Deutsche Bank

Annual Report 2017

Credit Exposure to Certain Eurozone Countries

Certain Eurozone countries are presented within the table below due to concerns relating to sovereign risk.

In our “country of domicile view” we aggregate credit risk exposures to counterparties by allocating them to the domicile of the primary counterparty, irrespective of any link to other counterparties, or in relation to credit default swaps underlying reference assets from, these Eurozone countries. Hence we also include counterparties whose group parent is located outside of these countries and exposures to special purpose entities whose underlying assets are from entities domiciled in other countries.

The following table, which is based on the country of domicile view, presents our gross position, the included amount thereof of undrawn exposure and our net exposure to these Eurozone countries. The gross exposure reflects our net credit risk exposure grossed up for net credit derivative protection purchased with underlying reference assets domiciled in one of these countries, guarantees received and collateral. Such collateral is particularly held with respect to the retail portfolio, but also for financial institutions predominantly based on derivative margining arrangements, as well as for corporates. In addition, the amounts also reflect the allowance for credit losses. In some cases, our counterparties’ ability to draw on undrawn commitments is limited by terms included in the specific contractual documentation. Net credit exposures are presented after effects of collateral held, guarantees received and further risk mitigation, including net notional amounts of credit derivatives for protection sold/bought. The provided gross and net exposures to certain European countries do not include credit derivative tranches and credit derivatives in relation to our correlation business which, by design, is structured to be credit risk neutral. Additionally, the tranche and correlated nature of these positions does not allow a meaningful disaggregated notional presentation by country, e.g., as identical notional exposures represent different levels of risk for different tranche levels.

Gross position, included undrawn exposure and net exposure to certain Eurozone countries – Country of Domicile View

 

Sovereign

Financial Institutions

Corporates

Retail

Other

Total

in € m.

Dec 31,
2017

Dec 31,
2016

Dec 31,
2017

Dec 31,
2016

Dec 31,
2017

Dec 31,
2016

Dec 31,
2017

Dec 31,
2016

Dec 31,
2017

Dec 31,
2016

Dec 31,
20171

Dec 31,
2016

1

Approximately 71 % of the overall exposure as per December 31, 2017 will mature within the next 5 years.

2

Other exposures to Ireland include exposures to counterparties where the domicile of the group parent is located outside of Ireland as well as exposures to special purpose entities whose underlying assets are from entities domiciled in other countries.

3

Total net exposure excludes credit valuation reserves for derivatives amounting to € 64.6 million as of December 31, 2017 and € 281 million as of December 31, 2016.

Greece

 

 

 

 

 

 

 

 

 

 

 

 

Gross

55

89

734

743

526

986

5

6

0

1,320

1,824

Undrawn

0

30

31

5

21

0

0

36

52

Net

38

83

270

258

8

15

1

1

0

317

357

Ireland

 

 

 

 

 

 

 

 

 

 

 

 

Gross

865

826

927

908

7,556

9,280

31

31

2,2752

3,2632

11,654

14,308

Undrawn

0

4

42

2,005

2,000

1

3162

1722

2,326

2,214

Net

717

569

477

352

4,420

5,374

6

5

2,2752

3,4592

7,895

9,759

Italy

 

 

 

 

 

 

 

 

 

 

 

 

Gross

2,875

2,735

3,338

3,051

12,050

10,591

16,489

17,122

147

358

34,898

33,857

Undrawn

13

32

28

74

5,162

4,730

96

208

26

5,300

5,069

Net

1,015

438

672

920

8,202

7,514

7,633

7,288

146

344

17,669

16,504

Portugal

 

 

 

 

 

 

 

 

 

 

 

 

Gross

(227)

61

185

127

1,329

1,424

1,757

1,674

80

65

3,123

3,352

Undrawn

0

75

12

374

232

24

12

0

474

256

Net

(223)

79

115

73

893

1,205

134

143

80

65

998

1,564

Spain

 

 

 

 

 

 

 

 

 

 

 

 

Gross

1,672

1,325

1,301

1,947

9,106

8,340

9,570

9,770

128

112

21,777

21,493

Undrawn

0

225

261

4,583

4,310

259

283

3

5,068

4,858

Net

1,554

1,195

552

971

7,113

6,643

2,117

1,935

128

265

11,464

11,009

Total gross

5,240

5,037

6,485

6,776

30,566

30,621

27,851

28,603

2,629

3,797

72,771

74,835

Total undrawn

14

33

364

419

12,130

11,292

380

504

316

202

13,203

12,449

Total net3

3,102

2,364

2,086

2,574

20,637

20,751

9,891

9,371

2,629

4,133

38,344

39,194

Total net exposure to the above selected Eurozone countries decreased by € 850 million in 2017 driven by decreased exposure in Ireland and Portugal, partly offset by an increase in Italy and Spain.