICA, S.A. CORP          3,209,165,846 3.42% 2.45% -8.54%         39,037,802,971         4,261

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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