EDF_REGISTRATION_DOCUMENT_2017

FINANCIAL STATEMENTS Financial assets and liabilities

41.4

IMPACT OF HEDGING DERIVATIVES ON EQUITY

Changes during the period in the fair value of hedging instruments included in equity (EDF share) are detailed below:

2017

2016

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 recorded in equity (1)

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

Gross changes in fair value transferred to income -Ineffectiveness

(in millions of euros) Interest rate hedging Exchange rate hedging

31

-

-

6

-

1

(1,588)

(1,331)

(3)

70

288

(4)

Net foreign investment hedging

518

(120)

-

1,352 (489)

-

-

Commodity hedging

(613)

(1,714) (3,165)

5 2

361 649

31 28

(1,652)

939

HEDGING DERIVATIVES (3)

+/( ): increase/(decrease) in equity (EDF share). (1) +/( ): increase/(decrease) in net income (EDF share). (2) Excluding associates and joint ventures. (3) 41.4.1 Interest rate hedging derivatives break down as follows:

Interest rate hedging derivatives

6.

Notional at 31/12/2016

Notional at 31/12/2017

Fair value

< 1 year 1-5 years > 5 years

Total

Total

31/12/2017

31/12/2016

(in millions of euros)

Fixed rate payer/floating rate receiver Floating rate payer/fixed rate receiver Floating rate/floating rate

106

711

331

1,148

1,342

(75)

(62)

- -

4,769 17,971

22,740

24,906

1,928

2,299

-

1,252 4,265

1,252

2,022

(9)

4

Fixed rate/fixed rate Interest rate swaps

528 5,269

10,062 35,202

10,327 38,597

(155) 1,689

(218) 2,023

634 10,749 23,819

INTEREST RATE HEDGING DERIVATIVES

634 10,749

23,819

35,202

38,597

1,689

2,023

The fair value of interest rate/exchange rate cross-currency swaps comprises the interest rate effect only. The notional value of cross-currency swaps is included both in this note and the note on Exchange rate hedging derivatives (41.4.2).

A large portion of the EDF group’s fixed-rate loans is swapped to variable rates.

41.4.2 Exchange rate hedging derivatives break down as follows: AT 31 DECEMBER 2017

Exchange rate hedging derivatives

Notional amount to be received at 31/12/2017

Notional amount to be given at 31/12/2017

Fair value

< 1 year 1-5 years > 5 years

Total 2,996

< 1 year 1-5 years > 5 years

Total 2,989

31/12/2017

(in millions of euros)

Forward exchange transactions

2,478

518

-

2,475

514

-

-

Swaps

12,469 10,614 12,724 35,807 12,592 10,384 13,155 36,131

(606)

EXCHANGE RATE HEDGING DERIVATIVES

14,947

11,132 12,724 38,803 15,067

10,898

13,155 39,120

(606)

AT 31 DECEMBER 2016

Notional amount to be received at 31/12/2016

Notional amount to be given at 31/12/2016

Fair value

< 1 year 1-5 years > 5 years

Total 2,330

< 1 year 1-5 years > 5 years

Total 2,307

31/12/2016

Forward exchange transactions

1,600

730

-

1,589

718

-

26

Swaps

15,030 11,027 13,703 39,760 14,304 10,107 12,782 37,193

2,096

EXCHANGE RATE HEDGING DERIVATIVES

16,630 11,757 13,703 42,090 15,893 10,825 12,782 39,500

2,122

The notional value of cross-currency swaps shown in this note is also included in the note on interest rate hedging derivatives (note 41.4.1).

387

EDF I Reference Document 2017