EDF_REGISTRATION_DOCUMENT_2017

FINANCIAL STATEMENTS Financial assets and liabilities

NON-HEDGING DERIVATIVES NOTE 42

Details of the fair value of trading derivatives reported in the balance sheet are as follows:

Notes 36.2.1

31/12/2017

31/12/2016

(in millions of euros)

Positive fair value of trading derivatives Negative fair value of trading derivatives FAIR VALUE OF TRADING DERIVATIVES Interest rate derivatives held for trading Currency derivatives held for trading Non-hedging commodity derivatives

2,614

3,813

38.1

(2,787)

(4,485)

(173)

(672)

42.1 42.2 42.3

(33)

(55)

73

(179) (438)

(213)

42.1

INTEREST RATE DERIVATIVES HELD FOR TRADING

Interest rate derivatives held for trading break down as follows:

Notional at 31/12/2017

Notional at 31/12/2016

Fair value

< 1 year 1-5 years > 5 years

Total

Total 31/12/2017 31/12/2016

(in millions of euros)

Purchases of options

- -

- -

519 519 332

519 519

517 517 742 406 910 418

15 15

22 22

Interest rate operations

6.

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

1,366

1,280

2,978

(42)

(77)

- -

330 351

86

416 351 338

(8)

(2)

Floating rate/floating rate

-

1 1

1 1

Fixed rate/fixed rate Interest rate swaps

194

70

74

1,560

2,031

492

4,083

2,476

(48)

(77)

INTEREST RATE DERIVATIVES HELD FOR TRADING

1,560

2,031

1,011

4,602

2,993

(33)

(55)

42.2

CURRENCY DERIVATIVES HELD FOR TRADING

Currency derivatives held for trading break down as follows: AT 31 DECEMBER 2017:

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 < 1 year 1-5 years > 5 years

Total 31/12/2017

(in millions of euros) Forward transactions

2,438 1,079 11,986 4,823

8 3,525 2,443 1,089 74 16,883 11,960 4,764

9 3,541 73 16,797

(23)

Swaps

96

CURRENCY DERIVATIVES HELD FOR TRADING

14,424 5,902

82 20,408 14,403 5,853

82 20,338

73

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 < 1 year 1-5 years > 5 years

Total 31/12/2016

(in millions of euros) Forward transactions

2,230

603

- -

2,833 2,138

629

- -

2,767

3

Swaps

11,279 5,094

16,373 11,264 5,368

16,632

(182)

CURRENCY DERIVATIVES HELD FOR TRADING

13,509 5,697

-

19,206 13,402 5,997

-

19,399

(179)

389

EDF I Reference Document 2017