Universal Registration Document 2021

18.5 Fair value of financial instruments

Accounting principles and methods

Financial instruments are stated at fair value, which corresponds to the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction on the principal or most advantageous market at the measurement date. The valuation methods for each level are generally as follows:

level 1 (unadjusted quoted prices): prices accessible to the entity at the measurement date on active markets, for identical assets or liabilities;
level 2 (observable data): data concerning the asset or liability, other than the market prices included in initial level 1 input, which are directly observable (such as a price) or indirectly observable (i.e. deduced from observable prices);
level 3 (non-observable data): data that are not observable on a market, including observable data that have been significantly adjusted.

The distribution of financial assets and liabilities in the balance sheet by level is as follows:

At 31 December 2021

(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 1,889	Equity securities Fair value 1,889	Equity securities Level 1 Unadjusted quoted prices 3	Equity securities Level 2 Observable data 1,413	Equity securities Level 3 Non observable data 473
Debt securities	Debt securities Balance sheet value 42,954	Debt securities Fair value 42,954	Debt securities Level 1 Unadjusted quoted prices 2,607	Debt securities Level 2 Observable data 40,225	Debt securities Level 3 Non observable data 122
Hedging derivatives	Hedging derivatives Balance sheet value 9,910	Hedging derivatives Fair value 9,910	Hedging derivatives Level 1 Unadjusted quoted prices 153	Hedging derivatives Level 2 Observable data 9,757	Hedging derivatives Level 3 Non observable data -
Trading derivatives	Trading derivatives Balance sheet value 20,061	Trading derivatives Fair value 20,061	Trading derivatives Level 1 Unadjusted quoted prices 249	Trading derivatives Level 2 Observable data 19,349	Trading derivatives Level 3 Non observable data 463
Cash equivalents	Cash equivalents Balance sheet value 741	Cash equivalents Fair value 741	Cash equivalents Level 1 Unadjusted quoted prices 34	Cash equivalents Level 2 Observable data 707	Cash equivalents Level 3 Non observable data -
FINANCIAL ASSETS CARRIED AT FAIR VALUE	FINANCIAL ASSETS CARRIED AT FAIR VALUE Balance sheet value 75,555	FINANCIAL ASSETS CARRIED AT FAIR VALUEFair value75,555	FINANCIAL ASSETS CARRIED AT FAIR VALUELevel 1 Unadjusted quoted prices3,046	FINANCIAL ASSETS CARRIED AT FAIR VALUELevel 2 Observable data71,451	FINANCIAL ASSETS CARRIED AT FAIR VALUELevel 3 Non observable data1,058
Receivables from the NLF	Receivables from the NLF Balance sheet value 15,986	Receivables from the NLF Fair value 15,986	Receivables from the NLF Level 1 Unadjusted quoted prices -	Receivables from the NLF Level 2 Observable data 15,986	Receivables from the NLF Level 3 Non observable data -
Other loans and financial receivables	Other loans and financial receivables Balance sheet value 4,746	Other loans and financial receivables Fair value 4,746	Other loans and financial receivables Level 1 Unadjusted quoted prices -	Other loans and financial receivables Level 2 Observable data 4,746	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 20,732	FINANCIAL ASSETS CARRIED AT AMORTISED COSTFair value20,732	FINANCIAL ASSETS CARRIED AT AMORTISED COSTLevel 1 Unadjusted quoted prices-	FINANCIAL ASSETS CARRIED AT AMORTISED COSTLevel 2 Observable data20,732	FINANCIAL ASSETS CARRIED AT AMORTISED COSTLevel 3 Non observable data-
Hedging derivatives	Hedging derivatives Balance sheet value 10,124	Hedging derivatives Fair value 10,124	Hedging derivatives Level 1 Unadjusted quoted prices 4	Hedging derivatives Level 2 Observable data 10,120	Hedging derivatives Level 3 Non observable data -
Trading derivatives	Trading derivatives Balance sheet value 22,027	Trading derivatives Fair value 22,027	Trading derivatives Level 1 Unadjusted quoted prices 322	Trading derivatives Level 2 Observable data 21,216	Trading derivatives Level 3 Non observable data 489
FINANCIAL LIABILITIES CARRIED AT FAIR VALUE	FINANCIAL LIABILITIES CARRIED AT FAIR VALUE Balance sheet value 32,151	FINANCIAL LIABILITIES CARRIED AT FAIR VALUEFair value32,151	FINANCIAL LIABILITIES CARRIED AT FAIR VALUELevel 1 Unadjusted quoted prices326	FINANCIAL LIABILITIES CARRIED AT FAIR VALUELevel 2 Observable data31,336	FINANCIAL LIABILITIES CARRIED AT FAIR VALUELevel 3 Non observable data489
Loans and other financial liabilities	Loans and other financial liabilities Balance sheet value 69,406	Loans and other financial liabilities Fair value 78,114	Loans and other financial liabilities Level 1 Unadjusted quoted prices -	Loans and other financial liabilities Level 2 Observable data 78,114	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 69,406	FINANCIAL LIABILITIES CARRIED AT AMORTISED COSTFair value78,114	FINANCIAL LIABILITIES CARRIED AT AMORTISED COSTLevel 1 Unadjusted quoted prices-	FINANCIAL LIABILITIES CARRIED AT AMORTISED COSTLevel 2 Observable data78,114	FINANCIAL LIABILITIES CARRIED AT AMORTISED COSTLevel 3 Non observable data-

