EDF / 2019 Universal registration document

6. Financial statements

Notes to the consolidated financial statements

44.4.1

Interest rate hedging derivatives

Interest rate hedging derivatives break down as follows:

Notional at 31/12/2018

Notional at 31/12/2019

Fair value

Total

31/12/2019

< 1 year

1-5 years

> 5 years

Total

31/12/2018

(in millions of euros)

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

39

1,377 4,399

1,317

2,733

1,168

(51)

(75)

1,905

17,329

23,633

23,143

3,143

1,619

Floating rate/floating rate

-

800

1,647 7,695

2,447 9,901

3,031

60

56

Fixed rate/fixed rate Interest rate swaps

912

1,294 7,870

14,053 41,395

(213) 2,939

(50)

2,856

27,988

38,714

1,550

INTEREST RATE HEDGING DERIVATIVES

2,856

7,870

27,988

38,714

41,395

2,939

1,550

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 (see note 44.4.2).

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

44.4.2

Exchange rate hedging derivatives

Exchange rate hedging derivatives break down as follows: At 31 December 2019

Fair value

Notional amount to be received at 31/12/2019 Notional amount to be given at 31/12/2019

Total

Total 31/12/2019

< 1 year 1-5 years > 5 years

< 1 year 1-5 years > 5 years

(in millions of euros)

Forward exchange transactions

1,843

1,357

-

3,200

1,838

1,526

-

3,364

3

Swaps

19,619

6,566 17,367 43,552 19,006

6,268 16,892 42,166

874

EXCHANGE RATE HEDGING DERIVATIVES

21,462

7,923 17,367 46,752 20,844

7,794 16,892 45,530

877

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 exchange transactions

1,550

393

-

1,943

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

The notional value of cross-currency swaps shown in this note is also included in the note on interest rate hedging derivatives (see note 44.4.1).

44.4.3

Commodity-related cash flow hedges

For commodities, changes in fair value are mainly explained by:

31/12/2019

31/12/2018

(in millions of euros)

Electricity hedging contracts

510 763 (56)

(629) (231) (107) (446)

Gas hedging contracts Coal hedging contracts

Oil product hedging contracts

51

CO 2 emission rights hedging contracts CHANGES IN FAIR VALUE BEFORE TAXES

214

370

1,482

(1,043)

373

EDF | Universal registration document 2019