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, 2014

Dec 31, 2013

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 exposure 1

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

100

(11)

89

1

52

0

52

2

Ireland

(26)

4

(21)

2

61

114

175

0

Italy

4,600

(4,356)

244

133

1,861

(487)

1,374

116

Portugal

(5)

(71)

(76)

2

38

(12)

25

4

Spain

688

(413)

275

1

1,193

259

1,452

(4)

Total

5,358

(4,848)

511

139

3,205

(126)

3,078

118

The reduction in net sovereign credit exposure compared with year-end 2013 mainly reflects movements from trading debt securities and derivative positions. Net sovereign exposure for Italy declined since year-end 2013 as increases in direct sovereign exposure resulting from reduced short bond positions were more than offset by higher net hedge positions mostly due to lower CDS protection sold. The decrease of our direct sovereign exposure to Spain primarily reflects exposure changes in trading debt securities. The increase in Greece is mainly attributable to derivative positions.

The above mentioned direct sovereign exposure included exposure at amortized cost to sovereigns which, as of December 31, 2014, amounted to € 1.3 billion out of which the carrying value of loans held at amortized cost to sovereigns amounted to € 279 million for Italy and € 580 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, 2014

Dec 31, 2013

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

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

Greece

20

80

100

52

0

52

Ireland

(22)

0

(22)

67

1

69

Italy

3852

3,459

3,844

(1,959)2

2,997

1,038

Portugal

(8)

0

(8)

(35)

70

34

Spain

66

20

86

543

22

565

Total

441

3,559

4,000

(1,332)

3,090

1,757

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

 

Dec 31, 2014

Dec 31, 2013

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

0

0

0

Italy

77

81

0

97

101

0

Portugal

4

4

0

3

3

0

Spain

0

0

0

0

0

0

Total

81

85

0

101

105

0