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 |