| (in millions of euros) | Balance sheet value | Fair value | Level 1 Unadjusted quoted prices | Level 2 Observable data | Level 3 Non-observable data |
|---|---|---|---|---|---|
| Equity securities | Equity securities Balance sheet value 1,603 | Equity securities Fair value 1,603 | Equity securities Level 1 Unadjusted quoted prices 15 | Equity securities Level 2 Observable data 1,002 | Equity securities Level 3 Non-observable data 586 |
| Debt securities | Debt securities Balance sheet value 44,554 | Debt securities Fair value 44,554 | Debt securities Level 1 Unadjusted quoted prices 3,718 | Debt securities Level 2 Observable data 40,798 | Debt securities Level 3 Non-observable data 38 |
| Hedging derivatives | Hedging derivatives Balance sheet value 5,759 | Hedging derivatives Fair value 5,759 | Hedging derivatives Level 1 Unadjusted quoted prices 15 | Hedging derivatives Level 2 Observable data 5,731 | Hedging derivatives Level 3 Non-observable data 13 |
| Trading derivatives | Trading derivatives Balance sheet value 6,813 | Trading derivatives Fair value 6,813 | Trading derivatives Level 1 Unadjusted quoted prices 53 | Trading derivatives Level 2 Observable data 6,244 | Trading derivatives Level 3 Non-observable data 516 |
| Cash equivalents | Cash equivalents Balance sheet value 236 | Cash equivalents Fair value 236 | Cash equivalents Level 1 Unadjusted quoted prices 80 | Cash equivalents Level 2 Observable data 156 | Cash equivalents Level 3 Non-observable data - |
| FINANCIAL ASSETS CARRIED AT FAIR VALUE | FINANCIAL ASSETS CARRIED AT FAIR VALUE Balance sheet value 58,965 | FINANCIAL ASSETS CARRIED AT FAIR VALUE Fair value 58,965 | FINANCIAL ASSETS CARRIED AT FAIR VALUE Level 1 Unadjusted quoted prices 3,957 | FINANCIAL ASSETS CARRIED AT FAIR VALUE Level 2 Observable data 53,855 | FINANCIAL ASSETS CARRIED AT FAIR VALUE Level 3 Non-observable data 1,153 |
| Receivables from the NLF | Receivables from the NLF Balance sheet value 13,303 | Receivables from the NLF Fair value 13,303 | Receivables from the NLF Level 1 Unadjusted quoted prices - | Receivables from the NLF Level 2 Observable data 13,303 | Receivables from the NLF Level 3 Non-observable data - |
| CSPE receivable | CSPE receivable Balance sheet value 684 | CSPE receivable Fair value 688 | CSPE receivable Level 1 Unadjusted quoted prices - | CSPE receivable Level 2 Observable data 688 | CSPE receivable Level 3 Non-observable data - |
| Other loans and financial receivables | Other loans and financial receivables Balance sheet value 2,904 | Other loans and financial receivables Fair value 2,904 | Other loans and financial receivables Level 1 Unadjusted quoted prices - | Other loans and financial receivables Level 2 Observable data 2,904 | Other loans and financial receivables Level 3 Non-observable data - |
| FINANCIAL ASSETS CARRIED AT AMORTISED COST | FINANCIAL ASSETS CARRIED AT AMORTISED COST Balance sheet value 16,891 | FINANCIAL ASSETS CARRIED AT AMORTISED COST Fair value 16,895 | FINANCIAL ASSETS CARRIED AT AMORTISED COST Level 1 Unadjusted quoted prices - | FINANCIAL ASSETS CARRIED AT AMORTISED COST Level 2 Observable data 16,895 | FINANCIAL ASSETS CARRIED AT AMORTISED COST Level 3 Non-observable data - |
| Hedging derivatives | Hedging derivatives Balance sheet value 1,830 | Hedging derivatives Fair value 1,830 | Hedging derivatives Level 1 Unadjusted quoted prices 5 | Hedging derivatives Level 2 Observable data 1,825 | Hedging derivatives Level 3 Non-observable data - |
| Trading derivatives | Trading derivatives Balance sheet value 6,327 | Trading derivatives Fair value 6,327 | Trading derivatives Level 1 Unadjusted quoted prices 38 | Trading derivatives Level 2 Observable data 5,914 | Trading derivatives Level 3 Non-observable data 375 |
