EDF / 2018 Reference document

FINANCIAL STATEMENTS Financial assets and liabilities

NON-HEDGING DERIVATIVES NOTE 42

Details of the fair value of trading derivatives reported in the balance sheet are as follows:

Notes

31/12/2018

31/12/2017

(in millions of euros)

Positive fair value of trading derivatives Negative fair value of trading derivatives FAIR VALUE OF TRADING DERIVATIVES Interest rate derivatives held for trading Currency derivatives held for trading Non-hedging commodity derivatives

36.1 38.1

6,404

2,614

(7,160)

(2,787)

(756)

(173)

42.1 42.2 42.3

(60) (96)

(33)

73

(641)

(213)

Other contracts

41

-

42.1

INTEREST RATE DERIVATIVES HELD FOR TRADING

Interest rate derivatives held for trading break down as follows:

Notional at 31/12/2018

Notional at 31/12/2017

Fair value

< 1 year 1-5 years > 5 years

Total

Total 31/12/2018 31/12/2017

(in millions of euros) Purchases of options

- -

- -

516 516

516 516

519 519

7 7

15 15

6.

Interest rate operations

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

1,517

1,247

1,121

3,885

2,978

(64)

(42)

- -

122

- -

122

416 351 338

(4)

(8)

Floating rate/floating rate

5

5

-

1 1

Fixed rate/fixed rate Interest rate swaps

28

42

70

140

1

1,545

1,416

1,191

4,152

4,083

(67)

(48)

INTEREST RATE DERIVATIVES HELD FOR TRADING

1,545

1,416

1,707

4,668

4,602

(60)

(33)

42.2

CURRENCY DERIVATIVES HELD FOR TRADING

Currency derivatives held for trading break down as follows: AT 31 DECEMBER 2018:

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 year 1-5 years > 5 years

Total 31/12/2018

(in millions of euros) Forward transactions

3,223 2,017 11,885 6,570

4 5,244

3,215 1,989

5 5,209 69 18,739

2

Swaps

70 18,525 11,981 6,689

(98)

CURRENCY DERIVATIVES HELD FOR TRADING

15,108

8,587

74 23,769

15,196 8,678

74 23,948

(96)

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 < 1 year 1-5 years > 5 years

Total 31/12/2017

(in millions of euros) Forward transactions

2,438 1,079 11,986 4,823

8 3,525 2,443 1,089 74 16,883 11,960 4,764

9 3,541 73 16,797

(23)

Swaps

96

CURRENCY DERIVATIVES HELD FOR TRADING

14,424 5,902

82 20,408 14,403 5,853

82 20,338

73

411

EDF I Reference Document 2018