Fair value of financial liabilities 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 Due to credit institutions 928,383 928,383 928,383 Due to customers 5,467,835 5,467,835 5,467,835 Debt securities Subordinated debt Total financial liabilities of which the fair value is indicated 6,396,218 6,396,218 6,396,218 (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 Due to credit institutions 949,463 949,463 949,463 Due to customers 6,127,147 6,127,147 6,127,147 Debt securities Subordinated debt Total financial liabilities of which the fair value is indicated 7,076,610 7,076,610 7,076,610 10.2 INFORMATION ON FINANCIAL INSTRUMENTS MEASURED AT FAIR VALUE Assessment of the counterparty risk on derivative assets (Credit Valuation Adjustment or CVA) and of the non-performance risk on derivative liabilities (Debit Valuation Adjustment or DVA or own credit risk). The value adjustment related to counterparty quality (Credit Value Adjustment – CVA) aims to include in the valuation of derivative instruments the counterpartyrelated credit risk (risk of non-payment of sums due in the event of default). This adjustment is calculated overall by counterparty according to the profile of future transaction exposure, minus any collateral. This adjustment is always negative and reduces the fair value of financial instrument assets. The value adjustment related to our establishment’s own credit risk (Debt Value Adjustment – DVA) aims to incorporate into the valuation of derivative instruments the risk borne by our counterparties. This adjustment is calculated overall by individual counterparty according to the future transaction exposure profile. This adjustment is always positive and reduces the fair value of financial instrument liabilities. CVA/DVA is calculated on the basis of an estimate of expected losses based on the Probability of Default and Loss Given Default. The chosen methodology maximises use of observable inputs. The Probability of Default is deduced directly from listed CDS, or proxies of listed CDS where these are deemed sufficiently liquid. Breakdown of financial instruments at fair value by valuation model Amounts shown below include the related receivables and liabilities and are net of impairment. CFM Indosuez Wealth Management 134
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