EDF / 2019 Universal registration document

6. Financial statements Financial statements

35.2

Impacts of financial instrument transactions on net income

2019

2018

(in millions of euros)

Instruments not classified as hedges Interest rate instruments*

160 239

114 156

Forex instruments

Instruments classified as hedges Interest rate instruments

735 359

647 172

Forex instruments

*

Including interest on swaps.

35.3

Fair value of derivative financial instruments

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).

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 2019 as calculated by EDF is as follows:

Book value

Fair value

(in millions of euros)

Interest rate hedges Interest rate swaps ■

146

2,241

Exchange rate hedges Forward exchange transactions and currency swaps ■

(20)

38

Cross-currency swaps ■ Commodity hedges Coal ■

1,190

906

- -

39

Oil products ■

2

TOTAL

1,316

3,226

Other off-balance sheet commitments and operations Note 36

At 31 December 2019, off-balance sheet commitments related to operations, financing and investments (other than electricity supply commitments and partnership agreements) comprise the following:

Maturity

31/12/2019

< 1 year

1–5 years 5–10 years

> 10 years

31/12/2018

(in millions of euros)

Off-balance sheet commitments given

12,807

18,845 13,509 10,405

11,904 10,936

11,169

54,725 37,942 29,081

53,865 40,081 32,232

Operating commitments

6,008 3,034 2,974 3,049 3,750 2,238 1,234

7,489 7,290

Commitments related to fuel and energy purchases ■

8,352 2,584

Other operating commitments ■ Investment commitments

3,104 3,959 1,377 9,955

199 173

8,861 7,640 9,143

7,849 6,902 6,882

459 509 602 602

Financing commitments

3,507

Off-balance sheet commitments received

258 258

13,053

13,268

Operating commitments Investment commitments Financing commitments

888

2,982

2,941

-

-

- -

- -

-

31

1,004

9,067

10,071

10,296

447

EDF | Universal registration document 2019