Level 3 debt and equity securities are principally non-consolidated investments carried at historical value

At 31 December 2020

(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 1,563	Equity securities Fair value 1,563	Equity securities Level 1 Unadjusted quoted prices 24	Equity securities Level 2 Observable data 1,121	Equity securities Level 3 Non-observable data 418
Debt securities	Debt securities Balance sheet value 42,802	Debt securities Fair value 42,802	Debt securities Level 1 Unadjusted quoted prices 2,423	Debt securities Level 2 Observable data 40,337	Debt securities Level 3 Non-observable data 42
Hedging derivatives	Hedging derivatives Balance sheet value 5,439	Hedging derivatives Fair value 5,439	Hedging derivatives Level 1 Unadjusted quoted prices 59	Hedging derivatives Level 2 Observable data 5,372	Hedging derivatives Level 3 Non-observable data 8
Trading derivatives	Trading derivatives Balance sheet value 5,038	Trading derivatives Fair value 5,038	Trading derivatives Level 1 Unadjusted quoted prices 289	Trading derivatives Level 2 Observable data 4,057	Trading derivatives Level 3 Non-observable data 692
Cash equivalents	Cash equivalents Balance sheet value 438	Cash equivalents Fair value 438	Cash equivalents Level 1 Unadjusted quoted prices 343	Cash equivalents Level 2 Observable data 95	Cash equivalents Level 3 Non-observable data -
FINANCIAL ASSETS CARRIED AT FAIR VALUE	FINANCIAL ASSETS CARRIED AT FAIR VALUEBalance sheet value55,280	FINANCIAL ASSETS CARRIED AT FAIR VALUEFair value55,280	FINANCIAL ASSETS CARRIED AT FAIR VALUELevel 1 Unadjusted quoted prices3 138	FINANCIAL ASSETS CARRIED AT FAIR VALUELevel 2 Observable data50,982	FINANCIAL ASSETS CARRIED AT FAIR VALUELevel 3 Non-observable data1,160
Receivables from the NLF	Receivables from the NLF Balance sheet value 13,034	Receivables from the NLF Fair value 13,034	Receivables from the NLF Level 1 Unadjusted quoted prices -	Receivables from the NLF Level 2 Observable data 13,034	Receivables from the NLF Level 3 Non-observable data -
Other loans and financial receivables	Other loans and financial receivables Balance sheet value 3,271	Other loans and financial receivables Fair value 3,271	Other loans and financial receivables Level 1 Unadjusted quoted prices -	Other loans and financial receivables Level 2 Observable data 3,271	Other loans and financial receivables Level 3 Non-observable data -
FINANCIAL ASSETS CARRIED AT AMORTISED COST	FINANCIAL ASSETS CARRIED AT AMORTISED COSTBalance sheet value16,305	FINANCIAL ASSETS CARRIED AT AMORTISED COSTFair value16,305	FINANCIAL ASSETS CARRIED AT AMORTISED COSTLevel 1 Unadjusted quoted prices-	FINANCIAL ASSETS CARRIED AT AMORTISED COSTLevel 2 Observable data16,305	FINANCIAL ASSETS CARRIED AT AMORTISED COSTLevel 3 Non-observable data-
Hedging derivatives	Hedging derivatives Balance sheet value 2,792	Hedging derivatives Fair value 2,792	Hedging derivatives Level 1 Unadjusted quoted prices 1	Hedging derivatives Level 2 Observable data 2,791	Hedging derivatives Level 3 Non-observable data -
Trading derivatives	Trading derivatives Balance sheet value 5,125	Trading derivatives Fair value 5,125	Trading derivatives Level 1 Unadjusted quoted prices 290	Trading derivatives Level 2 Observable data 4,645	Trading derivatives Level 3 Non-observable data 190
FINANCIAL LIABILITIES CARRIED AT FAIR VALUE	FINANCIAL LIABILITIES CARRIED AT FAIR VALUEBalance sheet value7,917	FINANCIAL LIABILITIES CARRIED AT FAIR VALUEFair value7,917	FINANCIAL LIABILITIES CARRIED AT FAIR VALUELevel 1 Unadjusted quoted prices291	FINANCIAL LIABILITIES CARRIED AT FAIR VALUELevel 2 Observable data7,436	FINANCIAL LIABILITIES CARRIED AT FAIR VALUELevel 3 Non-observable data190
Loans and other financial liabilities	Loans and other financial liabilities Balance sheet value 65,591	Loans and other financial liabilities Fair value 75,680	Loans and other financial liabilities Level 1 Unadjusted quoted prices -	Loans and other financial liabilities Level 2 Observable data 75,680	Loans and other financial liabilities Level 3 Non-observable data -
FINANCIAL LIABILITIES CARRIED AT AMORTISED COST	FINANCIAL LIABILITIES CARRIED AT AMORTISED COSTBalance sheet value65,591	FINANCIAL LIABILITIES CARRIED AT AMORTISED COSTFair value75,680	FINANCIAL LIABILITIES CARRIED AT AMORTISED COSTLevel 1 Unadjusted quoted prices-	FINANCIAL LIABILITIES CARRIED AT AMORTISED COSTLevel 2 Observable data75,680	FINANCIAL LIABILITIES CARRIED AT AMORTISED COSTLevel 3 Non-observable data-

Level 3 debt and equity securities are principally non-consolidated investments carried at historical value.

Universal Registration Document 2021

6. Financial statements

18.5 Fair value of financial instruments

Accounting principles and methods

At 31 December 2021

At 31 December 2020