Annual report 2009 - Dexia.com

Notes to the consolidated fi nancial statementsB. ANALYSIS BY MATURITY AND INTERESTRATESee notes 12.4, 12.5 and 12.6.C. ANALYSIS OF THE FAIR VALUESee note 12.1.The “Fair Value Option” (FVO), for financial liabilities is mainlyused in the following situations:1) by the insurance business where financial liabilities containa not-closely related embedded derivative whereby the returnis linked to the investment in a specified pool of insurer’sassets (Unit-linked contracts).In order to avoid volatility in its equity and results, Dexia hasdesignated the assets and liabilities of unit-linked contracts(branch 23) at fair value through the statement of income.2) by Dexia Financial Products Inc. and FSA Global FundingLtd for liabilities where the hedge accounting requirementsare not met or there is a risk that they will not be met, theFVO is used as an alternative in order to reduce volatility inprofit or loss.8.4. Debt securitiesThe following types of liabilities are subject to the FVOclassification:a) Fixed rate liabilities that are highly customised fundingcontracts that are tailored to the specific needs of theinvestor (GIC activities). The own credit spread is calculatedbased on benchmark spread;b) FSA Global Funding fixed rate liabilities.The credit spread used is the Long Term Funding spread usedby Dexia for its own funding.3) by companies issuing debt with embedded derivatives.The pricing tools used and the procedures followed to determinethe fair value for non-listed financial instruments classifiedunder the fair value option, are set up by Group RiskManagement.The pricing tool is a discounted cash flow model wherebythe net present value is determined by an interest rate basedon available market rates applicable for similar securities andtaking into account our own credit rating.A. ANALYSIS BY NATURE31/12/08 31/12/09Certificates of deposit 16,466 33,246Customer savings certificates 5,011 13,136Convertible debts 3 2Non-convertible bonds 166,640 166,681TOTAL 188,120 213,065The list of convertible debts is available on request.B. ANALYSIS BY MATURITY AND INTEREST RATESee notes 12.4., 12.5. and 12.6.C. ANALYSIS OF THE FAIR VALUESee note 12.1.Management reportConsolidatedfinancial statementsAnnual financial statementsAdditional informationAnnual report 2009 Dexia 151