EDF_REGISTRATION_DOCUMENT_2017

6.

FINANCIAL STATEMENTS Financial assets and liabilities

DERIVATIVES AND HEDGE ACCOUNTING NOTE 41

Hedge accounting is applied in compliance with IAS 39, and concerns interest rate hedge net foreign investments and debts in foreign currencies, and currency and derivatives used to hedge long-term indebtedness, currency derivatives used to commodity derivatives used to hedge future cash flows.

The fair value of hedging derivatives reported in the balance sheet breaks down as follows:

Notes

31/12/2017

31/12/2016

(in millions of euros)

Positive fair value of hedging derivatives Negative fair value of hedging derivatives FAIR VALUE OF HEDGING DERIVATIVES Interest rate hedging derivatives Exchange rate hedging derivatives Commodity-related cash flow hedges Commodity-related fair value hedges

36.1 38.1

3,580

6,056

(2,874)

(2,885)

706

3,171 2,023 2,122 (995)

41.4.1 41.4.2 41.4.3

1,689 (606) (411)

41.5

34

21

An alternative breakdown of hedging derivatives is shown below:

Notes

31/12/2017

31/12/2016

(in millions of euros)

Fair value of derivatives hedging liabilities

38.3

1,176

3,965

Fair value of derivatives hedging net foreign investments Fair value of other hedging derivatives (commodities)

90

14

(560)

(808) 3,171

706

FAIR VALUE OF HEDGING DERIVATIVES

FAIR VALUE HEDGES 41.1 The EDF group hedges the exposure to changes in the fair value of fixed-rate debts. The derivatives used for this hedging are fixed/floating interest rate swaps and cross currency swaps, with changes in fair value recorded in the income statement. Fair value hedges also include currency hedging instruments on certain firm purchase commitments. In 2017, the ineffective portion of fair value hedges represents a gain of €37 million (loss of €(11) million in 2016), included in the financial result. 41.2 The EDF group uses cash flow hedging principally for the following purposes: to hedge its floating-rate debt, using interest-rate swaps (floating/fixed rate); ■ to hedge the exchange rate risk related to debts contracted in foreign currencies, ■ using cross currency swaps; to hedge future cash flows related to expected sales and purchases of electricity, ■ gas, and coal, using futures, forwards and swaps. The EDF group also hedges the currency risk associated with fuel and commodity purchases. The ineffective portion of cash flow hedges recorded in 2017 is nil (also nil in 2016). CASH FLOW HEDGES

41.3

HEDGES OF NET INVESTMENTS

IN FOREIGN ENTITIES

Hedging of net foreign investments is used for protection against exposure to the exchange rate risk related to net investments in the Group’s foreign entities. This risk is hedged at Group level either by contracting debts for investments in the same currency, or through the markets, in which case the Group uses currency swaps and forward exchange contracts.

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EDF I Reference Document 2017