Interest rate hedging derivatives break down as follows:
| Notional at 31/12/2019 | Notional at 31/12/2018 | Fair value | |||||
|---|---|---|---|---|---|---|---|
| (in millions of euros) | < 1 year | 1-5 years | > 5 years | Total | Total | 31/12/2019 | 31/12/2018 |
| Fixed rate payer/floating rate receiver | Fixed rate payer/floating rate receiver Notional at 31/12/2019 39 | Fixed rate payer/floating rate receiver Notional at 31/12/2018 1,377 | Fixed rate payer/floating rate receiver Fair value 1,317 | 2,733 | 1,168 | (51) | (75) |
| Floating rate payer/fixed rate receiver | Floating rate payer/fixed rate receiver Notional at 31/12/2019 1,905 | Floating rate payer/fixed rate receiver Notional at 31/12/2018 4,399 | Floating rate payer/fixed rate receiver Fair value 17,329 | 23,633 | 23,143 | 3,143 | 1,619 |
| Floating rate/floating rate | Floating rate/floating rate Notional at 31/12/2019 - | Floating rate/floating rate Notional at 31/12/2018 800 | Floating rate/floating rate Fair value 1,647 | 2,447 | 3,031 | 60 | 56 |
| Fixed rate/fixed rate | Fixed rate/fixed rate Notional at 31/12/2019 912 | Fixed rate/fixed rate Notional at 31/12/2018 1,294 | Fixed rate/fixed rate Fair value 7,695 | 9,901 | 14,053 | (213) | (50) |
| Interest rate swaps | Interest rate swaps Notional at 31/12/2019 2,856 | Interest rate swaps Notional at 31/12/2018 7,870 | Interest rate swaps Fair value 27,988 | 38,714 | 41,395 | 2,939 | 1,550 |
| INTEREST RATE HEDGING DERIVATIVES | INTEREST RATE HEDGING DERIVATIVES Notional at 31/12/2019 2,856 | INTEREST RATE HEDGING DERIVATIVES Notional at 31/12/2018 7,870 | INTEREST RATE HEDGING DERIVATIVES Fair value 27,988 | 38,714 | 41,395 | 2,939 | 1,550 |
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 (see note 44.4.2).
A large portion of the EDF group’s fixed-rate loans is swapped to variable rates.
Exchange rate hedging derivatives break down as follows:
| Notional amount to be received at 31/12/2019 | Notional amount to be given at 31/12/2019 | Fair value | |||||||
|---|---|---|---|---|---|---|---|---|---|
| (in millions of euros) | < 1 year | 1-5 years | > 5 years | Total | < 1 year | 1-5 years | > 5 years | Total | 31/12/2019 |
| Forward exchange transactions | Forward exchange transactions Notional amount to be received at 31/12/2019 1,843 | Forward exchange transactions Notional amount to be given at 31/12/2019 1,357 | Forward exchange transactions Fair value - | 3,200 | 1,838 | 1,526 | - | 3,364 | 3 |
| Swaps | Swaps Notional amount to be received at 31/12/2019 19,619 | Swaps Notional amount to be given at 31/12/2019 6,566 | Swaps Fair value 17,367 | 43,552 | 19,006 | 6,268 | 16,892 | 42,166 | 874 |
| EXCHANGE RATE HEDGING DERIVATIVES | EXCHANGE RATE HEDGING DERIVATIVES Notional amount to be received at 31/12/2019 21,462 | EXCHANGE RATE HEDGING DERIVATIVES Notional amount to be given at 31/12/2019 7,923 | EXCHANGE RATE HEDGING DERIVATIVES Fair value 17,367 | 46,752 | 20,844 | 7,794 | 16,892 | 45,530 | 877 |
| Notional amount to be received at 31/21/2018 | Notional amount to be given at 31/12/2018 | Fair value | |||||||
|---|---|---|---|---|---|---|---|---|---|
| (in millions of euros) | < 1 year | 1-5 years | > 5 years | Total | < 1 year | 1-5 years | > 5 years | Total | 31/12/2018 |
| Forward exchange transactions | Forward exchange transactions Notional amount to be received at 31/21/2018 1,550 | Forward exchange transactions Notional amount to be given at 31/12/2018 393 | Forward exchange transactions Fair value - | 1,943 | 1,540 | 387 | - | 1,927 | 17 |
| Swaps | Swaps Notional amount to be received at 31/21/2018 17,085 | Swaps Notional amount to be given at 31/12/2018 9,543 | Swaps Fair value 16,884 | 43,512 | 16,791 | 9,163 | 16,785 | 42,739 | 565 |
| EXCHANGE RATE HEDGING DERIVATIVES | EXCHANGE RATE HEDGING DERIVATIVES Notional amount to be received at 31/21/2018 18,635 | EXCHANGE RATE HEDGING DERIVATIVES Notional amount to be given at 31/12/2018 9,936 | EXCHANGE RATE HEDGING DERIVATIVES Fair value 16,884 | 45,455 | 18,331 | 9,550 | 16,785 | 44,666 | 582 |
The notional value of cross-currency swaps shown in this note is also included in the note on interest rate hedging derivatives (see note 44.4.1).
For commodities, changes in fair value are mainly explained by:
| (in millions of euros) | 31/12/2019 | 31/12/2018 |
|---|---|---|
| Electricity hedging contracts | Electricity hedging contracts 31/12/2019 510 | Electricity hedging contracts 31/12/2018 (629) |
| Gas hedging contracts | Gas hedging contracts 31/12/2019 763 | Gas hedging contracts 31/12/2018 (231) |
| Coal hedging contracts | Coal hedging contracts 31/12/2019 (56) | Coal hedging contracts 31/12/2018 (107) |
| Oil product hedging contracts | Oil product hedging contracts 31/12/2019 51 | Oil product hedging contracts 31/12/2018 (446) |
| CO2 emission rights hedging contracts | CO 2emission rights hedging contracts 31/12/2019 214 | CO 2emission rights hedging contracts 31/12/2018 370 |
| CHANGES IN FAIR VALUE BEFORE TAXES | CHANGES IN FAIR VALUE BEFORE TAXES 31/12/2019 1,482 | CHANGES IN FAIR VALUE BEFORE TAXES 31/12/2018 (1,043) |
