Annual report 2010 - Dexia.com

Notes to the consolidated financial statements12.5. Market risk & BSMOverviewMarket Risks' measures:a) Treasury and Financial Market:• Trading book risks: general interest rate, foreign exchange,equity, credit spread and other risks (inflation, CO ²) whichare managed within Value at Risk limits and adequate risklimits;• Cash and Liquidity Management (CLM) – only banking –followed by means of Value at Risk (VaR) and interest-ratesensitivity limits;• Bond portfolio spread risk – managed through credit spreadsensitivities.A. Treasury and Financial MarketactivitiesTreasury and Financial Markets (TFM) activities of Dexia areoriented as a support function for the Group.TFM assumes trading activities as well as non-trading riskpositions that arise from cash and liquidity managementactivities.Following the reorientation of TFM activities, the Risk PolicyCommittee on 7 November 2008 decided to reduce VaRlimits of TFM.The global TFM limits have been reduced from EUR 178 toEUR 130 million in 4Q 2008 and since 1Q 2009 from EUR130 to EUR 100 million.TFM also manages the Bond Portfolio securities on bankingbooks which have been largely put in run-off.Management reportb) Balance-Sheet Management (BSM):• Interest-rate risk is followed within sensitivity limits andindicate Value at risk (VaR) for BSM and for the Dexia FPactivities;• Credit spread risk is followed through spread sensitivities;• Equity exposure is followed within Value at Risk (VaR)limits.Additional information Annual financial statementsConsolidatedfinancial statementsAnnual report 2010 Dexia225