Annual report 2009 - Dexia.com

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Notes to the consolidated fi nancial statements9. Other notes on the consolidated balance sheet(in millions of EUR – some amounts may not add up due to roundings off)9.1. DerivativesManagement reportConsolidatedfinancial statementsAnnual financial statementsAdditional informationA. ANALYSIS BY NATURE31/12/08 31/12/09Assets Liabilities Assets LiabilitiesDerivatives held for trading 45,408 42,094 30,585 31,891Derivatives designated as fair value hedges 3,214 22,605 4,674 17,438Derivatives designated as cash flow hedges 1,332 2,508 811 1,285Derivatives of portfolio hedge 5,238 8,627 4,658 7,728Derivatives designated as hedge of a net investmentin foreign entities 21 0 0 22TOTAL 55,213 75,834 40,728 58,364B. DETAIL OF DERIVATIVES HELD FOR TRADING31/12/08 31/12/09Notional Amount Assets Liabilities Notional Amount Assets LiabilitiesTo receive To deliver To receive To deliverForeign exchangederivatives 83,489 83,366 3,409 2,215 82,149 82,641 1,331 1,530FX forward 33,276 33,557 813 764 40,518 40,484 555 461FX future 8 9 0 1 17 16 1 0Cross currency swap 34,910 34,997 1,835 1,270 28,555 28,988 750 1,029FX option 14,886 14,412 744 174 1,665 1,682 23 38FX forward rateagreement 0 0 0 0 19 20 0 0Other currency (FX) 409 391 17 6 11,375 11,451 2 2Interest-rate derivatives 917,943 928,812 35,263 35,586 789,390 821,490 26,958 28,378Options-Caps-Floors-Collars-Swaptions 33,027 40,618 546 798 55,414 88,517 788 999IRS 819,942 819,963 34,432 34,633 687,041 688,008 26,133 27,348FRA 61,042 64,006 185 150 36,092 33,787 35 28Forward 5 2 0 0 5 2 0 0Interest future 3,918 3,517 51 5 10,838 11,089 2 2Other interest-ratederivatives 9 706 49 0 0 87 0 1Equity derivatives 13,937 12,152 2,754 2,869 5,125 6,250 437 455Equity forward 8 30 14 0 8 33 17 6Equity future 15 10 1 1 34 7 0 0Equity option 6,294 6,920 390 474 1,853 2,750 221 231Warrant 0 0 0 0 54 107 2 5Other equity 7,620 5,192 2,349 2,394 3,176 3,353 197 213Credit derivatives 28,367 19,316 3,976 1,416 22,414 20,373 1,856 1,524Credit default swap 28,367 19,316 3,976 1,416 18,741 16,700 1,803 1,319Total return swap 0 0 0 0 3,673 3,673 53 205Commodity derivatives 62 46 6 8 35 22 3 4TOTAL 1,043,798 1,043,692 45,408 42,094 899,113 930,776 30,585 31,891158Dexia Annual report 2009
Notes to the consolidated fi nancial statementsC. DETAIL OF DERIVATIVES DESIGNATED AS FAIR VALUE HEDGES31/12/08 31/12/09Notional Amount Assets Liabilities Notional Amount Assets LiabilitiesTo receive To deliver To receive To deliverForeign exchangederivatives 45,383 47,596 1,030 4,096 32,341 34,008 1,104 3,020Cross currency swap 43,383 45,580 1,018 4,066 26,328 27,795 1,077 2,498FX option 2,000 2,016 12 30 0 0 0 0FX forward rateagreement 0 0 0 0 6,013 6,213 27 522Interest-rate derivatives 201,291 200,874 1,897 18,055 186,781 186,573 3,157 14,209Option-Cap-Floor-Collar-Swaption 731 455 48 9 498 400 4 9IRS 192,111 191,970 1,849 18,046 186,283 186,173 3,153 14,200Interest future 8,449 8,449 0 0 0 0 0 0Equity derivatives 10,669 11,442 272 450 9,387 10,005 395 207Equity option 0 879 0 26 91 792 48 26Other equity 10,669 10,563 272 424 9,296 9,213 347 181Credit derivatives 45 48 0 3 17 20 0 2Credit default swap 45 48 0 3 17 20 0 2Commodity derivatives 71 71 15 1 62 62 18 0TOTAL 257,459 260,031 3,214 22,605 228,588 230,668 4,674 17,438D. DETAIL OF DERIVATIVES DESIGNATED AS CASH FLOW HEDGES31/12/08 31/12/09Notional AmountNotional AmountAssets LiabilitiesTo receive To deliver To receive To deliverAssets LiabilitiesForeign exchange derivatives 3,170 2,824 548 315 2,909 2,371 241 316FX forward 823 896 2 1 149 146 0 0Cross currency swap 2,347 1,928 544 314 2,687 2,140 239 316FX forward rate agreement 0 0 0 0 73 85 0 0Other currency (FX) 0 0 2 0 0 0 2 0Interest-rate derivatives 126,146 126,050 784 2,193 50,424 46,924 570 969IRS 126,146 126,050 784 2,193 49,924 46,924 570 967FRA 0 0 0 0 500 0 0 2TOTAL 129,316 128,874 1,332 2,508 53,333 49,295 811 1,285E. DETAIL OF DERIVATIVES OF PORTFOLIO HEDGE31/12/08 31/12/09Notional Amount Assets Liabilities Notional Amount Assets LiabilitiesTo receive To deliver To receive To deliverForeign exchangederivatives 992 871 2 179 282 244 2 14Interest-rate derivatives 458,580 461,579 5,236 8,448 379,720 379,710 4,656 7,714TOTAL 459,572 462,450 5,238 8,627 380,002 379,954 4,658 7,728F. DETAIL OF DERIVATIVES DESIGNATED AS HEDGE OF A NET INVESTMENT IN FOREIGN ENTITIES31/12/08 31/12/09Notional Amount Assets Liabilities Notional Amount Assets LiabilitiesTo receive To deliver To receive To deliverForeign exchangederivatives 356 335 21 0 366 388 0 22Management reportConsolidatedfinancial statementsAnnual financial statementsAdditional informationAnnual report 2009 Dexia 159
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9Annual report 2009
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9Annual report 2009Management repor
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9Management report
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Group profi leSIMPLIFIED GROUP STRU
