Areva - Reference Document 2016

20

20.2 Notes to the consolidated financial statements for the year ended December 31, 2016 FINANCIAL INFORMATION CONCERNING ASSETS, FINANCIAL POSITION AND FINANCIAL PERFORMANCE

Lower scenario (10% decrease in the value of equity investments)

Securities recognized at fair value through profit or loss

December 31, 2016 (in millions of euros)

Available-for-sale securities

Balance sheet position Income statement impact

2,401

(2)

Impact on shareholders’ equity

(238)

COUNTERPARTY RISK The group is exposed to the credit risk of counterparties linked to its use of financial derivatives to cover its risks The group uses different types of financial instruments to manage its exposure to foreign exchange and interest rate risks, and its exposure to risks on commodities. The group 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 the group to counterparty risk when the contracts are concluded over the counter. To minimize this risk, the group’s cash management department 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 and maturity of the instruments traded. The allocation of limits is reviewed at least once a year and approved by the group’s Chief Financial Officer, unless the counterparty’s rating has been downgraded. The limits are verified in a specific report produced by the internal control team of the Treasury Management Department. During periods of significant financial instability that may involve an increased risk of bank default, which may be underestimated by ratings agencies, the group monitors advanced indicators as necessary, 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 the group’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.

Continuing operations

Balance sheet netting of the fair value of derivatives

December 31, 2016

Effect of clearing agreements

Gross carrying amount

Financial instruments

Fair value of financial collateral

(in millions of euros)

Net exposure

Assets

8

(8)

0

Shareholders’ equity and liabilities

(129) (121)

8 0

25 25

(96) (96)

TOTAL

Operations held for sale

Balance sheet netting of the fair value of derivatives

December 31, 2016

Effect of clearing agreements

Gross carrying amount

Financial instruments

Fair value of financial collateral

(in millions of euros)

Net exposure

Assets

81

(54)

27

Shareholders’ equity and liabilities

(258) (178)

54 (1)

0 0

(205) (178)

TOTAL

254

2016 AREVA REFERENCE DOCUMENT