Credit default swaps top movers: Slovenia and News America

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 increased by 0.24% from last week to this, while Brazil and Germany saw their net notional amounts decreased by 1.76% and 1.31%, respectively.

The corporate side saw General Electric Capital Corp. (0.97% increase in net notional), Berkshire Hathaway Inc. (1.76% increase) and Deutsche Bank (073% decrease) topping the list.

The sovereign entity whose net notional amount changed the most from last week to this is Slovenia, with a decrease of 17.15%. Ukraine’s net notional, meanwhile, rose by 6.23%. Rounding out the top three was Lithuania, with a 5.38% increase in net notional.

Finally, the top corporate mover was News America, whose net notional amount decreased by 19.99%. Johnson & Johnson saw its net notional amount increase by 17.46%, while Crown Limited saw its net notional amounts increase by 16.65%.

Top 10 Sovereign Reference Entities by Net Notional (Week ending Jan 10, 2014)
  Type  Net Notional (USD EQ)  Net % Change vs 1 Week Ago  Gross Notional (USD EQ)   Contracts 
ITALY SOV        17,260,142,100 0.24%       384,975,354,393       12,614
BRAZIL SOV        15,455,259,313 -1.76%       139,052,480,740         9,205
GERMANY SOV        11,582,301,945 -1.31%       127,953,056,395         4,065
FRANCE SOV        10,947,154,404 2.43%       152,923,828,672         6,160
MEXICO SOV        10,465,792,917 -0.52%       108,478,506,859         7,884
SPAIN SOV          9,353,846,925 -1.57%       175,526,738,837         7,859
JAPAN SOV          9,122,565,081 -1.64%         69,340,216,235         5,957
CHINA SOV          9,094,291,993 0.88%         68,632,861,291         5,953
TURKEY SOV          8,411,220,144 0.87%       113,790,354,444         7,662
SOUTH KOREA SOV          6,779,660,234 1.60%         71,800,318,762         5,757

 

Top 10 Corporate Reference Entities by Net Notional (Week ending Jan 10, 2014)
  Type  Net Notional (USD EQ)  Net % Change vs 1 Week Ago  Gross Notional (USD EQ)   Contracts 
GENERAL ELECTRIC CAPITAL  CORP          6,890,919,067 0.97%         55,079,936,595         4,418
BERKSHIRE HATHAWAY INC. CORP          5,813,361,853 1.76%         31,395,044,017         3,032
DEUTSCHE BANK AKTIENGESELLSCHAFT CORP          4,272,592,242 -0.73%         43,771,510,783         4,861
JPMORGAN CHASE & CO. CORP          4,035,606,822 0.64%         47,304,395,243         5,425
METLIFE, INC. CORP          3,780,495,379 1.55%         23,623,439,669         2,992
BARCLAYS BANK PLC CORP          3,685,855,138 -0.30%         37,424,368,133         4,509
AXA CORP          3,284,734,506 -0.92%         32,152,771,719         3,943
TELEFONICA, S.A. CORP          3,108,127,676 1.26%         35,626,632,556         3,961
MORGAN STANLEY CORP          3,093,615,175 2.53%         49,780,317,660         5,438
UNICREDIT, SOCIETA PER AZIONI CORP          3,010,074,818 3.08%         35,438,430,285         4,595

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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