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

 

Jun 30, 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 exposure1

Net Notional of CDS referencing sovereign debt

Net sovereign exposure

Memo Item: Net fair value of CDS referencing sovereign debt2

1

Includes sovereign 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 in relation to default swaps referencing sovereign debt of the respective country representing the counterparty credit risk.

Greece

84

(12)

72

1

52

0

52

2

Ireland

(28)

111

84

(1)

61

114

175

0

Italy

4,598

(3,406)

1,192

71

1,861

(487)

1,374

116

Portugal

182

3

185

1

38

(12)

25

4

Spain

527

(98)

429

(3)

1,193

259

1,452

(4)

Total

5,363

 (3,401)

1,962

70

3,205

(126)

3,078

118

The increase in sovereign credit exposure compared with year-end 2013 mainly reflects movements from market making activities. The increase in Italy is primarily attributable to an increase in our sovereign debt exposures, which was partially offset by higher purchased credit protection. The decrease of our exposure to Spain primarily reflects exposure changes in debt securities related to the levels of market making and loans. The increase in Portugal is mainly attributable to debt exposures.

The above mentioned direct sovereign exposure included the carrying value of loans held at amortized cost to sovereigns which, as of June 30, 2014, amounted to € 312 million for Italy and € 598 million for Spain and, as of December 31, 2013 amounted to € 726 million for Italy and € 649 million for Spain.