EDF / 2020 Universal Registration Document

6 FINANCIAL STATEMENTS Notes to the financial statements

30.3

Fund assets

Fund assets, managed under an asset/liability model, amount to €13,203 million at 31 December 2020 (€12,314 million at 31 December 2019) and concern the coverage of retirement gratuities and the specific benefits of the special pension system.

The value of fund assets increased during the year, mainly as a result of favourable changes on the bond markets.

Investments under the contracts concerned break down as follows:

31/12/2020

31/12/2019

(in millions of euros)

TOTAL FUND ASSETS

13,203 12,656

12,314 11,764

Assets funding special pension benefits

(%):

Equities

33% 67%

31% 69%

Bonds and monetary instruments

Assets funding retirement gratuities

532

534

(%):

Equities

37% 63%

34% 66%

Bonds and monetary instruments Assets funding other benefits

15

16

30.4

Actuarial assumptions

In France, the discount rate used for employee benefit obligations is determined by applying the yield rate on high-quality corporate bonds of appropriate duration to maturities corresponding to the future disbursements resulting from these obligations. For longer durations, the calculation also takes into consideration data from a wider selection of corporate bonds adjusted for comparability with the high-quality bonds, given the smaller panel of bonds with these durations since 2017. The decrease in the discount rate essentially relates to the decrease in risk-free rates observed over 2020. Changes in the economic and market parameters used have led EDF to set the discount rate at 0.90% at 31 December 2020 (1.30% at 31 December 2019). The inflation assumption is based on an inflation curve constructed from economic forecasts and inflation-indexed market products. As a result of changes in the economic and market parameters, the assumed average inflation rate used as the EDF group’s benchmark for Euro zone countries is 1.2% at 31 December 2020 (1.3% at 31 December 2019). The obligations are based on wage increase assumptions that are differentiated by age group and employee category, with an average annual rise of 2.3% including inflation for a projected full career. The wage law used to calculate obligations refers to wage increases observed over the period 2015-2018 (adjusted for non-recurring effects). The mortality table used to calculate obligations is based on the INSEE 2013-2070 generation table (produced by the French statistics office), corrected for differences in mortality between the general French population and the population covered by the IEG regime.

The main actuarial assumptions used for provisions for post-employment benefits and long-term employee benefits under the IEG system are summarised below: the discount rate is 0.90% at 31 December 2020 (1.30% at 31 December 2019); the inflation rate is estimated at 1.20% at 31 December 2020 (1.30% at 31 December 2019); the average residual period of employment is 19.4 years; the staff turnover rate is considered non-significant; the tarif agent (special energy price for EDF employees) includes changes in taxes based on that tariff; the expected return on fund assets covering past specific benefits under the special pension system is 1.77% for 2020 (2.55% for 2019); the expected return on fund assets covering retirement gratuities is 1.40% for 2020 (2.21% for 2019).

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EDF - UNIVERSAL REGISTRATION DOCUMENT 2020