Deutsche Bank

Annual Report 2017

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, 2017

Dec 31, 2016

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. Direct Sovereign exposure is net of guarantees received and collateral.

2

The amounts reflect the net fair value in relation to credit default swaps referencing sovereign debt of the respective country representing the counterparty credit risk.

Greece

55

(17)

38

0

89

(6)

83

2

Ireland

709

9

717

0

569

0

569

74

Italy

2,834

(1,818)

1,016

49

2,662

(2,223)

438

398

Portugal

(227)

3

(223)

0

61

17

79

(8)

Spain

1,669

(115)

1,554

35

1,322

(127)

1,195

279

Total

5,040

(1,938)

3,102

84

4,703

(2,339)

2,364

744

The increase of € 738 million in net sovereign exposure compared with year-end 2016 mainly reflects increases in debt securities in Italy and Spain.

The above represents direct sovereign exposure included the carrying value of loans held at amortized cost to sovereigns, which as of December 31, 2017, amounted to € 225 million for Italy and € 427 million for Spain and as of December 31, 2016 amounted to € 261 million for Italy and € 401 million for Spain.