EDF / 2020 Universal Registration Document

6 FINANCIAL STATEMENTS

Notes to the consolidated financial statements

At 31 December 2019

Notional amount to be received at 31/12/2019

Notional amount to be given at 31/12/2019

Fair value

< 1 year 1-5 years > 5 years

Total

< 1 year 1-5 years > 5 years

Total 31/12/2019

(in millions of euros)

3,200

3,364

Forward exchange transactions

1,843 1,357

-

1,838 1,526

-

3

43,552

42,166

Swaps

19,619 6,566 17,367

19,006 6,268 16,892

874

CURRENCY DERIVATIVES – HEDGING

21,462 7,923 17,367 46,752 20,844 7,794 16,892 45,530

877

7,500

7,449

Forward transactions

4,220 3,280 14,203 6,387

-

4,187 3,262 14,328 6,536

-

29

20,788

21,062

Swaps

198

198

(214)

CURRENCY DERIVATIVES – TRADING

18,423 9,667

198 28,288 18,515 9,798

198 28,511 (185)

The notional value of cross-currency swaps shown in this note is also included in the note on interest rate derivatives (see note 18.7.2).

18.7.4

Commodity derivatives

The Group is exposed 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.

The Group hedges its forecast sales and purchases of electricity, gas, and coal using futures, forwards, options and swaps, essentially through cash flow hedges.

Details of commodity derivatives used for hedging are as follows:

31/12/2020 Net notional

31/12/2019

Fair value

Net notional

Fair value

Units of measure

< 1 year 1-5 years > 5 years

Total

(in millions of euros)

Electricity

TWh

(9)

(15)

- - - - -

(25)

35

(49)

393

Gas

Millions of therms Thousands of barrels Thousands of tonnes Millions of tonnes

1,083 1,048 3,062 6,548 4,501 3,424

2,131 9,610 7,925

102

2,253 (398)

Oil products

18 13,637 76 26,666

2

44 72

CO 2 Coal

(1)

-

(1)

-

(416)

COMMODITY DERIVATIVES – HEDGING

8,636 11,005

- 19,640 231 42,091 113

Details of commodity derivatives used for trading are as follows:

31/12/2020

31/12/2019

Net notional

Fair value

Units of measure

Net notional

Fair value

(in millions of euros)

Electricity

TWh

(174)

(380)

(17)

824

Gas

Millions of therms Thousands of barrels Thousands of tonnes Millions of tonnes

(6,803) 24,301

310

(7,826) 14,290 (41,604)

76

Oil products

58

8

3,355

(55)

(128)

CO 2

Coal and freight Other commodities

1

(7)

2

(12) (75) 693

-

8

-

COMMODITY DERIVATIVES – TRADING

20,680

(66)

(35,155)

These instruments mainly include contracts included in EDF Trading’s portfolio.

405

EDF - UNIVERSAL REGISTRATION DOCUMENT 2020