47.2 Derivatives at fair value through profit or loss

The following table shows the notional amount and the fair value of derivatives at FVTPL as at December 31, 2020 and December 31, 2019.

Millions of euro Notional amount Fair value assets Notional amount Fair value liabilities
  at Dec. 31, 2020 at Dec. 31, 2019 at Dec. 31, 2020 at Dec. 31, 2019 at Dec. 31, 2020 at Dec. 31, 2019 at Dec. 31, 2020 at Dec. 31, 2019
Derivatives at FVTPL:                
- derivatives on interest rates:                
- interest rate swaps 50 50 2 2 100 112 (88) (80)
- interest rate options - - - - 50 50 (4) (5)
- derivatives on exchange rates:                
- currency forwards 3,501 3,399 83 34 1,012 1,648 (44) (38)
- CCIRS - - - - - 33 - -
- derivatives on commodities - - - - - - - -
Derivatives on power:                
- swaps 144 282 14 25 109 281 (18) (28)
- forwards/futures 5,493 5,353 75 403 5,626 4,329 (428) (155)
- options 137 3 24 2 9 27 (12) (14)
Total derivatives on power 5,774 5,638 113 430 5,744 4,637 (458) (197)
Derivatives on coal:                
- swaps 47 311 4 69 16 367 (1) (80)
- forwards/futures 200 - 40 - 144 - (27) -
Total derivatives on coal 247 311 44 69 160 367 (28) (80)
Derivatives on gas and oil:                
- swaps 635 1,259 81 168 259 852 (34) (97)
- forwards/futures 13,993 9,782 2,108 2,126 14,121 11,047 (1,999) (2,190)
- options 185 315 165 247 170 309 (173) (273)
Total derivatives on gas and oil 14,813 11,356 2,354 2,541 14,550 12,208 (2,206) (2,560)
Derivatives on CO2:                
- swaps - - - - - - - -
- forwards/futures 770 185 209 31 290 524 (72) (32)
- options - - - - 5 - (5) -
Total derivatives on CO2 770 185 209 31 295 524 (77) (32)
Derivatives on other:                
- swaps - 4 - 2 13 16 (7) (1)
- forwards/futures 195 6 9 3 234 9 (1) (4)
Total derivatives on other 195 10 9 5 247 25 (8) (5)
Embedded derivatives 4 25 3 3 3 43 (3) (4)
TOTAL 25,354 20,974 2,817 3,115 22,161 19,647 (2,916) (3,001)


At December 31, 2020 the notional amount of trading derivatives on interest rates came to €200 million. The net negative fair value of €90 million increased by €7 million on the previous year, mainly due to developments in the yield curve.
At December 31, 2020, the notional amount of derivatives on exchange rates was €4,513 million. The overall decrease in their notional value and the increase in the associated net positive fair value of €43 million mainly reflected normal operations and developments in exchange rates.
At December 31, 2020, the notional amount of derivatives on commodities came to €42,802 million. The fair value of trading derivatives on commodities classified as assets mainly reflects the market valuation of hedges of gas and oil amounting to €2,354 million and derivatives on power amounting to €113 million.
The fair value of trading derivatives on commodities classified as liabilities mainly regards hedges of gas and oil amounting to €2,206 million and derivatives on power amounting to €458 million.
The “other” category includes hedges using weather derivatives. In addition to commodity risk, the Group companies are also exposed to changes in volumes associated with weather conditions (for example, temperature impacts the consumption of gas and power).
Embedded derivatives, which are held by Enel Green Power North America, mainly regard supplementary financial clauses in more complex tax equity partnership agreements, which are used to finance investment in new renewables capacity.

Derivatives at fair value through profit or loss include transactions managed within the trading portfolios and transactions that, although established for hedging purposes, did not meet the requirements for hedge accounting.