Annual report 2010 - Dexia.com

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