Annual report 2010 - Dexia.com

Notes to the consolidated financial statementsManagement report2010Interest rate (2) (3) Equity (4) Credit spread (5)1Q 2Q 3Q 4Q 1Q 2Q 3Q 4Q 1Q 2Q 3Q 4QBanking companies Sensitivity (83) (116) 29 (148) (16) (13) (14) (13)BSM (1) VaR 99% 10d 48 45 21 85 7 11 12 14Sensitivity 22 45 168 84 (12) (10) (11) (10)InsuranceMitigated VaR99% 10d 102 89 101 116(1) CLM excluded.(2) Sensitivities to 1% shift.(3) As at 31 December 2010 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 statementsFocus on BSM equity exposure –Listed shares sensitivityThe Equity Value at Risk (VaR) measures the potential changein market value, whereas the Equity Earnings at Risk (EaR)measures the impact in the accounting result if the VaRmaterializes.A. Banking companies(BSM portfolio)The Equity VaR calculated by Dexia is a measure of the potentialloss that can be experienced with a level of confidence of99% and for a holding period of 10 days.Market value VaR % VaR EaR AcquisitionValue31/12/09 (1) 503 16 9.0% 0 31631/03/10 89 7 8.0% 0 4530/06/10 59 11 18.5% 0 1730/09/10 58 12 21.5% 0 1731/12/10 (2) 64 14 21.5% 0 17(1) The market value includes EUR 336 million Assured Guaranty stake as at 31 December 2009 (not included in the VaR). The VaR limit for BSM Bankingportfolio amounted to EUR 70 million as at 31 December 2009 (the limit excludes Assured Guaranty stake).(2) The VaR limit for BSM Banking portfolio amounted to EUR 15 million as at 31 December 2010.B. Insurancecompaniesportfolio (1) (2) Market value VaR MitigatedVaR (3) % VaR EaR AcquisitionValue31/12/09 1,435 149 119 8.0% (52) 1,54131/03/10 1,388 96 102 6.9% (46) 1,46430/06/10 1,063 99 89 9.3% (85) 1,23230/09/10 1,180 111 101 9.4% (42) 1,26731/12/10 1,359 127 116 9.3% (32) 1,392(1) The VaR limit for BSM Insurance portfolio amounted to EUR 150 million as at 31 December 2010. The limit is applied to the mitigatedVaR as the gross VaR captures additionally the risk which is not borne by Dexia (the risk which is supported by the policy holders).The equity VaR limit for the insurance unit remained unchanged versus end-of-year 2009.(2) The VaR limit of EUR 150 million is composed of EUR 130 million for the insurance company (DIS) itself and EUR 30 million on pension funds, that areconsidered to be at full risk (defined benefit plans for Dexia employees).(3) Mitigated VaR takes into consideration the repartition of risks between the insurance policy holder and the insurer.228 Dexia Annual report 2010