EDF / 2018 Reference document

FINANCIAL STATEMENTS Financial assets and liabilities

41.4

IMPACT OF HEDGING DERIVATIVES ON EQUITY

Changes during the period in the fair value of hedging instruments included in equity (EDF share) are detailed below:

2018

2017

Gross changes in fair value transferred to income – Recycling (2)

Gross changes in fair value transferred to income – Ineffectiveness

Gross changes in fair value transferred to income – Recycling (2)

Gross changes in fair value transferred to income – Ineffectiveness

Gross changes in fair value recorded in equity (1)

Gross changes in fair value recorded in equity (1)

(in millions of euros) Interest rate hedging Exchange rate hedging

(73) 890 (85)

-

1

31

-

-

443

(5)

(1,588)

(1,331)

(3)

Net foreign investment hedging

-

-

518

(120)

-

Commodity hedging

(1,043)

(788) (345)

(9)

(613)

(1,714) (3,165)

5 2

(311)

(13)

(1,652)

HEDGING DERIVATIVES (3)

+/( ): increase/(decrease) in equity (EDF share). (1) +/( ): increase/(decrease) in net income (EDF share). (2) Excluding associates and joint ventures. (3)

41.4.1 Interest rate hedging derivatives break down as follows:

Interest rate hedging derivatives

6.

Notional at 31/12/2017

Notional at 31/12/2018

Fair value

< 1 year 1-5 years > 5 years

Total 1,168

Total 1,148

31/12/2018

31/12/2017

(in millions of euros)

Fixed rate payer/floating rate receiver Floating rate payer/fixed rate receiver

118

815

235

(75)

(75)

- -

5,634 17,509

23,143

22,740

1,619

1,928

Floating rate/floating rate

1,415

1,616 7,498

3,031

1,252

56

(9)

Fixed rate/fixed rate Interest rate swaps

4,901 1,654

14,053 41,395

10,062 35,202

(50)

(155) 1,689

5,019 9,518 26,858

1,550

INTEREST RATE HEDGING DERIVATIVES

5,019 9,518 26,858

41,395

35,202

1,550

1,689

The fair value of interest rate/exchange rate cross-currency swaps comprises the interest rate effect only. The notional value of cross-currency swaps is included both in this note and the note on Exchange rate hedging derivatives (41.4.2).

A large portion of the EDF group’s fixed-rate loans is swapped to variable rates.

41.4.2 Exchange rate hedging derivatives break down as follows: AT 31 DECEMBER 2018:

Exchange rate hedging derivatives

Notional amount to be received at 31/12/2018

Notional amount to be given at 31/12/2018

Fair value

< 1 year 1-5 years > 5 years

Total 1,943

< 1 year 1-5 years > 5 years

Total 31/12/2018

(in millions of euros)

Forward exchange transactions

1,550

393

-

1,540

387

-

1,927

17

Swaps

17,085

9,543 16,884 43,512

16,791

9,163 16,785 42,739

565

EXCHANGE RATE HEDGING DERIVATIVES

18,635

9,936 16,884 45,455

18,331

9,550

16,785 44,666

582

AT 31 DECEMBER 2017:

Notional amount to be received at 31/12/2017

Notional amount to be given at 31/12/2017

Fair value

< 1 year 1-5 years > 5 years

Total 2,996

< 1 year 1-5 years > 5 years

Total 31/12/2017

(in millions of euros)

Forward exchange transactions

2,478

518

-

2,475

514

-

2,989

-

Swaps

12,469 10,614 12,724 35,807

12,592 10,384 13,155 36,131

(606)

EXCHANGE RATE HEDGING DERIVATIVES

14,947

11,132 12,724 38,803

15,067

10,898

13,155 39,120

(606)

The notional value of cross-currency swaps shown in this note is also included in the note on interest rate hedging derivatives (note 41.4.1).

409

EDF I Reference Document 2018