EDF / 2019 Universal registration document

6. Financial statements

Notes to the consolidated financial statements

Non-hedging derivatives Note 45

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

31/12/2019

Notes

31/12/2018

(in millions of euros)

39.1 41.1

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

6,813

6,404

(6,327)

(7,160)

486 (22)

(756)

45.1 45.2 45.3

(60) (96)

(185)

693

(641)

Other contracts

-

41

45.1

Interest rate derivatives held for trading

Interest rate derivatives held for trading break down as follows:

Notional at 31/12/2018

Notional at 31/12/2019

Fair value

Total

31/12/2019

< 1 year

1-5 years

> 5 years

Total

31/12/2018

(in millions of euros)

Purchases of options

- -

- -

520 520

520 520

516 516

14 14

7 7

Interest rate operations

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

-

3,848

935

4,783

3,885

(33)

(64)

93

28 10 45

- -

121

122

(1)

(4)

1

11

5

-

-

Fixed rate/fixed rate Interest rate swaps

42

179

266

140

(2)

1

136

3,931

1,114

5,181

4,152

(36)

(67)

INTEREST RATE DERIVATIVES HELD FOR TRADING

136

3,931

1,634

5,701

4,668

(22)

(60)

45.2

Currency derivatives held for trading

Currency derivatives held for trading break down as follows:

At 31 December 2019

Notional amount to be received at 31/12/2019

Notional amount to be given at 31/12/2019

Fair value

Total

Total 31/12/2019

< 1 year

1-5 years > 5 years

< 1 year

1-5 years > 5 years

(in millions of euros)

Forward transactions

4,220

3,280 6,387

-

7,500

4,187

3,262 6,536

-

7,449

29

Swaps

14,203

198 20,788 14,328

198 21,062

(214)

CURRENCY DERIVATIVES HELD FOR TRADING

18,423

9,667

198 28,288 18,515

9,798

198 28,511

(185)

375

EDF | Universal registration document 2019