EDF / 2018 Reference document

6.

FINANCIAL STATEMENTS Other information

35.2

IMPACTS OF FINANCIAL INSTRUMENT TRANSACTIONS ON NET INCOME

2018

2017

(in millions of euros)

Instruments not classified as hedges Interest rate instruments (1)

114 156

104

Forex instruments

(202)

Instruments classified as hedges Interest rate instruments

647 172

600 442

Forex instruments

Including interest on swaps. (1)

35.3 The fair value of currency and interest rate swaps was calculated by discounting future cash flows using year-end market exchange and interest rates, over the remaining term of the contracts (market value includes accrued interest).

FAIR VALUE OF DERIVATIVE FINANCIAL INSTRUMENTS

The book value of off-balance sheet derivatives includes accrued interest, equalisation payments and premiums paid or received, plus translation adjustments, which are already booked in EDF’s accounts. The difference between book value and market value is the unrealised gain or loss.

The fair value of derivative financial instruments reported off-balance sheet at 31 December 2018 as calculated by EDF is as follows:

Book value Fair value

(in millions of euros)

Interest rate hedges Interest rate swaps ■

145

1,452

Exchange rate hedges Forward exchange transactions and currency swaps ■

(77)

(93)

Cross-currency swaps ■ Equity risk hedges Options on shares ■ Commodity hedges Coal ■

1

(1,040)

20

20

- -

19 42

Oil products ■

89

400

TOTAL

482

EDF I Reference Document 2018