| FINANCIAL LIABILITIES CARRIED AT FAIR VALUE | FINANCIAL LIABILITIES CARRIED AT FAIR VALUE Balance sheet value 8,157 | FINANCIAL LIABILITIES CARRIED AT FAIR VALUE Fair value 8,157 | FINANCIAL LIABILITIES CARRIED AT FAIR VALUE Level 1 Unadjusted quoted prices 43 | FINANCIAL LIABILITIES CARRIED AT FAIR VALUE Level 2 Observable data 7,739 | FINANCIAL LIABILITIES CARRIED AT FAIR VALUE Level 3 Non-observable data 375 |
| Loans and other financial liabilities | Loans and other financial liabilities Balance sheet value 67,380 | Loans and other financial liabilities Fair value 75,407 | Loans and other financial liabilities Level 1 Unadjusted quoted prices - | Loans and other financial liabilities Level 2 Observable data 75,407 | Loans and other financial liabilities Level 3 Non-observable data - |
| FINANCIAL LIABILITIES CARRIED AT AMORTISED COST | FINANCIAL LIABILITIES CARRIED AT AMORTISED COST Balance sheet value 67,380 | FINANCIAL LIABILITIES CARRIED AT AMORTISED COST Fair value 75,407 | FINANCIAL LIABILITIES CARRIED AT AMORTISED COST Level 1 Unadjusted quoted prices - | FINANCIAL LIABILITIES CARRIED AT AMORTISED COST Level 2 Observable data 75,407 | FINANCIAL LIABILITIES CARRIED AT AMORTISED COST Level 3 Non-observable data - |
Level 3 debt and equity securities are principally non-consolidated investments carried at historical value.
As an operator in the energy sector worldwide, the EDF group is exposed to financial market risks, energy market risks and counterparty risks. All these risks could generate volatility in the financial statements.
A more detailed description of these risks and the sensitivity analyses required by IFRS 7 can be found in section 5.1.6 “Management and control of market risks” of Universal Registration Document 2020.
The main financial market risks to which the Group is exposed are the liquidity risk, the foreign exchange risk, the interest rate risk and the equity risk.
The objective of the Group’s liquidity risk management is to seek resources at optimum cost and ensure their constant accessibility.
The foreign exchange risk relates to the diversification of the Group’s businesses and geographical locations, and results from exposure to the risk of exchange rate fluctuations. These fluctuations can affect the Group’s translation differences, balance sheet items, financial expenses, equity and net income.
The interest rate risk results from exposure to the risk of fluctuations in interest rates that can affect the value of assets invested by the Group, the value of the liabilities covered by provision, or its financial expenses.
The Group is exposed to equity risks, particularly through its dedicated asset portfolio held for secure financing of long-term nuclear commitments, through external pension funds, and to a lesser extent through its cash assets and directly-held investments.
With the opening of the final customer market, development of the wholesale markets and international business expansion, the EDF group operates on deregulated energy markets, mainly in Europe, through its generation and supply activities. This exposes the Group to price variations on the wholesale markets for energy (electricity, gas, coal, oil products) and the CO2 emissions quota market, with a potentially significant impact on the financial statements.
Counterparty risk is defined as the total loss that the EDF group would sustain on its business and market transactions if a counterparty defaulted and failed to perform its contractual obligations.
Regarding the customer risk, which is another component of the counterparty risk, a statement of receivables not yet due and overdue is shown in note 13.3.1.
