Annual report 2009 - Dexia.com

Risk managementECONOMIC CAPITALBY TYPE OF RISKAS AT 31 DECEMBER 2009OperationalriskMarketriskGroupCenter34%52%17%7%22%49%19%CreditriskECONOMIC CAPITAL BY BUSINESS LINEAS AT 31 DECEMBER 2009Public andWholesaleBankingRetail andCommercialBankingAssetManagementand ServicesThe Group Center business line is the first consumer of economiccapital; it includes mainly the treasury activities and thebond portfolios in run-off (public bonds and Financial Productsportfolios, previously included in Public and WholesaleBanking; credit-spread portfolios and some trading portfoliospreviously included in the Treasury and Financial Marketsbusiness line). Public and Wholesale Banking consequentlybecomes the second consumer of economic capital, closelyfollowed by Retail and Commercial Banking.Available financial resources significantly exceed the totaleconomic capital required by the business lines to face unexpectedlosses of extreme severity.Economic capital adequacyCreated in 2009, the Economic Performance Analysis Committee(EPAC) manages the capital adequacy process and inthis context has to propose solutions suited to Dexia strategy.On a quarterly basis, the EPAC examines (regulatory and economic)ratios, limits and triggers defined in the risk appetitepolicy and the budget framework, and possible divergencesin relation to forecasts. It assesses the Group’s capacity toabsorb them and studies action proposals. The information inthe EPAC report is established jointly by Risk and Finance. TheManagement Board has knowledge of it.Regulatory capital adequacyWeighted risksFrom 1 January 2008 onwards, Dexia has been using theBasel II framework to calculate its capital requirements forcredit risks and to publish its solvency ratios. More informationis available in the section of this chapter entitled “TheBasel II framework”.At year-end, Dexia’s total weighted risks amounted to EUR143.2 billion as compared to EUR 152.8 billion at the endof 2008. This EUR 9.7 billion reduction is mainly due to thedecrease of weighted credit risks within the context of theDexia transformation plan and more particularly the deleveragingefforts and reduction of the Group’s risk profile (combinedwith the depreciation of the US dollar against theeuro).Management reportConsolidatedfinancial statementsAnnual financial statements(in millions of EUR, except where indicated) 31/12/08 31/03/09 30/06/09 30/09/09 31/12/09Weighted credit risks 139,495 139,231 135,381 132,069 129,758Weighted market risks 3,073 3,814 2,980 2,503 2,993Weighted operational risks 10,269 10,269 10,269 10,269 10,419TOTAL 152,837 153,314 148,630 144,841 143,170Additional informationAnnual report 2009 Dexia 67