Annual report 2010 - Dexia.com

Risk managementManagement reportConsolidatedfinancial statementsAdditional information Annual financial statementsFinancialinstitutions• In contrast, a faster recovery in the US economy by 18 monthscompared to the “base case” would decrease the expectedeconomic losses to USD 1.3 billion.Assuming the materialization of one of those scenarios,Dexia’s regulatory solvency ratio is immune from provisionsand losses on the Financial Products portfolio in line with theState guarantee mechanism (1) .Lastly, Dexia launched an active Central work-out process to optimizerecoveries on the US RMBS portfolio governments in 2011, with a dedicatedand experienced team 11.7%13.6% in New York, and filed lawsuits againstIndividuals,different stakeholders involved in the US RMBS market.SMEs andself-employed However,8.8%at this stage no potential positive impact of suchlitigation has been taken into account in the Group’s financialFinancialCentralProject financeinstitutions statements. 3.5%governments4.8% 11.7%ABS/MBS13.6%Individuals, Credit risk exposure (2) 46.2%2.1%SMEs Monolines andself-employed9.3%Corporate 8.8%The credit-risk exposure includes: PublicProject financesector• 3.5% the net carrying amount for balance-sheetentitiesassets other thanderivative 4.8% contracts (i.e. the accounting value after deductionABS/MBS46.2%Monolinesof specific 2.1% provisions);• the market 9.3% value for derivative contracts;Corporate • the fully committed amount for Public off-balance-sheet commitments:the full commitment is either sector the undrawn portion ofentitiesliquidity facilities or the maximum amount Dexia is committedto pay for the guarantees granted to third parties.When credit-risk exposure is guaranteed by a third party witha lower risk weight, the principle of substitution is applied.The credit-risk exposure includes fully consolidated subsidiariesof the Dexia Group and 50% of the joint venture RBC DexiaInvestor Services.Total Group credit risk exposure is EUR 547,617 million as at31 December 2010.Exposure by category of counterpartyas at 31 December 2010The mix of counterparties in Dexia’s portfolio is very stable.Half of the exposure is on the local public sector.FinancialinstitutionsIndividuals,SMEs andself-employedProject financeABS/MBSMonolinesCorporate8.8%3.5%4.8%2.1%13.6%9.3%11.7%Centralgovernments46.2%PublicsectorentitiesNote: the counterparties are the final counterparties, i.e.after taking into account the Basel II eligible guarantee(substitution principle). Monolines exposure is essentially anindirect exposure.Exposure by geographical region as at31 December 2010As at 31 December 2010, the Group’s exposure was mainlyconcentrated in the European Union (75.1%, EUR 411.3 billionat year-end 2010), particularly in France (18.2%) and Belgium(20.3%).Turkey 2.7% United States and Canada 13.7%Spain 6.3% Belgium 20.3%South andCentralAmerica 0.7%South-eastTurkey Asia 2.7% 0.5% United States and Canada 13.7% France 18.2%Spain Rest 6.3% ofEurope 2.0%Belgium 20.3%South andCentral Portugal 1.1%America Other 0.7% 3.6%South-eastAsiaOther EuropeanUnion0.5%countriesGermany France 18.2% 6.7%Rest9.4%ofEurope 2.0%Greece 1.0%Ireland 0.4%Portugal Luxembourg 1.1% 2.4% Japan 1.7%Italy 9.3%Other 3.6%Other EuropeanUnion countriesGermany 6.7%9.4% Exposure by rating Not class rated as at 31 December Greece 1.0% 2010As at 31 DLuxembourg AAAAT IONDecember 2010, about half of Ireland Dexia’s 0.4% exposure2.4% Japan 1.7%was rated AAA or AA. Only 10% Italy was 9.3% rated Non-InvestmentNIG13.7%Grade (NIG).AT IONNIGBBBABBBAD19.8%19.8%9.6%9.6%0.4%0.4%Not rated6.0%6.0%19.4%13.7%AAA31.1%31.1%AAAATurkey 19.4% 2.7% United States and Canada 13.7%Spain 6.3% Belgium 20.South andCentralAmerica 0.7%South-eastAsia 0.5%FranceRest ofEurope 2.0%Portugal 1.1%Other 3.6%Other EuropeanUnion countries9.4%Luxembourg 2.4%AT IONNIGGermany 6Greece 1.0%Ireland 0.4%Japan 1.7%Italy 9.3%DNot rated9.6%0.4%6.0%13.7%AAA(1) More information on the State guarantee is given in the note 9.4.C. to theconsolidated financial statements in this annual report (page 184).(2) More information is given in the note 12.2. “Credit risk exposure” to theconsolidated financial statements in this annual report (page 210).BBB19.8%31.1%AA82 Dexia Annual report 2010A19.4%