| (in millions of euros) | 2021 | 2020 |
|---|---|---|
| Instruments not classified as hedges |
Instruments not classified as hedges 2021
|
Instruments not classified as hedges2020
|
| Interest rate instruments * |
Interest rate instruments * 2021 130 |
Interest rate instruments * 2020141 |
| Forex instruments |
Forex instruments 2021 511 |
Forex instruments 2020(274) |
| Instruments classified as hedges |
Instruments classified as hedges 2021
|
Instruments classified as hedges2020
|
| Interest rate instruments |
Interest rate instruments 2021 739 |
Interest rate instruments 2020710 |
| Forex instruments |
Forex instruments 2021 (82) |
Forex instruments 2020(118) |
* Including interest on swaps.
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).
The book value of derivatives presented at nominal value in off-balance sheet commitments includes accrued interest, equalisation payments and premiums paid or received, plus translation adjustments, which are already booked in EDF’s accounts. The difference between the resulting book value and market value of these instruments is the unrealised gain or loss.
The market value of derivative financial instruments presented at nominal value in off-balance sheet commitments at 31 December 2021 as calculated by EDF is as follows:
| (in millions of euros) | Book value | Fair value |
|---|---|---|
| Interest rate hedges |
Interest rate hedgesBook value
|
Interest rate hedgesFair value
|
| ● Interest rate swaps |
● Interest rate swaps Book value145 |
● Interest rate swaps Fair value2,120 |
| Exchange rate hedges |
Exchange rate hedgesBook value
|
Exchange rate hedgesFair value
|
| ● Forward exchange transactions, currency swaps and forex options |
● Forward exchange transactions, currency swaps and forex options Book value54 |
● Forward exchange transactions, currency swaps and forex options Fair value177 |
| ● Cross Currency Swaps |
● Cross Currency Swaps Book value1,007 |
● Cross Currency Swaps Fair value2,203 |
| Commodity hedges |
Commodity hedgesBook value
|
Commodity hedgesFair value
|
| ● Oil products |
● Oil products Book value- |
● Oil products Fair value98 |
| TOTAL | TOTALBook value1,206 | TOTALFair value4,598 |
At 31 December 2021, off-balance sheet commitments related to operations, financing and investments (other than electricity supply commitments and partnership agreements) comprise the following:
| Maturity | ||||||
|---|---|---|---|---|---|---|
| (in millions of euros) | < 1 year | 1 à 5 years | 5 à 10 years | > 10 years | 31/12/2021 | 31/12/2020 |
| Off-balance sheet commitments given | 19,038 | 18,298 | 10,061 | 8,332 | 55,729 | 53,255 |
| Operating commitments | 11,578 | 13,785 | 9,566 | 6,921 | 41,850 | 36,784 |
| ● Fuel and energy purchase commitments | 7,711 | 10,598 | 8,369 | 6,758 | 33,436 | 27,083 |
| ● Other operating commitments | 3,867 | 3,187 | 1,197 | 163 | 8,414 | 9,701 |
| Investment commitments | 2,890 | 3,192 | 385 | 36 | 6,503 | 6,626 |
| Financing commitments | 4,570 | 1,321 | 110 | 1,375 | 7,376 | 9,845 |
| Off-balance sheet commitments received | 2,498 | 11,680 | 331 | 648 | 15,157 | 13,330 |
| Operating commitments | 1,193 | 873 | 331 | 248 | 2,645 | 2,848 |
| Investment commitments | 5 | 68 | - | - | 73 | - |
| Financing commitments | 1,300 | 10,739 | - | 400 | 12,439 | 10,482 |