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Group profi leQUALITY OF RISKS Dexi
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In accordance with the agreement wi
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2009 and early 2010 highlightsExit
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2009 and early 2010 highlightsCreat
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Corporate governanceIntroduction: t
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Corporate governanceThe European Ad
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Corporate governanceNAMEPIERREMARIA
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Corporate governanceNAMEROBERTDE ME
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Corporate governanceNAMESPECIALISTC
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Corporate governanceNAMEKOEN VAN LO
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Corporate governanceNew directors a
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Corporate governanceConsidering tho
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Corporate governancemade and the fi
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Corporate governanceDIRECTORS’ AN
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Corporate governanceOperation and a
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Corporate governanceThe Appointment
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Corporate governanceResponsibilitie
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Corporate governanceVariable compen
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Corporate governancetional entities
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Corporate governance• It identifi
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Shareholder informationStock market
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Shareholder informationPRINCIPAL DE
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Human resourcesAGE PYRAMID> 5955-59
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Sustainable developmentThe 2009 Dex
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Risk managementIntroductionIn 2009,
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Risk managementThe Rating Committee
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Risk managementAsset qualityBy the
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Risk managementBond portfolioDexia
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Risk managementThis good performanc
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Risk managementRisk and control sel
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Risk managementECONOMIC CAPITALBY T
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Financial resultsPreliminary notes
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Financial resultsSolvency31/12/08 3
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Financial resultsAssetsLoans and ad
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Activity and results of the busines
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General information3. Overview of t
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General informationAll the above-me
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General information4.5. Dexia banka
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General information6.3. Notificatio
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Consolidated balance sheet ........
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Consolidated balance sheetManagemen
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Consolidated statementof incomeMana
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Management reportConsolidatedfinanc
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Consolidated statementof comprehens
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Notes to the consolidated financial
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Notes to the consolidated fi nancia
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Notes to the consolidated fi nancia
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Statutory Auditor’s reportManagem
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9Annual financial statementsFINANCI
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SHAREHOLDERS’ EQUITY AND LIABILIT
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Notes to the annualfinancial statem
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Notes to the annual fi nancial stat
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Statutory Auditor’s report• Wit
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Additional informationGeneral dataN
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Additional informationDexia FP Hold
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Dexia’s annual report 2009 has be
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Annual report 2009 - Dexia.com

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