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

 

Sep 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

123

(3)

120

1

52

0

52

2

Ireland

(51)

11

(40)

1

61

114

175

0

Italy

4,639

(4,097)

542

90

1,861

(487)

1,374

116

Portugal

37

(56)

(19)

2

38

(12)

25

4

Spain

784

(250)

533

0

1,193

259

1,452

(4)

Total

5,531

(4,395)

1,136

94

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 reduced 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 debt exposures.

The above mentioned direct sovereign exposure included the carrying value of loans held at amortized cost to sovereigns which, as of September 30, 2014, amounted to € 282 million for Italy and € 566 million for Spain and, as of December 31, 2013 amounted to € 726 million for Italy and € 649 million for Spain.