Sovereign Credit Risk Exposure to Certain Eurozone Countries

The amounts below reflect a net “country of domicile view” of our sovereign exposure.

Sovereign credit risk exposure to certain eurozone countries

 

Dec 31, 2013

Dec 31, 2012

in € m.

Direct Sovereign exposure1

Net Notional of CDS referencing sovereign debt

Net sovereign exposure

Memo Item: Net fair value of CDS referencing sovereign debt2

Direct Sovereign exposure1

Net Notional of CDS referencing sovereign debt

Net sovereign exposure

Memo Item: Net fair value of CDS referencing sovereign debt2

1

Includes debt classified as financial assets/liabilities at fair value through profit or loss, available for sale and loans carried at amortized cost.

2

The amounts reflect the net fair value (i.e., counterparty credit risk) in relation to credit default swaps referencing sovereign debt of the respective country.

Greece

52

0

52

2

39

0

39

0

Ireland

61

114

175

0

355

45

400

(4)

Italy

1,861

(487)

1,374

116

847

2,122

2,969

159

Portugal

38

(12)

25

4

258

(105)

153

(4)

Spain

1,193

259

1,452

(4)

1,544

115

1,659

(4)

Total

3,205

(126)

3,078

118

3,043

2,177

5,220

147

The decrease compared with year-end 2012 of our net sovereign credit risk exposure to certain eurozone countries mainly reflects market making activities as well as fair value changes from market price movements occurring within 2013.

The above mentioned direct sovereign exposure included the carrying value of loans held at amortized cost to sovereigns which, as of December 31, 2013, amounted to € 726 million for Italy and € 649 million for Spain and, as of December 31, 2012 amounted to € 797 million for Italy and € 591 million for Spain.

Fair value of sovereign credit risk exposure to certain eurozone countries classified as financial assets at fair value through profit or loss

 

Dec 31, 2013

Dec 31, 2012

in € m.

Fair value of sovereign debt

Fair value of derivatives with sovereign counterparties (net position)1

Total fair value of sovereign exposures

Fair value of sovereign debt

Fair value of derivatives with sovereign counterparties (net position)1

Total fair value of sovereign exposures

1

Includes the impact of master netting and collateral arrangements.

2

Short sovereign debt position for Italy predominantly related to structured trades with corresponding credit derivatives offset.

Greece

52

0

52

24

15

39

Ireland

67

1

69

28

27

55

Italy

(1,959)2

2,997

1,038

(3,974)2

3,279

(695)

Portugal

(35)

70

34

150

59

209

Spain

543

22

565

734

29

763

Total

(1,332)

3,090

1,757

(3,038)

3,409

371

Sovereign credit risk exposure to certain eurozone countries classified as financial assets available for sale

 

Dec 31, 2013

Dec 31, 2012

in € m.

Fair value of sovereign debt

Original carrying amount

Accumulated impairment losses recognized in net income (after tax)

Fair value of sovereign debt

Original carrying amount

Accumulated impairment losses recognized in net income (after tax)

Greece

0

0

0

0

0

0

Ireland

0

0

0

300

213

0

Italy

97

101

0

741

720

0

Portugal

3

3

0

48

46

0

Spain

0

0

0

201

194

0

Total

101

105

0

1,290

1,173

0