EDF / 2020 Universal Registration Document

6 FINANCIAL STATEMENTS

Notes to the consolidated financial statements

At 31 December 2019

Level 1 Unadjusted quoted prices

Level 2 Observable data

Level 3 Non-observable data

Balance sheet value

Fair value

(in millions of euros)

Equity securities Debt securities

1,603

1,603

15

1,002

586

44,554

44,554

3,718

40,798

38 13

Hedging derivatives Trading derivatives Cash equivalents

5,759 6,813

5,759 6,813

15 53

5,731 6,244

516

236

236

156

80

-

FINANCIAL ASSETS CARRIED AT FAIR VALUE

58,965 58,965

3,957

53,855 13,303

1,153

Receivables from the NLF

13,303

13,303

- - - -

- - - - -

CSPE receivable

684

688

688

Other loans and financial receivables

2,904

2,904

2,904

FINANCIAL ASSETS CARRIED AT AMORTISED COST

16,891 16,895

16,895 1,825 5,914 7,739 75,407 75,407

Hedging derivatives Trading derivatives

1,830 6,327 8,157 67,380

1,830 6,327 8,157 75,407

5

38 43

375 375

FINANCIAL LIABILITIES CARRIED AT FAIR VALUE

Loans and other financial liabilities

- -

- -

FINANCIAL LIABILITIES CARRIED AT AMORTISED COST

67,380 75,407

Level 3 debt and equity securities are principally non-consolidated investments carried at historical value.

18.6

Market and counterparty risks

The Group is exposed to equity risks, particularly through its dedicated asset portfolio held for secure financing of long-term nuclear commitments, through external pension funds, and to a lesser extent through its cash assets and directly-held investments. Energy market risks With the opening of the final customer market, development of the wholesale markets and international business expansion, the EDF group operates on deregulated energy markets, mainly in Europe, through its generation and supply activities. This exposes the Group to price variations on the wholesale markets for energy (electricity, gas, coal, oil products) and the CO 2 emissions quota market, with a potentially significant impact on the financial statements. Counterparty risks Counterparty risk is defined as the total loss that the EDF group would sustain on its business and market transactions if a counterparty defaulted and failed to perform its contractual obligations. Regarding the customer risk, which is another component of the counterparty risk, a statement of receivables not yet due and overdue is shown in note 13.3.1.

As an operator in the energy sector worldwide, the EDF group is exposed to financial market risks, energy market risks and counterparty risks. All these risks could generate volatility in the financial statements. A more detailed description of these risks and the sensitivity analyses required by IFRS 7 can be found in section 5.1.6 “Management and control of market risks” of Universal Registration Document 2020. Financial market risks The main financial market risks to which the Group is exposed are the liquidity risk, the foreign exchange risk, the interest rate risk and the equity risk. The objective of the Group’s liquidity risk management is to seek resources at optimum cost and ensure their constant accessibility. The foreign exchange risk relates to the diversification of the Group’s businesses and geographical locations, and results from exposure to the risk of exchange rate fluctuations. These fluctuations can affect the Group’s translation differences, balance sheet items, financial expenses, equity and net income. The interest rate risk results from exposure to the risk of fluctuations in interest rates that can affect the value of assets invested by the Group, the value of the liabilities covered by provision, or its financial expenses.

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EDF - UNIVERSAL REGISTRATION DOCUMENT 2020