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20.2 Notes to the consolidated financial statements for the year ended December 31, 2016
FINANCIAL INFORMATION CONCERNING ASSETS,
FINANCIAL POSITION AND FINANCIAL PERFORMANCE
20
Continuing operations
At December 31, 2016, the following financial instruments were used to hedge interest rate exposure:
(in millions of euros)
Total
Notional amounts by maturity date at December 31, 2016
Market
value
2017 2018 2019 2020 2021 > 5 years
Interest rate swaps – variable lender – EUR
USD variable borrower
389
389
(11)
GRAND TOTAL
389
0
0
0
0
389
(11)
At December 31, 2016, the group used the following derivatives to hedge interest rate exposure:
Rate instruments
(in millions of euros)
Market value of contracts
(1)
Nominal amount
of contract
Cash flow
hedges (CFH)
Fair value
hedges (FVH)
Not formally
documented
(Trading)
Total
Interest rate swaps – variable lender – EUR
USD variable borrower
389
(11)
(11)
TOTAL
389
0
0
(11)
(11)
(1) Gain/(loss).
The following tables summarize the group’s net rate risk exposure, before and after rate management transactions, at the end of 2016 and 2015.
Maturities of the group’s financial assets and borrowings at December 31, 2016
(in millions of euros)
Less than
one year
1 year to
2 years
2 years to
3 years
3 years to
4 years
4 years to
5 years
More than
5 years
Total
Financial assets
799
0
0
0
0
0
799
including fixed rate assets
0
0
including floating rate assets
828
828
including non-interest-bearing assets
(30)
(30)
Borrowings
(831)
(1,251)
(0)
0
(99)
(0)
(2,182)
including fixed rate borrowings
(1)
(0)
(0)
(0)
(2)
including floating rate borrowings
(801)
(1,251)
(2,052)
including non-interest-bearing
borrowings
(29)
(99)
(128)
Net exposure before hedging
(32)
(1,251)
(0)
0
(99)
(0)
(1,383)
share exposed to fixed rates
(1)
(0)
(0)
0
0
(0)
(2)
share exposed to floating rates
27
(1,251)
0
0
0
0
(1,224)
non-interest-bearing share
(58)
0
0
0
(99)
0
(157)
Off-balance sheet hedging
on borrowings: fixed rate swaps
on borrowings: floating rate swaps
Net exposure after hedging
(32)
(1,251)
(0)
0
(99)
(0)
(1,383)
share exposed to fixed rates
(1)
(0)
(0)
0
0
(0)
(2)
share exposed to floating rates
27
(1,251)
0
0
0
0
(1,224)
non-interest-bearing share
(58)
0
0
0
(99)
0
(157)
2016 AREVA
REFERENCE DOCUMENT
251