Universal Registration Document 2021

18.7.5 Impact of hedging derivatives on comprehensive income

Changes in the fair value of hedging derivatives included in equity (EDF share) and profit and loss are detailed below:

	2021			2020
(in millions of euros)	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
Interest rate hedging	(98)	-	-	(24)	-	-
Exchange rate hedging	2,684	720	(38)	(850)	51	13
Net foreign investment hedging	(1,078)	(405)	-	661	-	-
Commodity hedging	(7,356)	(2,198)	(2)	644	430	(14)
HEDGING DERIVATIVES ⁽³⁾	(5,848)	(1,883)	(40)	431	481	(1)

(1) +/(): increase/(decrease) in equity (EDF share).

(2) +/(): increase/(decrease) in net income (EDF share)

(3) Excluding associates and joint ventures.

The gross change in the fair value of hedging instruments recognised in equity (EDF share), including recycling, is €(3,965) million in 2021 (€(50) million in 2020).

n 2021 this change is explained by the gross fair value changes in net foreign
investment hedges, amounting to €(673) million, and interest rate, exchange rate
and commodity hedges, amounting to €(3,292) million (€(711) million in 2020 –
see the consolidated statement of comprehensive income).

The amount transferred to operating profit before depreciation and amortisation
in 2021 is (2,198) million in respect of commodity hedges comprises:

€(1,242) million for electricity hedging contracts, mainly concerning the United
Kingdom and the France – Generation and supply segments;
€(938) million for gas hedging contracts, concerning the France – Generation
and supply and United Kingdom segments;
€(18) million for other hedging contracts.

18.7.6 Offsetting of financial assets and liabilities

Accounting principles and methods

A financial asset and financial liability must be netted if the entity currently has a legally enforceable right to do so and intends either to settle the net amount or to realise the asset and settle the liability simultaneously.

At 31 December 2021

			Balance with offsetting under IAS 32			Amounts covered by a general offsetting agreement but not offset under IAS 32
(in millions of euros)	As reported in balance sheet	Balance without offsetting	Gross amount recognised (before offsetting)	Gross amount offset under IAS 32	Net amount recognised after offsetting under IAS 32	Financial instruments	Fair value of financial collateral	Net amount
Fair value of derivatives – assets	29,971	3,948	70,140	(44 117)	26,023	(1,645)	(8,309)	16,069
Fair value of derivatives – liabilities	(32,151)	(5,316)	(70,952)	44,117	(26,835)	1,645	5,996	(19,194)

At 31 December 2020

			Balance with offsetting under IAS 32			Amounts covered by a general offsetting agreement but not offset under IAS 32
(in millions of euros)	As reported in balance sheet	Balance Without offsetting	Gross amount recognised (before offsetting)	Gross amount offset under IAS 32	Net amount recognised after offsetting under IAS 32	Financial instruments	Fair value of financial collateral	Net amount
Fair value of derivatives – assets	10,477	2,956	11,091	(3,570)	7,521	(1,672)	(2,797)	3,052
Fair value of derivatives – liabilities	(7,917)	(2,927)	(8,560)	3,570	(4,990)	1 672	568	(2,750)