Annual Report - EDP

notes to the consolidated EDP - and Energias company de Portugal, financial S.A. statementsfor the years ended 31 december 2012 and 2011Notes to the Consolidated and Company Financial Statementsfor the years ended 31 December 2012 and 2011The changes in the fair value, including accrued interest, of hedging instruments and risks being hedged are as follows:20122011Changes in fair valueChanges in fair valueThousands of Euros Hedging instrumentHedged riskInstrument Risk Instrument RiskCross-currency interest rateNet investment swapsSubsidiary accounts in PLN and BRL -4,362 4,966 8,881 -8,881Fair value Interest rate swap Interest rate 13,937 -12,459 10,234 -10,234Cross-currency interest rateFair value swapsExchange and interest rate 51,020 -46,166 103,147 -103,147Cash flow Interest rate swap Interest rate -37,356 - -44,899 -Cash flow Currency forwards Exchange rate 8,784 - 16,673 -Cash flow OMIP futures Commodity prices 3,046 - -700 -Cash flow Commodities swaps Commodity prices -29,600 - -19,199 -5,469 -53,659 74,137 -122,262The changes in the fair value reserve related to cash flow hedges in 2012 and 2011 were as follows:GroupThousands of Euros Dec 2012 Dec 2011Balance at the beginning of the year -40,625 45,180Fair value changes -78,747 -18,966Transfers to results from hedging of financial liabilities andcommodity prices-590 -69,383Effect of sales without a loss of control of EDP Brasil - 2,544Effect of the sale without loss of control of Vento II -1,135 -Balance at the end of the year -121,097 -40,625The gains and losses on the financial instruments portfolio, excluding accrued interest, booked in the income statement in 2012 and 2011 are as follows:GroupCompanyThousands of Euros Dec 2012 Dec 2011 Dec 2012 Dec 2011Derivatives held for trading -59,964 8,667 10,562 -4,118Net investment hedge - inefectiveness 604 - - -Fair value hedgesDerivatives 64,957 113,381 -39,323 -7,407Hedged liabilities -58,625 -113,381 39,323 7,407Cash flow hedgesTransfer to results from hedging of financial liabilities -440 7,459 - -Transfer to results from hedging of commodity prices 1,030 61,924 698 28,234234Ineffectiveness -156 -397 -156 -397-52,594 77,653 11,104 23,719The effective interest rates of the derivative financial instruments relating to financing operations at 31 December 2012 are as follows:GroupNotional CurrencyEDP PaysEDP ReceivesInterest rate contractsInterest rate swaps 2,687,645 EUR [ 5.01% - -0.34% ] [ 5.50% - -0.34% ]Interest rate swaps 238,584 USD [ 5.82% - 5.79% ] [ 4.01% - 3.51% ]Interest rate swaps 98,350 PLN 5.41% 4.22%Currency and interest rate contractsCIRS (currency interest rate swaps) 730,314 EUR / GBP [ 4.21% - 2.15% ] [ 8.63% - 6.63% ]CIRS (currency interest rate swaps) 25,204 USD / BRL 8.19% [ 1.81% - 1.78% ]CIRS (currency interest rate swaps) 79,255 USD / JPY 6.80% 3.11%CIRS (currency interest rate swaps) 134,010 EUR / PLN [ 3.84% - 3.16% ] 0.19%CIRS (currency interest rate swaps) 45,403 EUR / BRL [ 5.65% - 5.38% ] [ 0.22% - 0.19% ]CIRS (currency interest rate swaps) 281,833 EUR / CHF [ 4.48% - 2.91% ] [ 4.01% - 3.51% ]Exchange rate contractsCurrency forwards 240,313 BRL / USD238A World Full Of Energy