EDF_REGISTRATION_DOCUMENT_2017

FINANCIAL STATEMENTS Other information

35.2

IMPACTS OF FINANCIAL INSTRUMENT TRANSACTIONS ON NET INCOME

2017

2016

(in millions of euros)

Instruments not classified as hedges Interest rate instruments (1)

104

136

Forex instruments

(202)

(979)

Instruments classified as hedges Interest rate instruments

600 442

596

Forex instruments

94

Including interest on swaps. (1)

35.3 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).

FAIR VALUE OF DERIVATIVE FINANCIAL INSTRUMENTS

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 2017 as calculated by EDF is as follows:

Book value Fair value

6.

(in millions of euros)

Interest rate hedges Interest rate swaps ■

156

1,727

Exchange rate hedges Forward exchange transactions and currency swaps ■

(37)

(167)

Cross-currency swaps ■ Commodity hedges Coal ■

(1,390)

(2,435)

- -

72 21

Oil products ■

(1,271)

(782)

TOTAL

457

EDF I Reference Document 2017