Groupe Renault - 2020 Universal Registration Document

400 GROUPE RENAULT I UNIVERSAL REGISTRATION DOCUMENT 2020 Find out more at group.renault.com 04 CONSOLIDATED FINANCIAL STATEMENTS FINANCIAL STATEMENTS DERIVATIVES AND MANAGEMENT OF FINANCIAL RISKS NOTE 25 Derivatives and netting agreements 25 - A - Fair value of derivatives and hedged notional values A1 The fair value of derivatives of the Automotive segments corresponds to their balance sheet value: December 31, 2020 (€ million) Balance sheet value Nominal Financial commitment Assets Liabilities < 1 yr 1 to 5 yrs > 5 yrs Cash flow hedges 6 12 1,243 1,243 - - Derivatives not qualified as hedging instruments 364 393 28,982 26,544 2,438 - TOTAL FOREIGN EXCHANGE RISK 370 405 30,225 27,787 2,438 - Derivatives not qualified as hedging instruments 37 43 3,323 585 2,722 16 TOTAL INTEREST RATE RISK 37 43 3,323 585 2,722 16 Cash flow hedges 17 1 210 176 34 - TOTAL COMMODITY RISK 17 1 210 176 34 - TOTAL AUTOMOTIVE 424 449 33,759 28,548 5,194 16 The fair value of derivatives of the Sales Financing segment corresponds to their balance sheet value: December 31, 2020 (€ million) Balance sheet value Nominal Financial commitment Assets Liabilities < 1 yr 1 to 5 yrs > 5 yrs Derivatives not qualified as hedging instruments 9 8 1,024 802 222 - TOTAL FOREIGN EXCHANGE RISK 9 8 1,024 802 222 - Cash flow hedges 7 72 10,182 2,888 7,294 - Fair value hedges 211 - 8,524 1,332 5,042 2,150 Derivatives not qualified as hedging instruments 3 4 3,415 2,945 470 - TOTAL INTEREST RATE RISK 221 76 22,121 7,165 12,806 2,150 TOTAL SALES FINANCING 230 84 23,145 7,967 13,028 2,150 Netting agreements and other similar commitments A2 FRAMEWORK AGREEMENTS FOR OPERATIONS ON FINANCIAL FUTURES AND SIMILAR AGREEMENTS The Group negotiates its derivatives contracts in accordance with the framework agreements issued by the International Swaps and Derivatives Association (ISDA) and the FBF (Fédération Bancaire Française). In the event of default, the non-defaulting party has the right to suspend execution of its payment obligations and to demand payment or transfer of a termination balance for all terminated transactions. The ISDA and FBF framework agreements do not meet the requirements for netting in the financial statements. The Group currently has no legally enforceable right to net the reported amounts, except in the case of default or a credit event. NETTING OF FINANCIAL ASSETS AND LIABILITIES: SUMMARY December 31, 2020 (€ million) Amounts in the statement of financial position eligible for netting Amounts not netted in the statement of financial position Net amounts Financial instruments assets/liabilities Guarantees included in liabilities Off balance sheet guarantees Assets Derivatives on financing operations of the Automotive (excluding AVTOVAZ) segment 393 (26) - - 367 Derivatives on financing operations of the Sales Financing segment 230 - - - 230 Sales Financing receivables dealer* 193 - (110) - 83 TOTAL ASSETS 816 (26) (110) - 680 Liabilities Derivatives on financing operations of the Automotive (excluding AVTOVAZ) segment 436 (332) - - 104 Derivatives on financing operations of the Sales Financing segment 84 (26) - - 58 TOTAL LIABILITIES 520 (358) - - 162 Sales financing receivables held by Banco RCI Brasil, whose exposure is covered by pledges of “letras de cambio” (bills of exchange) subscribed by dealers and reported * under other debts represented by a certificate.