EDF / 2020 Universal Registration Document

6 FINANCIAL STATEMENTS Notes to the financial statements

Other information Financial instruments Note 35

35.1

Off-balance sheet commitments related to currency and interest rate derivatives

EDF uses financial instruments to limit the impact of foreign exchange rate risks and interest rate risks.

31/12/2020

31/12/2019

To be received (notional)

To be given (notional)

To be received (notional)

To be given (notional)

(in millions of euros)

1 - Interest rate transactions Short-term interest rate swaps EUR Long-term interest rate swaps EUR

-

-

-

-

10,385

10,385

8,239 3,294 3,661

8,239 3,294 3,661

USD GBP

3,300 3,854

3,300 3,854

Sub-total

17,539

17,539

15,194

15,194

2 - Exchange rate transactions Forward transactions EUR

32,688

24,353

29,756

24,095

CAD USD GBP CHF

435

574

205

305

16,671

20,643

17,681

21,333

6,138

8,903

5,800

6,579 1,177

192 354 137 102 102 637 79

361 405 177 835 102 101 740

958 273 343

ILS

273 389 857

PLN JPY

96

CNY MXN

2

2

106 568

105 568

Other currencies

Long-term currency swaps BRL

-

-

-

19

EUR JPY USD GBP CHF

4,247 1,083

33,880

5,308 1,124

35,013

63

65

15,807 15,120

1,709 2,557

20,985 13,035

3,128 2,234

509

-

507

-

ILS

86 14 96

86 14

93 14

93 10

PLN

NOK MXN HKD

-

101

-

-

10

-

12

254

-

276

-

Sub-total

94,751

95,513

97,231

96,257

3 - Securitisation swaps

62

62

135

135

4- Operations on market securities

-

-

-

-

Purchases and sales of options TOTAL FINANCIAL OFF-BALANCE SHEET COMMITMENTS

112,352

113,114

112,560

111,586

5- Commodity swaps Coal (in millions of tonnes)

-

-

2

2

6,218

6,218

6,767

6,767

Oil products (in thousands of barrels)

The amounts shown in the above table are the nominal values of contracts, translated where necessary using 2020 year-end exchange rates (regardless of whether they are classified as hedges).

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EDF - UNIVERSAL REGISTRATION DOCUMENT 2020