Annual report 2006 - Dexia.com

12.5. LISTED SHARES SENSITIVITY
The Value at Risk (VaR) represents the potential change in
market value, whereas the Earnings at Risk (EaR) represents
the impact in the accounting result if the VaR materializes.
The VaR equity calculated by Dexia is a measure of the potential
loss that can be experienced with a level of confidence of 99
% and for a holding period of 10 days.
The EaR is lower than the VaR as most of listed shares have a
positive AFS reserve cushion. Impairment tests are performed
when the difference between the market value and the cost
is higher than 25% and/or when there is a lasting decline in
the fair value.
The -25% column represents the impairment that could be
recorded in accounting result if there is a decline in value
of 25%.
A. Banking companies (ALM portfolio) (1)
Market value VaR % VaR EaR -25%
March 31, 2005 1,128 61 5.4% (1) (8)
June 30, 2005 1,231 65 5.3% 0 0
September 30, 2005 1,332 69 5.2% (2) (6)
December 31, 2005 1,443 79 5.4% 0 (10)
March 31, 2006 1,671 91 5.4% (9) (17)
June 30, 2006 1,461 103 7.0% (17) (32)
September 30, 2006 1,453 106 7.3% (8) (12)
December 31, 2006 1,527 106 7.0% (2) (7)
(1) DenizBank not included.
B. Insurance companies portfolio
Market value VaR % VaR EaR -25%
March 31, 2005 1,249 52 4.2% 0 (36)
June 30, 2005 1,315 52 3.9% 0 (40)
September 30, 2005 1,511 56 3.7% 0 (35)
December 31, 2005 1,729 69 4.0% 0 (51)
March 31, 2006 1,815 81 4.5% (3) (47)
June 30, 2006 1,554 81 5.2% (2) (67)
September 30, 2006 1,679 94 5.6% (2) (34)
December 31, 2006 1,795 100 5.6% (1) (16)
RAPPORT DE GESTION
CONSOLIDATED
FINANCIAL STATEMENTS
COMPTES SOCIAUX
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