At 31 December 2020 | At 31 December 2019 | |||||
|---|---|---|---|---|---|---|
(in millions of currency units) | Net assets after management into currency | Net assets after management converted into euros | Impact on equity of a 10% variation in exchange rates | Net assets after management into currency | Net assets after management converted into euros | Impact on equity of a 10% variation in exchange rates |
USD | USD At 31 December 2020 1,923 | USD At 31 December 2019 1,567 | 157 | 789 | 702 | 70 |
CHF (Switzerland) | CHF (Switzerland) At 31 December 2020 2 | CHF (Switzerland) At 31 December 2019 2 | - | 1 | 1 | - |
PLN (Poland) | PLN (Poland) At 31 December 2020 132 | PLN (Poland) At 31 December 2019 29 | 3 | 141 | 33 | 3 |
GBP (United Kingdom) | GBP (United Kingdom) At 31 December 2020 10,678 | GBP (United Kingdom) At 31 December 2019 11,877 | 1,188 | 11,778 | 13,843 | 1,384 |
BRL (Brazil) | BRL (Brazil) At 31 December 2020 1,371 | BRL (Brazil) At 31 December 2019 215 | 22 | 1,202 | 266 | 27 |
CNY (China) | CNY (China) At 31 December 2020 11,026 | CNY (China) At 31 December 2019 1,374 | 137 | 11,148 | 1,425 | 143 |
The foreign exchange risk on available-for-sale securities is mostly concentrated in EDF’s dedicated asset portfolio, which is discussed in section 7.1.6 “Management of financial risk on EDF SA’s dedicated asset portfolio”.
The foreign exchange risk associated with short-term investments and operating liabilities in foreign currencies remains controlled for the Group at 31 December2020.
The exposure of the Group’s net indebtedness to interest rate fluctuations covers two types of risk: a risk of change in the net financial expenses on floating-rate financial assets and liabilities, and a risk of change in the value of financial assets invested at fixed rates. These risks are managed by monitoring the floating-rate portion of net indebtedness, defined by reference to the risk/return for net financial expenses, taking into consideration expected movements in interest rates.
Some of the debt is variabilised and the Group may use interest rate derivatives for hedging purposes. The distribution of exposure between fixed and floating rates is monitored.
The Group’s debt after hedging instruments at 31 December 2020 comprised 69.3% at fixed rates and 30.7% at floating rates.
A 1% uniform annual rise in interest rates would generate an approximate €200 million increase in financial expenses at 31 December 2020, based on gross floating-rate debt after hedging.
The average cost of Group debt (weighted interest rate on outstanding amounts) was 2.32% at the end of 2020.
The table below sets forth the structure of Group debt and the impact of a 1% variation in interest rates at 31 December 2020.
31 December 2020 | Initial debt structure | Impact of hedging instruments | Debt structure after hedging | Impact on income of a 1% variation in interest rates |
|---|---|---|---|---|
Fixed rate | Fixed rate Initial debt structure60,667 | Fixed rate Impact of hedging instruments(15,217) | Fixed rate Debt structure after hedging45450 | Fixed rate Impact on income of a 1% variation in interest rates- |
Floating rate | Floating rate Initial debt structure4,924 | Floating rate Impact of hedging instruments15,217 | Floating rate Debt structure after hedging20,141 | Floating rate Impact on income of a 1% variation in interest rates201 |
TOTAL | TOTAL Initial debt structure65,591 | TOTAL Impact of hedging instruments- | TOTAL Debt structure after hedging65 591 | TOTAL Impact on income of a 1% variation in interest rates201 |
Concerning financial assets, the table below presents the interest rate risk on the floating-rate notes (FRN) held by EDF, and their sensitivity to interest rate risks (impact on net income).
| 31 December 2020 (in millions of euros) | Value | Impact on income of a 1% variation of interest rates | Value after a 1% variation in interest rates |
|---|---|---|---|
FLOATING-RATE INSTRUMENTS | FLOATING-RATE INSTRUMENTS Value1,202 | FLOATING-RATE INSTRUMENTS Impact on income of a 1% variation of interest rates(12) | FLOATING-RATE INSTRUMENTS Value after a 1% variation in interest rates1190 |
The Group’s interest rate risk notably relates to the value of the Group’s long-term nuclear obligations (see note 15 to the 2020 consolidated financial statements) and its pension and other specific employee benefit obligations (see note 16 to the 2020 consolidated financial statements), which are adjusted to present value using discount rates that depend on interest rates at various time horizons, and debt securities held in connection with the management of the dedicated assets set aside to cover these obligations (see section 5.1.6.1.6 “Management of financial risk on EDF’s dedicated asset portfolio”).
