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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
At December 31, 2016, the group used the following derivatives to hedge NewCo’s 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
Fixed borrower – EUR
175
(6)
(6)
Interest rate swaps – variable lender – EUR
EUR variable borrower
75
(1)
(1)
CAD variable borrower
381
(1)
(1)
Interest rate swaps – fixed lender – EUR
EUR variable borrower
550
43
43
Interest rate swaps – JPY fixed lender
EUR variable borrower
65
0
0
Inflation rate swaps – variable lender – USD
USD fixed lender
166
(38)
(38)
TOTAL
1,411
43
(45)
(1)
(1) Gain / (loss).
RISK FROM EQUITY INVESTMENTS
Continuing operations
The group holds of publicly traded shares and is exposed to changes in the financial
markets. Those shares are subject to a risk of volatility inherent in the financial
markets.
They are presented in the investment portfolio earmarked for end-of-lifecycle
operations (see note 13).
The risk on shares held in the portfolio of assets earmarked for end-of-lifecycle
operations is an integral component of asset management, which uses shares to
increase long-term returns as part of its allocation between bonds and equities
(see note 13). Exposure to European equities is managed by various management
companies, either through amandate given to an investment firmor through several
dedicated mutual funds, with management guidelines limiting the tracking error.
Operations held for sale
The group holds of publicly traded shares in a significant amount and is exposed
to changes in the financial markets. Those traded shares are subject to a risk of
volatility inherent in the financial markets.
They are presented in the investment portfolio earmarked for end-of-lifecycle
operations (see note 13).
The risk on shares held in the portfolio of assets earmarked for end-of-lifecycle
operations is an integral component of asset management, which uses shares to
increase long-term returns as part of its allocation between bonds and equities
(see note 13). Exposure to European equities is managed by various management
companies, either through amandate given to an investment firmor through several
dedicated mutual funds, with management guidelines limiting the tracking error.
The sensitivity of the value of equity investments to variations in the equity markets is as follows:
Upper scenario (10% increase in the value of equity investments)
December 31, 2016
(in millions of euros)
Available-for-sale securities
Securities recognized at fair value
through profit or loss
Balance sheet position
2,401
Income statement impact
Impact on shareholders’ equity
240
2016 AREVA
REFERENCE DOCUMENT
253