Annual Report - EDP

notes to theEDPconsolidated- Energias de Portugal,and companyS.A.financial statementsfor the years ended 31 december 2012 and 2011Notes to the Consolidated and Company Financial Statementsfor the years ended 31 December 2012 and 201143. DERIVATIVE FINANCIAL INSTRUMENTSIn accordance with IAS 39, the Group classifies derivative financial instruments as fair value hedges of a recognised asset or liability (Fair value hedge), as cash flowhedges of recognised liabilities and highly probable future transactions (Cash flow hedge) and as net investment hedge.In 2012 the fair value and the maturity of the derivative financial instruments are analysed as follows:Fair valueNotionalFrom 1Thousands of Euros Assets Liabilities Up 1 year to 5 years Over 5 Years TotalNet Investment hedgeCross currency interest rate swaps 3,867 -422 - 122,412 - 122,4123,867 -422 - 122,412 - 122,412Fair value hedgeInterest rate swaps 68,239 - - 1,000,000 - 1,000,000Cross-currency interest rate swaps 131,981 -37,933 - 497,911 514,236 1,012,147200,220 -37,933 - 1,497,911 514,236 2,012,147Cash flow hedgeCommodities swaps 7,894 -16,106 553,172 98,354 - 651,526Interest rate swaps 14 -108,903 120,888 248,837 552,033 921,758Foreign exchange forwards 125 -8,728 255,759 259,379 - 515,138OMIP futures 2,346 - 13,686 - - 13,68610,379 -133,737 943,505 606,570 552,033 2,102,108TradingCommodities swaps 7,157 -10,164 2,340,530 898 - 2,341,428Interest rate swaps 45,181 -11,209 470 501,881 600,470 1,102,821Cross-currency interest rate swaps 4,707 -2,378 - 57,000 104,460 161,460Currency forwards 5,329 -12,400 453,045 30,738 - 483,78362,374 -36,151 2,794,045 590,517 704,930 4,089,492276,840 -208,243 3,737,550 2,817,410 1,771,199 8,326,159In 2011 the fair value and the maturity of the derivative financial instruments are analysed as follows:Fair valueNotionalFrom 1Thousands of Euros Assets Liabilities Up 1 year to 5 years Over 5 Years TotalNet Investment hedgeCross currency interest rate swaps 7,807 - - 77,008 - 77,0087,807 - - 77,008 - 77,008Fair value hedgeInterest rate swaps 54,302 - - 1,000,000 - 1,000,000Cross-currency interest rate swaps 95,205 -52,177 - 177,911 730,314 908,225149,507 -52,177 - 1,177,911 730,314 1,908,225Cash flow hedgeCommodities swaps 50,289 -28,901 1,000,785 2,885 - 1,003,670Interest rate swaps 82 -71,615 52,816 279,481 488,350 820,647Foreign exchange forwards 11,265 -28,652 559,667 - - 559,667OMIP futures 539 -1,239 16,352 - - 16,35262,175 -130,407 1,629,620 282,366 488,350 2,400,336TradingCommodities swaps 23,398 -334 2,874,382 551 - 2,874,933Interest rate swaps 48,177 -10,145 - 500,000 600,000 1,100,000Cross-currency interest rate swaps 15,970 -1,131 1,901 - 99,800 101,701Currency forwards 3,965 -2,160 96,377 92,785 - 189,162Commodities forwards 10,515 -10,369 258,681 - - 258,681Options purchased and sold - -853 - - - -102,025 -24,992 3,231,341 593,336 699,800 4,524,477321,514 -207,576 4,860,961 2,130,621 1,918,464 8,910,046The fair value of the derivative financial instruments is booked in Other debtors and other assets (see note 27) and other liabilities and other payables (see note 40),according to its nature.Fair value of derivative financial instruments is based on quotes indicated by external entities. These entities use generally discounted cash flow techniques acceptedand data from public markets.Derivative financial instruments classified as trading are financial hedging instruments contracted for economic hedging at EDP Group level (see note 4), however suchinstruments are not eligible for hedge accounting under IFRS.EDP - Annual Report 2012237