Annual report 2010 - Dexia.com

Notes to the consolidated financial statementsThe “Fair Value Option“ (FVO), for financial liabilities is mainlyused in the following situations:1) by the insurance business for unit-linked contracts (branch23).2) by Dexia Financial Products Inc and FSA Global FundingLtd for liabilities where the hedge accounting requirementsare not met or there is a risk that they will not be met, theFVO is used as an alternative in order to reduce volatility inprofit or loss.The following types of liabilities are subject to the FVOclassification:a) Fixed rate liabilities that are highly customised fundingcontracts that are tailored to the specific needs ofthe investor (GIC activities). The own credit spread iscalculated based on benchmark spread;b) FSA Global Funding fixed rate liabilities.The credit spread used is the Long Term Funding spread usedby Dexia for its own funding.3) by companies issuing debt with embedded derivatives.Management report8.4. Debt securitiesA. Analysis by nature31/12/09 31/12/10Certificates of deposit 33,246 16,077Customer savings certificates 13,136 12,430Convertible debts (1) 2 1Non-convertible bonds 166,681 181,964Total 213,065 210,473(1) The list of convertible debts is available on request.Consolidatedfinancial statementsB. Analysis by maturity and interest rateSee notes 12.4., 12.5. and 12.6.C. Analysis of the fair valueSee note 12.1.Additional information Annual financial statementsAnnual report 2010 Dexia167