Annual report 2006 - Dexia.com

RAPPORT DE GESTION
CONSOLIDATED
FINANCIAL STATEMENTS
12.4. INTEREST RATE SENSITIVITY RISK
No average interest rate by assets and by liabilities is
published as Dexia has developped a wide hedging policy
through ALM department. Our interest margin is therefore
the result of interests received and paid on business
transactions.
The Value at Risk (VaR) less the interests on hedging operations
is a more relevant risk indicator for Treasury and Financial
Markets activities and sensibility for ALM activities.
Treasury and Financial Markets activities
Treasury and Financial Markets activities of Dexia are mainly
oriented as a support function for the Group. The detailed
VaR usage of Dexia Group is in the table below. In 2006, the
average Value at Risk the Group has faced on its financial
markets activities has been limited to EUR 29.8 million.
(DenizBank not included).
Dexia Group calculated in 2006 an Interest Rate and FX
VaR mainly based on parametrical method (99% 10 days),
an Equity VaR based on historical method and since the
beginning of the last quarter of the year it started to
calculate an historical credit spread VaR but only on trading
desks.
In 2005, the average global VaR of TFM amounted to
EUR 26.9 million. This number did not include the spread
risk. Consequently, it has to be compared to the TFM IR, FX
& EQT VaR of 2006 which amounted to EUR 27.6 million.
2005 2006
IR (1) &FX (2) EQT (3) IR&FX EQT Spread Trading (4)
(Trading and banking) Trading (Trading Trading uniquement
and banking)
4 e trimestre
Individual Average 24.2 Average 2.8 Average 25.2 Average 2.3 Average 11.7
Maximum 34.5 Maximum 7.6 Maximum 43.7 Maximum 6.6 Maximum 16.0
Global Average 26.9 Average 29.8
Maximum 38.5 Maximum 58.9
Limit 75 Limit 142
(1) IR: interest rate
(2) FX: forex
(3) EQT: equities
(4) Calculation of VaR Spread started only at the last quarter of 2006.
COMPTES SOCIAUX
ALM sensitivity (1)
The basis point value (BPV) measures the change in the balance sheet net economic value if interest rates raise by 1 % across
the entire curve.
BPV (in millions of EUR) Dec. 31,2005 Dec. 31,2006
TOTAL (209) (494)
(1) Positions of insurance companies and pension funds are excluded.
For the sensitivity calculation, residual maturity of the portfolio until next refixing interest rate date is defined using assumptions
on the observed behaviour of our customers and not on legal repayment date (see note 12.3.).
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Dexia / Annual Report 2006