EDF / 2020 Universal Registration Document

6 FINANCIAL STATEMENTS Notes to the financial statements

35.2

Impacts of financial instrument transactions on net income

2020

2019

(in millions of euros)

Instruments not classified as hedges Interest rate instruments*

141

160 239

Forex instruments

(274)

Instruments classified as hedges Interest rate instruments

710

735 359

Forex instruments

(118)

Including interest on swaps. *

35.3 Fair value of derivative financial instruments

The fair value of currency and interest rate swaps was calculated by discounting future cash flows using year-end market exchange and interest rates, over the remaining term of the contracts (market value includes accrued interest).

The book value of off-balance sheet derivatives includes accrued interest, equalisation payments and premiums paid or received, plus translation adjustments, which are already booked in EDF’s accounts. The difference between book value and market value is the unrealised gain or loss.

The fair value of derivative financial instruments reported off-balance sheet at 31 December 2020 as calculated by EDF is as follows:

Book value

Fair value

(in millions of euros)

Interest rate hedges Interest rate swaps ●

157

2,720

Exchange rate hedges Forward exchange transactions and currency swaps ●

227

248

(1,032)

(1,668)

Cross-currency swaps ● Commodity hedges Coal ●

- -

(6)

Oil products ●

(13)

TOTAL

(648)

1,281

Other off-balance sheet commitments and operations Note 36

At 31 December 2020, off-balance sheet commitments related to operations, financing and investments (other than electricity supply commitments and partnership agreements) comprise the following:

Maturity

31/12/2020

< 1 year

1-5 years

5-10 years

> 10 years

31/12/2019

(in millions of euros)

Off-balance sheet commitments given

12,939

18,850 13,270

10,997 10,596

10,469

53,255 36,784 27,083

54,725 37,942 29,081

Operating commitments

6,593 3,262 3,331 2,815 3,531 2,743 1,248

6,325 6,172

9,824 3,446 3,325 2,255 9,472

7,825 2,771

Commitments related to fuel and energy purchases ●

153

9,701 6,626 9,845

8,861 7,640 9,143

Other operating commitments ● Investment commitments

387

99

Financing commitments

14

4,045

Off-balance sheet commitments received

458 458

657 257

13,330

13,053

Operating commitments Investment commitments Financing commitments

885

2,848

2,982

-

-

- -

-

-

-

1,495

8,587

400

10,482

10,071

477

EDF - UNIVERSAL REGISTRATION DOCUMENT 2020