EDF / 2020 Universal Registration Document

6 FINANCIAL STATEMENTS

Notes to the consolidated financial statements

18.7.1

Breakdown of hedging and trading derivatives

The fair value of hedging and trading derivatives reported in the balance sheet breaks down as follows:

31/12/2020

Notes

31/12/2019

(in millions of euros)

18.1.1 18.3.1

Positive fair value of hedging derivatives Negative fair value of hedging derivatives FAIR VALUE OF HEDGING DERIVATIVES Positive fair value of trading derivatives Negative fair value of trading derivatives FAIR VALUE OF TRADING DERIVATIVES

5,439

5,759

(2,792) 2,647

(1,830) 3,929

18.1.1 18.3.1

5,038

6,813

(5,125)

(6,327)

(87)

486

The fair value of hedging and trading derivatives by type of risk hedged is shown below:

31/12/2020

Notes

31/12/2019

(in millions of euros)

18.7.2 18.7.3 18.7.4 18.7.2 18.7.3 18.7.4

Hedging derivatives – interest rate risk Hedging derivatives – foreign exchange risk Hedging derivatives – commodity risks FAIR VALUE OF HEDGING DERIVATIVES Trading derivatives – interest rate risk Trading derivatives – foreign exchange risk Trading derivatives – commodity risk FAIR VALUE OF TRADING DERIVATIVES

3,149 (733)

2,939

877 113

231

2,647

3,929

(25)

(22)

4

(185)

(66)

693 486

(87)

The fair value of hedging derivatives by type and purpose of hedge is shown below:

31/12/2020

Notes

31/12/2019

(in millions of euros)

Fair value hedges of loans and liabilities Cash flow hedges of loans and liabilities

3,724

3,474

(1,738)

(87)

Sub-total

19.2

1,986

3,387

Fair value hedges of commodity contracts Cash flow hedges of commodity contracts

6

106 138 244 261

170 176 280 205

Sub-total

Net foreign investment hedges Fair value hedges of dedicated assets

37

FAIR VALUE OF HEDGING DERIVATIVES

2,647

3,929

403

EDF - UNIVERSAL REGISTRATION DOCUMENT 2020