Annual report 2010 - Dexia.com

Notes to the consolidated financial statementsC. Detail of derivatives designated as fair value hedgesD. Detail of derivatives designated as cash flow hedges31/12/09 31/12/10Notional amount Assets Liabilities Notional amount Assets LiabilitiesTo receive To deliver To receive To deliverForeign exchange derivatives 32,341 34,008 1,104 3,020 28,321 30,150 2,073 5,539Cross currency swap 26,328 27,795 1,077 2,498 28,321 30,150 2,073 5,539FX forward rate agreement 6,013 6,213 27 522 0 0 0 0Interest-rate derivatives 186,781 186,573 3,157 14,209 192,547 192,325 5,343 20,979Options-Caps-Floors-Collars-Swaptions 498 400 4 9 325 232 0 7IRS 186,283 186,173 3,153 14,200 192,222 192,093 5,343 20,972Equity derivatives 9,387 10,005 395 207 6,888 7,345 389 140Equity option 91 792 48 26 91 619 51 27Other equity derivatives 9,296 9,213 347 181 6,797 6,726 338 113Credit derivatives 17 20 0 2 0 0 0 0Credit default swap 17 20 0 2 0 0 0 0Commodity derivatives 62 62 18 0 20 20 0 0Total 228,588 230,668 4,674 17,438 227,776 229,840 7,805 26,65831/12/09 31/12/10Notional amount Assets Liabilities Notional amount Assets LiabilitiesTo receive To deliver To receive To deliverForeign exchange derivatives 2,909 2,371 241 316 2,043 2,075 125 359FX forward 149 146 0 0 670 670 0 0Cross currency swap 2,687 2,140 239 316 1,373 1,405 125 359FX forward rate agreement 73 85 0 0 0 0 0 0Other currency derivates (FX) 0 0 2 0 0 0 0 0Interest-rate derivatives 50,424 46,924 570 969 25,602 25,611 386 810IRS 49,924 46,924 570 967 25,602 25,611 386 810FRA 500 0 0 2 0 0 0 0Other interest-rate derivatives 1 0 0 0 0 0 0 0Total 53,333 49,295 811 1,285 27,645 27,686 511 1,169E. Detail of derivatives of portfolio hedge (1)31/12/09 31/12/10Notional amount Assets Liabilities Notional amount Assets LiabilitiesTo receive To deliver To receive To deliverForeign exchange derivatives 282 244 2 14 227 163 2 11Interest-rate derivatives 379,720 379,710 4,656 7,714 311,798 311,789 6,181 9,630Total 380,002 379,954 4,658 7,728 312,025 311,952 6,183 9,641(1) Used only in a fair value hedge strategy.F. Detail of derivatives designated as hedge of a net investment in foreign operations31/12/09 31/12/10Notional amount Assets Liabilities Notional amount Assets LiabilitiesTo receive To deliver To receive To deliverFX forward 366 388 0 22 469 468 1 1Management reportConsolidatedfinancial statementsAdditional information Annual financial statementsAnnual report 2010 Dexia175