10.1 FAIR VALUE OF FINANCIAL ASSETS AND LIABILITIES RECOGNISED AT AMORTISED COST IFRS 7 requires disclosures about financial instruments that are not carried at fair value. The amounts presented in the "balance sheet value" of the financial instruments concerned include related receivables and payables and are, for assets, net of impairment. In addition, the balance sheet value of the tables includes the fair value of the hedged portion of micro-hedged items used to hedge fair value (see note 3.5 "Hedge accounting"). However, the carrying amount of the items presented in this table does not include the revaluation difference on portfolios hedged against interest rate risks. In order to be recognised at amortised cost in the balance sheet, debt instruments must satisfy both of the following criteria: - Be managed in a portfolio whose objective is to collect contractual cash flows over the life of the assets and whose sales are strictly controlled and limited; - Entitle the borrower only to repayment of the principal and payments reflecting the time value of money, the credit risk associated with the instrument, the other costs and risks of a conventional loan contract and a reasonable margin, whether the interest rate is fixed or variable (the "Solely Payments of Principal & Interests" or "SPPI" test). In this respect, information on the market value of these instruments should be analysed with particular care: - The values shown represent an estimate of the market value on 31 December 2024. Nevertheless, these market values may be subject to variations depending on market parameters, in particular changes in interest rates and the credit risk quality of counterparties. These fluctuations may lead to a difference, which may be substantial, between the indicative fair value presented in the table below and the derecognition value, particularly at or near maturity compatible with a collection management model in which the financial instruments are classified. Therefore, the difference between the fair value and the carrying amount does not represent a realisable value from a going concern perspective. - Given the management model, which consists of collecting cash flows from the financial instruments in the portfolio to which it belongs, it should be noted that these financial instruments are not managed on the basis of changes in their fair value and that the performance of these assets is assessed on the basis of the contractual cash flows received over the life of the instrument. - The estimation of the indicative fair value of instruments carried at amortised cost is subject to the use of valuation models, particularly for customer loans and receivables and more specifically for those whose valuation is based on unobservable level 3 data. Fair value of financial assets carried at amortised cost in the balance sheet (in thousands of euros) Balance sheet value at 31/12/2024 Fair value at 31/12/2024 Prices quoted on active markets for identical instruments Level 1 Valuation based on observable data Level 2 Valuation based on unobservable data Level 3 Loans and receivables 5,880,971 5,909,745 0 4,234,038 1,675,707 Loans and receivables due from credit institutions 2,353,638 2,354,027 0 2,354,027 0 Loans and receivables due from customers 3,527,333 3,555,718 0 1,880,011 1,675,707 Debt securities 288,369 288,788 288,788 0 0 Total financial assets of which the fair value is indicated 6,169,340 6,198,533 288,788 4,234,038 1,675,707 (in thousands of euros) Balance sheet value at 31/12/2023 Fair value at 31/12/2023 Prices quoted on active markets for identical instruments Level 1 Valuation based on observable data Level 2 Valuation based on unobservable data Level 3 Loans and receivables 6,521,257 6,522,154 0 5,072,943 1,449,211 Loans and receivables due from credit institutions 3,335,808 3,335,808 0 3,335,833 -25 Loans and receivables due from customers 3,185,449 3,186,346 0 1,737,110 1,449,236 Debt securities 32,949 32,971 32,971 0 0 Total financial assets of which the fair value is indicated 6,554,206 6,555,125 32,971 5,072,943 1,449,211 Annual Report 2024 133
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