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.

Top 10 Sovereign Reference Entities by Net Notional Change vs 1 Week Ago
  Type  Net Notional (USD EQ)  Net % Change vs 1 Week Ago  Gross Notional (USD EQ)   Contracts 
SLOVENIA SOV              399,595,687 -17.15%           8,627,983,419             858
UKRAINE SOV              681,391,000 6.23%         19,820,632,491         2,363
LITHUANIA SOV              417,605,025 5.38%           6,317,683,273             722
CYPRUS SOV              189,259,902 4.90%           1,949,853,621             288
VIETNAM SOV              452,042,100 3.33%           5,642,969,054             813
PANAMA SOV              419,677,846 2.94%           5,651,050,901             841
ISRAEL SOV          1,543,876,238 -2.77%         12,051,278,921         1,337
CHILE SOV              882,954,668 2.74%           6,107,956,317             633
FRANCE SOV        10,947,154,404 2.43%       152,923,828,672         6,160
HUNGARY SOV          1,322,667,975 -2.27%         47,930,919,363         4,338
Top 10 Corporate Reference Entities by Net Notional Change vs 1 Week Ago
  Type  Net Notional (USD EQ)  Net % Change vs 1 Week Ago  Gross Notional (USD EQ)   Contracts 
NEWS AMERICA INCORPORATED CORP              614,491,508 -19.99%         11,126,874,245         1,759
JOHNSON & JOHNSON CORP              852,850,284 17.46%           6,005,129,430             914
CROWN LIMITED CORP              386,046,073 16.65%           3,571,085,386             665
CISCO SYSTEMS, INC. CORP              386,006,502 16.29%           4,151,889,429             584
THE WILLIAMS COMPANIES, INC. CORP              350,773,952 16.18%           3,999,730,527             838
PEPSICO, INC. CORP              226,915,138 -14.97%           2,370,772,850             470
EAST JAPAN RAILWAY COMPANY CORP              171,249,676 13.34%           1,135,388,574             250
UNITYMEDIA KABELBW GMBH CORP              622,611,966 13.20%           3,934,405,901             694
HANSON LIMITED CORP              536,259,282 10.66%           9,991,321,128         1,881
FINMECCANICA S.P.A. CORP              782,364,604 10.42%         16,017,075,131         2,822


About the Author

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