Annual report 2009 - Dexia.com

Notes to the consolidated fi nancial statementsH. CREDIT-RISK INFORMATION FOR LOANS DESIGNATED AT FAIR VALUE THROUGH PROFITOR LOSS31/12/08Maximumexposureto credit risk(1)Maximumexposureto credit risk(1)Amount by which anyrelated credit derivativesmitigate the maximumexposure to creditrisk declared in (1)Amount of change in loans at fair value through profitand loss attributable to changesin the credit riskChange of the periodCumulative amount67 0 0 0Amount by which anyrelated credit derivativesmitigate the maximumexposure to credit riskdeclared in (1)31/12/09Amount of change in loans at fair value through profitand loss attributable to changesin the credit riskChange of the periodCumulative amountManagement report49 0 1 1No credit derivative is held to mitigate the maximum exposure to credit risk.Dexia estimates the fair value of the loans by calculating the amount of future contractual cash flows from the assets anddiscounting the payments to a present value at a discount rate that reflects the uncertainty associated with those payments.The change in credit spread is not significant and credit risk is not hedged.I. CREDIT-RISK INFORMATION ABOUT FINANCIAL LIABILITIES DESIGNATED AT FAIR VALUETHROUGH PROFIT OR LOSS31/12/08Carrying amountAmount of change in fair value attributableto changes in the credit risk of the liabilityDifference between carryingamount and contractualamount requiredto be paid at maturity (1)Change of the periodCumulative amount18,679 (474) (474) 215(1) This amount includes the premium/discount and the change in the market value.In 2008, FSA Inc. rating was downgraded and the liquidity cost continued to increase, leading to the recognition of an increaseof own credit risk of EUR 356 million, which is considered in total as change in the credit risk of the liability, due to the difficultyto split liquidity and credit risk.In addition, an amount representing own credit-risk variation on structured non-listed liabilities issued by Dexia Bank Belgiumand Dexia Banque Internationale à Luxembourg was recorded for EUR 118 million.(See also note 8.3. Financial liabilities measured at fair value through profit or loss – Financial liabilities designated at fair value).Carrying amount31/12/09Amount of change in fair value attributableto changes in the credit risk of the liabilityDifference between carryingamount and contractualamount requiredto be paid at maturity (1)Change of the periodCumulative amount19,070 161 (313) 170(1) This amount includes the premium/discount and the accumulated change in the market value.The change of the period results from the decrease of Dexia’s credit spread.Consolidatedfinancial statementsAnnual financial statementsAdditional informationAnnual report 2009 Dexia 197