EDF / 2020 Universal Registration Document

6 FINANCIAL STATEMENTS

Notes to the consolidated financial statements

18.7.5

Impact of hedging derivatives on comprehensive income

Changes in the fair value of hedging derivatives included in equity (EDF share) and profit and loss are detailed below:

2020

2019

Gross changes in fair value recorded in equity (1)

Gross changes in fair value transferred to income – Recycling (2)

Gross changes in fair value transferred to income – Ineffectiveness

Gross changes in fair value transferred to income – Recycling (2)

Gross changes in fair value transferred to income – Ineffectiveness

Gross changes in fair value recorded in equity (1)

(in millions of euros)

Interest rate hedging Exchange rate hedging

(24)

-

-

(39)

(106) (156) (448)

3

(850)

51

13

(200) (416) 1,482

(17)

Net foreign investment hedging

661 644 431

-

-

-

Commodity hedging

430 481

(14)

719

3

HEDGING DERIVATIVES (3)

(1)

827

9

(11)

+/( ): increase/(decrease) in equity (EDF share). (1) +/( ): increase/(decrease) in net income (EDF share). (2) Excluding associates and joint ventures. (3)

The amount transferred to operating profit before depreciation and amortisation in 2020 is €430 million in respect of commodity hedges comprises: €818 million for electricity hedging contracts, mainly concerning the United ● Kingdom and the France – Generation and supply segments;

€(452) million for gas hedging contracts, concerning the France – Generation and ● supply segment; €64 million for other hedging contracts. ●

18.7.6

Offsetting of financial assets and liabilities

Accounting principles and methods A financial asset and financial liability must be netted if the entity currently has a legally enforceable right to do so and intends either to settle the net amount or to realise the asset and settle the liability simultaneously.

At 31 December 2020

Amounts covered by a general offsetting agreement but not offset under IAS 32

Balance with offsetting under IAS 32

Gross amount recognised (before offsetting)

Net amount recognised after offsetting under IAS 32

Gross amount offset under IAS 32

As reported in balance sheet

Balance without offsetting

Fair value of financial collateral

Financial instruments

Net amount

(in millions of euros)

Fair value of derivatives – assets Fair value of derivatives – liabilities

10,477

2,956

11,091

(3,570)

7,521

(1,672)

(2,797)

3,052

(7,917)

(2,927)

(8,560)

3,570

(4,990)

1,672

568

(2,750)

At 31 December 2019

Amounts covered by a general offsetting agreement but not offset under IAS 32

Balance with offsetting under IAS 32

Gross amount recognised (before offsetting)

Net amount recognised after offsetting under IAS 32

Gross amount offset under IAS 32

As reported in balance sheet

Balance Without offsetting

Fair value of financial collateral

Financial instruments

Net amount

(in millions of euros)

Fair value of derivatives – assets Fair value of derivatives – liabilities

12,572

3,752

13,300

(4,480)

8,820

(1,298)

(3,097)

4,425

(8,157)

(3,785)

(8,852)

4,480

(4,372)

1,298

531

(2,543)

406

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EDF - UNIVERSAL REGISTRATION DOCUMENT 2020