Annual report 2009 - Dexia.com

Notes to the consolidated fi nancial statementsManagement reportConsolidatedfinancial statementsb. Liabilities 31/12/09At sightand ondemandUp to3 monthsMorethan 3monthsto 1 yearMorethan 1 to5 yearsOver5 yearsUndeterminedmaturityAccruedinterestDue to banks 19,536 59,127 42,003 1,450 1,184 2 267 155 123,724Customer borrowings anddeposits 74,262 33,570 6,046 4,729 1,462 41 791 49 120,950Financial liabilities held fortrading 4 102 5 52 98 13 1 0 275Financial liabilities designatedat fair value 323 1,745 2,165 8,161 3,086 3,121 250 219 19,070Derivatives 10,081 48,283 58,364Fair value revaluationof portfolio hedge 1,939 1,939Debt securities 2,525 58,135 33,720 59,128 54,485 0 2,969 2,103 213,065Subordinated debts 418 855 377 855 1,281 138 98 89 4,111Technical provisionof insurance companies 13,408 13,408Provisions and otherobligations 1,581 1,581Tax liabilities 238 238Other liabilities 1,996 1,386 105 38 101 955 4 0 4,585Liabilities included in disposalgroups held for sale 4,332 0 0 4,332TOTAL 99,064 154,920 84,421 74,413 61,697 23,829 14,461 52,837 565,642TotalAnnual financial statementsAdditional informationc. Net position 31/12/09At sight andon demandUp to3 months12.5. Market risk & BSMMarket risk measures at Dexia as at year-end 2009 (1) :a) Treasury and Financial Market:• Trading-book risks: general interest rate, foreign exchange,equity, credit spread and other risks (inflation, CO 2), whichare managed within Value at Risk limits;• Cash and Liquidity Management (CLM) – only banking –followed by means of Value at Risk (VaR) and interest-ratesensitivity limits;• Bond portfolio spread risk – managed through credit-spreadsensitivities.b) Balance-Sheet Management (BSM):• Interest-rate risk is followed within sensitivity limits andindicative Value at Risk (VaR) for BSM and for the Dexia FPactivities;• Credit spread risk is followed through spread sensitivities;• Equity exposure is followed within Value at Risk (VaR)limits.More than3 months to1 yearMore than1 to 5 yearsOver 5 yearsFair valueadjustmentUndeterminedmaturityOn-balance-sheet sensitivity gap (65,863) (32,572) (7,429) 951 132,362 (3,893)Balance-sheet sensitivity gap is hedged through derivatives.A. TREASURY AND FINANCIAL MARKETACTIVITIESTreasury and Financial Markets (TFM) activities of Dexia areoriented as a support function for the Group.TFM assumes trading activities as well as non-trading riskpositions that arise from cash and liquidity managementactivities.Following the reorientation of TFM activities, the Risk PolicyCommittee on 7 November 2008 decided to reduce VaR limitsof TFM.The global TFM limits have been reduced from EUR 178to EUR 130 million in 4Q 2008 and since 1Q 2009 fromEUR 130 to EUR 100 million.TFM also manages the Bond Portfolio securities on bankingbooks which have been largely put in run-off.(1) The measures as at 31 December 2008 are disclosed in Dexia’s AnnualReport 2008.202Dexia Annual report 2009