Credit default swaps top movers: Lithuania and Dong Energy

Italy, Brazil and Germany again 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’s net notional amounts decreased by 0.27% from last week to this, while Brazil and Germany saw their net notional amounts increase by 0.26% and 0.13%, respectively.

The corporate side saw General Electric Capital Corp. (0.44% increase in net notional), Berkshire Hathaway Inc. (0.01% increase) and Deutsche Bank (1.27% increase) topping the list.

The sovereign entity whose net notional amount changed the most from last week to this is Lithuania, with an increase of 2.86%. South Africa’s net notional, meanwhile, rose by 2.07%. Rounding out the top three was Malaysia, with a 1.41% increase in net notional.

Finally, the top corporate mover was Dong Energy A/S, whose net notional amount increased by 22.08%. Campbell Soup Company also saw its net notional amount increase by 13.67%, while Lend Lease Corp. saw its net notional amounts decrease by 13.14%.

 

Top 10 Sovereign Reference Entities by Net Notional (Week ending Dec 27, 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        17,243,452,476 -0.27% -3.39% -18.95%       382,125,495,211       12,460
BRAZIL SOV        16,045,102,078 0.26% 6.68% -7.29%       139,665,543,388         9,254
GERMANY SOV        11,786,997,586 0.13% -1.83% -22.81%       126,658,063,024         3,997
FRANCE SOV        10,823,371,198 0.19% -2.97% -31.17%       152,171,863,260         6,115
MEXICO SOV        10,495,259,054 0.16% 8.01% 25.93%       107,351,701,136         7,960
SPAIN SOV          9,526,874,779 0.43% -4.80% -24.81%       174,585,033,409         7,759
JAPAN SOV          9,298,916,323 -0.33% -3.05% -4.72%         69,158,259,725         5,926
CHINA SOV          9,066,314,254 1.31% 11.80% 12.31%         67,309,923,634         5,852
TURKEY SOV          8,262,036,439 0.54% -1.67% 14.71%       110,761,840,137         7,276
SOUTH KOREA SOV          6,688,858,706 -0.39% -2.78% 4.35%         70,985,427,473         5,715
Top 10 Corporate Reference Entities by Net Notional (Week ending Dec 27, 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          6,882,047,139 0.44% -9.07% -20.64%         54,012,283,104         4,417
BERKSHIRE HATHAWAY INC. CORP          5,694,421,037 0.01% -4.01% -24.26%         31,117,315,359         2,963
DEUTSCHE BANK AKTIENGESELLSCHAFT CORP          4,298,248,135 1.27% -3.97% -7.18%         43,030,350,327         4,753
JPMORGAN CHASE & CO. CORP          4,014,552,095 1.42% -0.51% 20.44%         46,913,114,337         5,391
METLIFE, INC. CORP          3,726,799,957 0.01% 0.03% -21.28%         23,500,033,058         2,981
BARCLAYS BANK PLC CORP          3,720,471,544 0.92% -12.96% -5.33%         37,314,446,351         4,479
AXA CORP          3,353,520,258 0.39% -0.57% 6.24%         32,325,499,657         3,947
TELEFONICA, S.A. CORP          3,096,330,275 0.68% 0.24% -1.65%         35,618,338,676         3,962
MORGAN STANLEY CORP          3,061,739,858 1.21% -3.31% -18.45%         49,697,595,797         5,416
BANK OF AMERICA CORPORATION CORP          2,986,168,689 -0.77% -9.10% -34.60%         47,161,213,131         5,807

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.

Top 10 Sovereign Reference Entities by Net Notional Change vs 1 Week Ago
  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 
LITHUANIA SOV              398,947,482 2.86% -3.52% -16.67%           6,302,330,239             720
SOUTH AFRICA SOV          3,688,948,112 2.07% 1.23% 30.73%         48,021,554,771         4,754
MALAYSIA SOV          1,807,904,710 1.41% 5.09% 16.64%         15,614,031,099         1,857
CHINA SOV          9,066,314,254 1.31% 11.80% 12.31%         67,309,923,634         5,852
CYPRUS SOV              233,007,960 1.27% 1.89% -24.03%           1,990,018,684             289
ARGENTINA SOV              818,708,186 -1.20% 9.26% -45.23%         22,496,321,106         2,547
VIETNAM SOV              447,462,100 1.13% -10.15% -24.99%           5,581,389,054             793
INDONESIA SOV          3,089,310,948 1.06% 5.52% -1.53%         31,619,484,613         3,746
UKRAINE SOV              620,533,892 -1.03% -5.00% -27.28%         19,239,009,346         2,274
KAZAKHSTAN SOV              519,704,721 1.00% 2.96% -32.03%           9,194,422,625             975
Top 10 Corporate Reference Entities by Net Notional Change vs 1 Week Ago
  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 
DONG ENERGY A/S CORP              193,392,217 22.08% 8.35% -10.83%           1,276,599,132             225
CAMPBELL SOUP COMPANY CORP              603,820,128 13.67% -13.62% -9.28%           9,314,792,345         1,374
LEND LEASE CORPORATION LTD CORP              326,773,406 -13.14% -7.16% -7.89%           4,503,955,287             666
LINCOLN NATIONAL CORPORATION CORP              706,958,632 9.24% -5.83% -0.29%           7,142,291,136             991
FIFTH & PACIFIC COMPANIES, INC. CORP              562,313,621 8.97% 15.51% -19.16%         13,756,578,870         3,112
UNISYS CORPORATION CORP              190,029,817 8.72% 17.56% -9.10%           1,832,313,400             674
ENERGY FUTURE HOLDINGS CORP. CORP              115,445,782 8.44% -29.71% -80.38%           2,850,571,395         2,004
FREESCALE SEMICONDUCTOR, INC. CORP              475,429,874 7.96% -1.55% 1.15%           5,570,329,193         1,407
HEALTH MANAGEMENT ASSOCIATES, INC. CORP              223,576,418 7.19% 1.17% 6.83%           3,287,145,773             986
FIAT S.P.A. CORP          1,533,354,303 7.00% 6.68% 62.57%         17,523,203,158         3,026


About the Author

Michael McFarlin joined Futures in 2010 after graduating summa cum laude from Trinity International University, where he majored in English/Communication.