Annual report 2009 - Dexia.com

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Notes to the consolidated fi nancial statementsb. Bond Portfolio exposure (banking book only – portfolio largely in run-off)Outstanding (in billions of EUR)2008 2009Total TFM credit-spread banking 181.2 165.5Management reportInterest-rate sensitivityThe interest-rate risk of the Bond portfolio is hedged & match funded on the coupon rolls, as its purpose is the creditspread; therefore it has a very limited sensitivity to change of interest rate.Credit-spread sensitivity (in millions of EUR)It estimates the sensitivity in fair value after a basis point spread increase, in millions of EUR. The table below shows thecredit-spread sensitivity of this TFM Bond Portfolio including as at 31 december 2009 the CLM and DMA bond activities.2008 2009Total TFM credit-spread banking (130) (116) (1)(1) 2009: of which EUR -16.1 million/bp of spread sensitivity arises from the Crediop Public Finance portfolio, which however is not in run-off.Consolidatedfinancial statementsB. BSM-INTEREST RATE, EQUITY & CREDIT-SPREAD RISKBSM falls under the direct decision and control authority of the ALCo Group and of the Funding and Liquidity Committee.The sensitivity measures the change in the balance-sheet net economic value if interest rates rise by 1% across the entire curve(in order to better capture the shape of the curve the 1% increase is composed of a 10bp shift multiplied by 10).For the sensitivity calculation, residual maturity of the portfolio until next refixing interest-rate date is defined using assumptionson the observed behaviour of the customers and not on legal repayment date (see note 12.4.).a. Banking and insurance companies, excluding Dexia Financial Products (Dexia FP)(in millions of EUR)Annual financial statementsAdditional information2008Interest rate (2) (3) Equity (4) (5) (6)Credit spread1Q 2Q 3Q 4Q 1Q 2Q 3Q 4Q 1Q 2Q 3Q 4QBanking Sensitivity (185) (282) (177) (197) (16) (15) (15) (16)BSM (1) VaR 99% 10d 68 125 111 161 94 96 76 66companiesInsuranceSensitivity 9 5 8 8 n.a. n.a. n.a. n.a.MitigatedVaR 99% 10d 118 127 12 137(1) ALM delegated (Assets and Liabilities Management delegated to TFM) and CLM excluded.(2) Sensitivities to 1% shift.(3) As at 31 December 2008, the interest-rate sensitivity limit for BSM amounted to EUR 486 million/%.(4) Equity risks are more detailed below.(5) Sensitivities to 1bp shift.(6) N.a. – not available.204Dexia Annual report 2009
Notes to the consolidated fi nancial statements2009Interest rate (2) (3) Equity (4) Credit spread (5)1Q 2Q 3Q 4Q 1Q 2Q 3Q 4Q 1Q 2Q 3Q 4QBanking Sensitivity (158) (201) (97) (104) (16) (15) (16) (16)BSM (1) VaR 99% 10d 169 170 195 173 53 45 37 16companiesInsurance Sensitivity (48) (53) (77) (99) (13) (12) (13) (13)MitigatedVaR 99% 10d 53 80 142 119(1) CLM excluded.(2) Sensitivities to 1% shift.(3) As at 31 December 2009, the interest-rate sensitivity limit for BSM amounted to EUR 400 million/%.(4) Equity risks are more detailed below.(5) Sensitivities to 1bp shift.Focus on BSM equity exposure – Listed sharessensitivityThe Equity Value at Risk (VaR) measures the potential changein market value, whereas the Equity Earnings at Risk (EaR)measures the impact in the accounting result if the VaRmaterialises.A. Banking companies (1)(BSM portfolio)The Equity VaR calculated by Dexia is a measure of the potentialloss that can be experienced with a level of confidence of99% and for a holding period of 10 days.Market value VaR % VaR EaR AcquisitionValue31/12/08 396 66 16.7% (69) 49331/03/09 318 53 17.0% (64) 47230/06/09 281 45 16.0% (29) 32330/09/09 (2) 516 37 17.0% (13) 37731/12/09 (2) (3) 503 16 9.0% 0 316(1)The management of the equities on the banking companies in run-off is delegated to TFM.(2) The market value includes EUR 292 million and EUR 336 million for Assured Guaranty stake respectively as at 30 September 2009 and 31 December 2009(not included in the VaR).(3) The VaR limit for BSM Banking portfolio amounted to EUR 70 million as at 31 December 2009 (the limit excludes Assured Guaranty stake). This equity VaRlimit for the banking unit was down from EUR 120 million at year end 2008.B. Insurance companiesportfolio (1) (2) Market value VaR MitigatedVaR (3) % VaR EaR AcquisitionValue31/12/08 1,601 225 137 14.1% (307) 2,40831/03/09 1,101 85 53 5.0% (286) 1,68930/06/09 947 97 80 8.0% (213) 1,30330/09/09 1,167 151 142 12.0% (144) 1,35331/12/09 1,435 149 119 8.0% (52) 1,541(1) The VaR limit for BSM Insurance portfolio amounted to EUR 160 million as at 31 December 2009. The limit is applied to the mitigated VaR as the gross VaRcaptures additionally the risk which is not borne by Dexia (the risk which is supported by the policy holders).The equity VaR limit for the insurance unit remained unchanged versus end-of-year 2008.(2) The VaR limit of EUR 160 million is composed of EUR 130 million for the insurance company (DIS) itself and EUR 30 million on pension funds, that areconsidered to be at full risk (defined benefit plans for Dexia employees).(3) Mitigated VaR takes into consideration the repartition of risks between the insurance policy holder and the insurer.b. Dexia FP’s interest-rate & credit-spreadsensitivityDexia’s FP Segment Investment Portfolio consists primarily ofUS dollar-denominated asset-backed securities, US agency andgovernment securities and mortgage-backed securities.They are part of the run-off portfolio.The assets and liabilities supporting the FP GIC business arehedged using interest-rate swaps or futures.Certain categories of assets and liabilities are economicallyhedged, without the use of derivatives.The Dexia FP portfolio amounted to EUR 10.9 billion as at31 December 2009.The interest-rate risk amounted to EUR -6.2 million/%(against a limit of EUR 42 million/%), while the spread sensitivitystood at EUR -4.4 million/bp.Management reportConsolidatedfinancial statementsAnnual financial statementsAdditional informationAnnual report 2009 Dexia 205
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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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Annual report 2009 - Dexia.com

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