Annual report 2010 - Dexia.com

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Notes to the consolidated financial statementsa. Trading book and CLMManagement reportDexia Group calculated:• an Interest-rate (IR) and Foreign Exchange (FX) VaR mainlybased on parametrical method (99% 10 days), complementedby a historical full valuation VaR to measure the FX derivativesand IR volatility risk;• an Equity VaR based on a full valuation historical method;• a historical credit-spread VaR based on sensitivities;• a historical VaR on inflation based on sensitivities and anhistorical Var in full revaluation on carbon (C0 2) risks.The detailed VaR usage of Dexia Group is disclosed in thetable below.However, the Bond Portfolio exposure on banking books isnot included in the table below as it is followed throughspread sensitivity and not in VaR- see further.Consolidatedfinancial statementsAdditional information Annual financial statementsValue at Risk – 99% 10 days (in millions of EUR)By riskfactorGlobal2009IR (1) &FX (2) (Trading and EQT (4) Trading Spread Trading Other risks (5)Banking) (3)1Q 2Q 3Q 4Q 1Q 2Q 3Q 4Q 1Q 2Q 3Q 4Q 1Q 2Q 3Q 4QAverage 58.9 24.0 17.2 20.3 6.3 5.6 4.2 2.4 43.4 43.4 42.0 28.6 4.9 4.4 4.6 4.4Max 86.5 32.3 23.1 26.3 7.6 9.7 8.6 4.5 59.2 51.2 47.3 37.7 7.8 5.3 5.1 4.7Average 78.4Maximum (6) 137.8End period 45.7Limit 1Q: 130 2Q, 3Q, 4Q: 100(1) IR: interest-rate.(2) FX: forex.(3) IR & FX: without BSM.(4) EQT: equities.(5) Other risks: inflation, commodities & CO 2.(6) Temporary limit overdraft in January due to high volatility of Bond Market Association (BMA) spread on Tender Option Bond (TOB).By riskfactorGlobal2010IR (1) &FX (2) (Trading and EQT (4) Trading Spread Trading Other risks (5)Banking) (3)1Q 2Q 3Q 4Q 1Q 2Q 3Q 4Q 1Q 2Q 3Q 4Q 1Q 2Q 3Q 4QAverage 14.7 16.5 19.2 16.0 1.8 2.0 2.6 2.0 24.3 23.9 23.4 18.2 3.3 3.6 3.4 3.7Max 19.8 28.0 23.3 19.5 2.9 3.8 4.7 4.3 29.2 30.0 29.5 23.6 3.9 5.8 3.8 5.3Average 44.6Maximum 55.5End period 39.1Limit 100(1) IR: interest-rate.(2) FX: forex.(3) IR & FX: without BSM.(4) EQT: equities.(5) Other risks: inflation, commodities & CO 2.The CLM and trading risks are also followed on sensitivity limits.As at 31 December 2009 the CLM sensitivity was of EUR -81 million against a limit of EUR 200 million/%. As at 31 December2010 the CLM sensitivity was of EUR -66 million.226 Dexia Annual report 2010
Notes to the consolidated financial statementsb. Dexia bond Portfolio exposure (banking book only – portfolio largely in run-off – excludingBSM and FP scope)Outstanding (in billions of EUR)The amounts also include PWB exposures (principally DKD and Crediop) which are not in run-off.Interest-rate sensitivity2009 2010165.5 138Management reportThe interest-rate risk of the Bond portfolio is hedged & match funded on the coupon rolls, as its purpose is the credit spread;therefore it has a very limited sensitivity to change of interest rate.Credit spread sensitivity (in millions of EUR)It estimates the sensitivity of the AFS reserve after a basis point spread increase.B. BSM interest rate, equity & credit-spreadriskBSM falls under the direct decision and control authority of theALCO Group and of the Funding and Liquidity Committee.The sensitivity measures the change in the balance-sheet net2009 2010(36) (35)economic value if interest rates rise by 1% across the entireinterest-rate curve.For the sensitivity calculation, residual maturity of theportfolio until next refixing interest-rate date is defined usingassumptions on the observed behaviour of the customersand not on legal repayment date (see note 12.4.).a. Banking and insurance companies, excluding Dexia Financial Products (Dexia FP)(in millions of EUR)2009Interest rate (2) (3) Equity (4) Credit spread (5)1Q 2Q 3Q 4Q 1Q 2Q 3Q 4Q 1Q 2Q 3Q 4QBanking companies Sensitivity (158) (201) (97) (104) (16) (15) (16) (16)BSM (1) VaR 99% 10d 169 170 195 173 53 45 37 16Sensitivity (48) (53) (77) (99) (11) (10) (12) (11)InsuranceMitigated VaR99% 10d 53 80 142 119(1) CLM excluded.(2) Sensitivities to 1% shift.(3) As at 31 December 2009 the interest-rate sensitivity limit for BSM amounted to EUR 400 million/%.(4) Equity risks are more detailed below.(5) Sensitivities to 1bp shift on AFS reserve.Consolidatedfinancial statementsAdditional information Annual financial statementsAnnual report 2010 Dexia227
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A n n u a lr e p o r t2 0 1 0
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4 Group profile8 Message from the c
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Group profileManagement reportConso
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Group profileRESULTS Dexia GAAP IFR
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Message from the ChairmenManagement
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2010 and early 2011 highlightsManag
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2010 and early 2011 highlightsDecem
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Update on the transformation planMa
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Update on the transformation planMa
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StrategyManagement reportConsolidat
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Human ResourcesMEMBERS OF STAFFGEND
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Financial resultsConsolidated state
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Financial resultsManagement reportC
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Liabilities Note 31/12/09 31/12/10(
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Annual report 2010 - Dexia.com

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