Notes to the consolidated fi nancial statementsManagement <strong>report</strong>Consolidatedfinancial statementsB. CREDIT-RISK EXPOSURE BY CLASS OF FINANCIAL INSTRUMENTS31/12/08 31/12/09Financial assets available for sale (excluding variable in<strong>com</strong>e securities) 119,592 101,441Financial assets designated at fair value (excluding variable in<strong>com</strong>e securities) 594 490Financial assets held for trading (excluding variable in<strong>com</strong>e securities) 10,976 6,056Loans and advances (at amortised cost) 381,373 359,846Investments held to maturity 1,906 1,611Derivatives 11,488 8,111Other financial instruments 2,056 1,801Loan <strong>com</strong>mitments granted 81,672 68,624Guarantee <strong>com</strong>mitments granted 50,355 38,152TOTAL 660,011 586,131<strong>Dexia</strong> holds financial collateral and physical collateral.The bulk of the financial collateral is <strong>com</strong>posed of cash collaterals and term deposits, and to a lesser extent, of investmentgrade bonds (mainly AAA-AA sovereigns or banking issuers).Physical collateral is mainly <strong>com</strong>posed of mortgages on residential or small <strong>com</strong>mercial real estate and pledges on various otherassets (receivables, business goodwill).Only financial collateral eligible under Basel II and directly held by <strong>Dexia</strong> are considered.Collateral held mainly covers Loans and Advances and Off-balance-sheet <strong>com</strong>mitments.Additional information<strong>Annual</strong> financial statements192<strong>Dexia</strong> <strong>Annual</strong> <strong>report</strong> <strong>2009</strong>
Notes to the consolidated fi nancial statementsC. CREDIT QUALITY OF FINANCIAL ASSETS NEITHER PAST DUE NOR IMPAIREDAs <strong>Dexia</strong> rating methodology is not yet fully implemented in DenizBank’s organisation, and as few external ratings are availableon Turkish exposures, <strong>Dexia</strong> <strong>report</strong>s the credit quality in a separate column. However, the preservation of the internal scoringsof DenizBank and of the credit-risk monitoring systems allowed to keep a <strong>com</strong>plete view on Denizbank’s portfolio risks.31/12/08AAA toAA-A+ to BBB- NoninvestmentgradeUnrated DenizBank TotalFinancial assets available for sale(excluding variable in<strong>com</strong>e securities) 71,091 46,634 598 699 404 119,426Financial assets designated at fair value(excluding variable in<strong>com</strong>e securities) 138 323 22 111 0 594Financial assets held for trading(excluding variable in<strong>com</strong>e securities) 7,349 3,048 23 543 9 10,972Loans and advances (at amortised cost) 195,050 138,196 23,627 12,164 8,134 377,170Investments held to maturity 821 835 29 107 114 1,906Derivatives 5,546 3,866 962 799 21 11,194Other financial instruments 13 20 0 1,826 196 2,056Loan <strong>com</strong>mitments granted 51,851 22,351 4,023 2,915 458 81,599Guarantee <strong>com</strong>mitments granted 28,787 11,502 1,932 2,842 5,164 50,227TOTAL 360,647 226,776 31,216 22,005 14,499 655,14331/12/09AAA to AA- A+ to BBB- NoninvestmentgradeUnrated DenizBank TotalFinancial assets available for sale(excluding variable in<strong>com</strong>e securities) 45,857 46,327 5,220 585 1,035 99,023Financial assets designated at fair value(excluding variable in<strong>com</strong>e securities) 82 238 20 149 0 490Financial assets held for trading(excluding variable in<strong>com</strong>e securities) 2,862 2,518 208 403 50 6,040Loans and advances (at amortised cost) 176,716 132,982 31,579 8,316 9,038 358,633Investments held to maturity 563 677 1 0 370 1,611Derivatives 3,250 3,764 555 434 39 8,042Other financial instruments 98 47 21 1,614 15 1,795Loan <strong>com</strong>mitments granted 41,828 18,059 4,292 1,768 2,393 68,340Guarantee <strong>com</strong>mitments granted 18,557 13,927 2,264 873 2,428 38,051TOTAL 289,813 218,539 44,161 14,143 15,368 582,024Management <strong>report</strong>Consolidatedfinancial statements<strong>Annual</strong> financial statementsRatings indicated are either internal or external ones. Indeed,<strong>Dexia</strong> applies the AIRBA (Advanced Internal Ratings BasedApproach) for the calculation of capital requirements forcredit risk within the context of Pillar I of Basel II. Except forABS positions for which credit risk is calculated within theRatings based Approach, based on external ratings (Fitch,Standard & Poors or Moody’s) and, part of its portfolio,mostly DenizBank, for which credit-risk exposure is calculatedconforming the Basel II Standard method.Credit quality of DenizBank’s financial assetsIn <strong>2009</strong>, the management and monitoring of DenizBankcredit risks continued to be more integrated into <strong>Dexia</strong>’sglobal credit-risk management, particularly with the ongoingdevelopment of internal rating systems specific to Turkishcounterparties aimed at covering the main asset categoriesand an increased participation in the different <strong>com</strong>mittees atGroup level.The average credit quality of DenizBank’s financial assetsremains closely linked to the rating of the Turkish government(internal rating: BB- positive (foreign currency) / BB+positive (local currency)). In fact, a financial asset cannot havea higher rating than that of the State where it is issued.As the DenizBank portfolio is <strong>com</strong>posed of 90% of Turkishassets, the majority of the DenizBank financial assets are inthe “Non-Investment Grade” category.Additional information<strong>Annual</strong> <strong>report</strong> <strong>2009</strong> <strong>Dexia</strong> 193