EDF / 2020 Universal Registration Document

6 FINANCIAL STATEMENTS

Notes to the consolidated financial statements

18.7.2

Interest rate derivatives

fixed/floating interest rate swaps and cross-currency swaps, with changes in fair value recorded in profit and loss symmetrically to changes in the value of the hedged debts. The Group also hedges its floating-rate debt against future changes in interest rates by using floating/fixed interest rate swaps for cash flow hedges.

The Group is exposed to the risk of fluctuations in interest rates that can affect the value of its loans and financial liabilities, its assets (liquid assets and dedicated assets), and its future financial expenses. The Group hedges its exposure to changes in the fair value of fixed-rate debts, many of which are converted to floating rates. The derivatives used for these hedges are

Details of interest rate derivatives used in a hedging relationship or designated as trading derivatives are shown below:

Notional at 31/12/2020

Notional at 31/12/2019

Fair Value

Total

31/12/2020

< 1 year

1-5 years

> 5 years

Total

31/12/2019

(in millions of euros)

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

111

1,301 4,612

4,511

5,923

2,733

(144) 4,143

(51)

1,400

14,666

20,678

23,633

3,143

Floating rate/floating rate

-

800 682

1,508 8,152

2,308 9,598

2,447 9,901

3

60

Fixed rate/fixed rate Interest rate swaps

764

(853) 3,149

(213) 2,939

2,275

7,395

28,837

38,507

38,714

INTEREST RATE DERIVATIVES – HEDGING

2,275

7,395

28,837

38,507

38,714

3,149

2,939

Interest rate operations

-

-

515 612

515

520

8

14

Interest rate swaps

1,379

1,954

3,945

5,181

(33)

(36)

INTEREST RATE DERIVATIVES – TRADING

1,379

1,954

1,127

4,460

5,701

(25)

(22)

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 currency derivatives (see note 18.7.3). Currency derivatives 18.7.3 The Group is exposed to the risk of exchange rate fluctuations due to the diversification of its businesses, supply contracts in foreign currencies for goods and services, and its geographical locations. These fluctuations can affect the Group’s translation differences recognised in equity, balance sheet items, financial expenses, equity and net income.

There are several types of hedged item: liabilities in foreign currencies, for which cross-currency swaps are used in cash ● flow hedge; financial assets subscribed in foreign currencies; ● purchases of commodities and fuels, for which the Group hedges the associated ● foreign exchange risk; net investments in subsidiaries in foreign currencies. ● Details of currency derivatives used in a hedging relationship or designated as trading derivatives are shown in the following tables. The notional value of cross-currency swaps is included both in this note and the note on interest rate hedging derivatives (see note 18.7.2).

At 31 December 2020

Notional amount to be received at 31/12/2020

Notional amount to be given at 31/12/2020

Fair value

Total

Total 31/12/2020

< 1 year 1-5 years > 5 years

< 1 year 1-5 years > 5 years

(in millions of euros)

Forward exchange transactions

1,480

91

-

1,571

1,473

91

-

1,564

(1)

Swaps

20,394

6,891 16,368 43,653 20,090

6,933 17,152 44,175

(745)

Options

355

-

-

355

326

-

-

326

13

CURRENCY DERIVATIVES – HEDGING

22,229 6,982 16,368 45,579 21,889 7,024 17,152 46,065

(733)

Forward transactions

3,389

6,490 5,180

-

9,879

3,380

6,491 5,162

-

9,871

4

Swaps

14,576

275 20,031 14,606

255 20,023

- -

Options

10

-

-

10

11

-

-

11

CURRENCY DERIVATIVES – TRADING

17,975 11,670

275 29,920 17,997 11,653

255 29,905

4

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EDF - UNIVERSAL REGISTRATION DOCUMENT 2020