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20.4 Notes to the annual financial statements
FINANCIAL INFORMATION CONCERNING ASSETS,
FINANCIAL POSITION AND FINANCIAL PERFORMANCE
20
Interest rate instruments
(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 – EUR variable lender
USD variable borrower
389
-
-
-
-
389
-
-11
Interest rate swaps – EUR variable lender
EUR fixed borrower
250
-
-
-
100
50
100
-19
Interest rate swaps – EUR fixed lender
EUR variable borrower
250
-
-
-
100
50
100
19
Inflation rate swaps – USD variable lender
USD fixed borrower
76
-
-
-
76
-
-18
Inflation rate swaps – USD fixed lender
USD variable borrower
76
-
-
-
76
-
18
GRAND TOTAL
1,041
-
-
-
352
489
200
-11
Commodity risk
AREVA SA does not have significant exposure to commodities.
Equity risk
To manage its long-term investment positions, AREVA SA may elect to use puts
and calls backed by portfolio equities. No such transaction was pending at the
end of the year.
Counterparty risk
AREVA SA is exposed to the credit risk of counterparties linked to its use of financial
derivatives to cover its risks AREVA SA uses different types of financial instruments to
manage its exposure to foreign exchange and interest rate risks, and its exposure to
risks on commodities and publicly traded equities. AREVA SA primarily uses forward
buy/sell currency and commodity contracts and rate derivative products such as
swaps, futures or options to cover these types of risk. These transactions expose
AREVA SA to counterparty risk when the contracts are concluded over the counter.
Tominimize this risk, AREVA SA’s trading desk deals only with diversified, top quality
counterparties based on their ratings in the Standard & Poor’s and Moody’s rating
systems, with a minimum rating of Investment Grade. A legal framework agreement
is always signed with the counterparties.
The limits allowed for each counterparty are determined based on its rating and the
type andmaturity of the instruments traded. Assuming the rating of the counterparty
is not downgraded earlier, the limits are reviewed at least once a year and approved
by the Chief Financial Officer. The limits are verified in a specific report produced
by the internal control team of Treasury Operations. During periods of significant
financial instability that may involve an increased risk of bank default, which may
be underestimated by ratings agencies, AREVA SA monitors advanced indicators
such as the value of the credit default swaps (CDS) of the eligible counterparties
to determine if limits should be adjusted.
When conditions warrant (rising counterparty risk, longer term transactions,
etc.), market transactions are managed by margin calls that reduce AREVA SA’s
counterparty risk to a predetermined threshold: the Credit Support Annex for trades
documented under an ISDA master agreement, or the Collateral Annex for trades
documented under a French Banking Federation (FBF) master agreement.
Market value of financial instruments
Themarket value of financial instruments pertaining to currency, rate and commodity
transactions was calculated based onmarket data at the closing date, on discounted
future cash flows, or on prices provided by financial institutions. The use of different
market assumptions could have a significant impact on estimated market values.
Liquidity risk
The group’s liquidity in 2016 was ensured by draws, on January 4 and 5, 2016, on
available lines of credit in the amount of approximately 2 billion euros.
At December 31, 2016, AREVA SA’s short-termborrowings amounted to 815million
euros, consisting mainly of bilateral lines of credit maturing over the course of
2017. In addition, AREVA SA guarantees New AREVA Holding’s borrowings (bond
debt and financing of the Georges Besse II industrial asset in the total amount of
5.5 billion euros) until the execution of the New AREVA Holding capital increase
planned in 2017.
Beyond 2017, the last significant maturity of AREVA SA’s debt consists of the
redemption of the syndicated line of credit of 1.25 billion euros in January 2018.
As mentioned previously, on January 10, 2017, the European Commission
authorized rescue aid in the form of two advances from the shareholder current
account of the French State, one for AREVA SA in the amount of 2 billion euros and
the other for New AREVA Holding in the amount of 1.3 billion euros.
In addition, in early February 2017, AREVA SA secured and accepted a commitment
from its banking partners for “senior secured” interim financing of 300million euros,
expected to be signed in the near future and to have a maturity date of January 8,
2018. Draws on this financing will be conditioned on the French State’s subscription
to the AREVA SA and New AREVA Holding capital increases.
Furthermore, AREVA SA secured the necessary consent from the lenders of the
syndicated credit of 1.250 billion euros, to have a maturity date of January 16,
2018, to proceed with the New AREVA Holding capital increase and authorizing
de facto the loss of its control. In return for this consent, the lenders of that facility
receive better terms, including an additional security and early redemption clauses,
in particular as regards the income from the sale of AREVA NP.
2016 AREVA
REFERENCE DOCUMENT
293