Universal Registration Document 2022

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 2022

(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 2,597	Equity securities Fair value 2,597	Equity securities Level 1 Unadjusted quoted prices -	Equity securities Level 2 Observable data 2,093	Equity securities Level 3 Non- observable data 504
Debt securities	Debt securities Balance sheet value 44,541	Debt securities Fair value 44,541	Debt securities Level 1 Unadjusted quoted prices 2,849	Debt securities Level 2 Observable data 41,542	Debt securities Level 3 Non- observable data 150
Hedging derivatives	Hedging derivatives Balance sheet value 12,279	Hedging derivatives Fair value 12,279	Hedging derivatives Level 1 Unadjusted quoted prices 188	Hedging derivatives Level 2 Observable data 12,091	Hedging derivatives Level 3 Non- observable data -
Trading derivatives	Trading derivatives Balance sheet value 30,566	Trading derivatives Fair value 30,566	Trading derivatives Level 1 Unadjusted quoted prices 882	Trading derivatives Level 2 Observable data 28,378	Trading derivatives Level 3 Non- observable data 1,306
Cash equivalents	Cash equivalents Balance sheet value 687	Cash equivalents Fair value 687	Cash equivalents Level 1 Unadjusted quoted prices 64	Cash equivalents Level 2 Observable data 623	Cash equivalents Level 3 Non- observable data -
FINANCIAL ASSETS CARRIED AT FAIR VALUE	FINANCIAL ASSETS CARRIED AT FAIR VALUEBalance sheet value90,670	FINANCIAL ASSETS CARRIED AT FAIR VALUEFair value90,670	FINANCIAL ASSETS CARRIED AT FAIR VALUELevel 1 Unadjusted quoted prices3,983	FINANCIAL ASSETS CARRIED AT FAIR VALUELevel 2 Observable data84,727	FINANCIAL ASSETS CARRIED AT FAIR VALUELevel 3 Non- observable data1,960
Receivables from the NLF	Receivables from the NLF Balance sheet value 14,000	Receivables from the NLF Fair value 14,000	Receivables from the NLF Level 1 Unadjusted quoted prices -	Receivables from the NLF Level 2 Observable data 14,000	Receivables from the NLF Level 3 Non- observable data -
Other loans and financial receivables	Other loans and financial receivables Balance sheet value 2,562	Other loans and financial receivables Fair value 2,562	Other loans and financial receivables Level 1 Unadjusted quoted prices -	Other loans and financial receivables Level 2 Observable data 2,562	Other loans and financial receivables Level 3 Non- observable data -
FINANCIAL ASSETS CARRIED AT AMORTISED COST	FINANCIAL ASSETS CARRIED AT AMORTISED COSTBalance sheet value16,562	FINANCIAL ASSETS CARRIED AT AMORTISED COSTFair value16,562	FINANCIAL ASSETS CARRIED AT AMORTISED COSTLevel 1 Unadjusted quoted prices-	FINANCIAL ASSETS CARRIED AT AMORTISED COSTLevel 2 Observable data16,562	FINANCIAL ASSETS CARRIED AT AMORTISED COSTLevel 3 Non- observable data-
Hedging derivatives	Hedging derivatives Balance sheet value 17,965	Hedging derivatives Fair value 17,965	Hedging derivatives Level 1 Unadjusted quoted prices 9	Hedging derivatives Level 2 Observable data 17,913	Hedging derivatives Level 3 Non- observable data 43
Trading derivatives	Trading derivatives Balance sheet value 28,884	Trading derivatives Fair value 28,884	Trading derivatives Level 1 Unadjusted quoted prices 773	Trading derivatives Level 2 Observable data 27,447	Trading derivatives Level 3 Non- observable data 664
FINANCIAL LIABILITIES CARRIED AT FAIR VALUE	FINANCIAL LIABILITIES CARRIED AT FAIR VALUEBalance sheet value46,849	FINANCIAL LIABILITIES CARRIED AT FAIR VALUEFair value46,849	FINANCIAL LIABILITIES CARRIED AT FAIR VALUELevel 1 Unadjusted quoted prices782	FINANCIAL LIABILITIES CARRIED AT FAIR VALUELevel 2 Observable data45,360	FINANCIAL LIABILITIES CARRIED AT FAIR VALUELevel 3 Non- observable data707
Loans and other financial liabilities	Loans and other financial liabilities Balance sheet value 96,053	Loans and other financial liabilities Fair value 93,264	Loans and other financial liabilities Level 1 Unadjusted quoted prices -	Loans and other financial liabilities Level 2 Observable data 93,264	Loans and other financial liabilities Level 3 Non- observable data -
FINANCIAL LIABILITIES CARRIED AT AMORTISED COST	FINANCIAL LIABILITIES CARRIED AT AMORTISED COSTBalance sheet value96,053	FINANCIAL LIABILITIES CARRIED AT AMORTISED COSTFair value93,264	FINANCIAL LIABILITIES CARRIED AT AMORTISED COSTLevel 1 Unadjusted quoted prices-	FINANCIAL LIABILITIES CARRIED AT AMORTISED COSTLevel 2 Observable data93,264	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 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 VALUEBalance sheet value75,555	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 COSTBalance sheet value20,732	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 VALUEBalance sheet value32,151	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 COSTBalance sheet value69,406	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.

Universal Registration Document 2022

Introduction

18.5 Fair value of financial instruments