48. Assets and liabilities measured at fair value

The Group determines fair value in accordance with IFRS 13 whenever such measurement is required by the IFRS as a recognition or measurement criterion.
Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability, in an orderly transaction, between market participants, at the measurement date (i.e. an exit price).
The best proxy of fair value is market price, i.e. the current publically available price actually used on a liquid and active market.
The fair value of assets and liabilities is classified in accordance with the three-level hierarchy described below, depending on the inputs and valuation techniques used in determining their fair value:

  • Level 1, where the fair value is determined on basis of quoted prices (unadjusted) in active markets for identical assets or liabilities that the entity can access at the measurement date;
  • Level 2, where the fair value is determined on basis of inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly (such as prices) or indirectly (derived from prices);
  • Level 3, where the fair value is determined on the basis of unobservable inputs.

This note also provides detailed disclosures concerning the valuation techniques and inputs used to perform these measurements.

To that end:

  • recurring fair value measurements of assets or liabilities are those required or permitted by the IFRS in the statement of financial position at the close of each period;
  • non-recurring fair value measurements are those required or permitted by the IFRS in the statement of financial position in particular circumstances.

For general information or specific disclosures on the accounting treatment of these circumstances, please see note 2 Accounting policies.

48.1 Assets measured at fair value in the statement of financial position

The following table shows, for each class of assets measured at fair value on a recurring or non-recurring basis in the statement of financial position, the fair value measurement at the end of the reporting period and the level in the fair value hierarchy into which the fair value measurements of those assets are classified.

Millions of euro     Non-current assets   Current assets
  Notes Fair value Level 1 Level 2 Level 3 Fair value Level 1 Level 2 Level 3
Equity investments in other companies at FVOCI 27 40 4 13 23 - - - -
Securities at FVOCI 27.1, 28.1 408 408 - - 67 67 - -
Equity investments in other companies at FVTPL 27 30 21 - 9 - - - -
Financial assets from service concession arrangements at FVTPL 27 2,057 - 2,057 - - - - -
Loan assets and other financial assets measured at fair value 27 - - - - 301 226 75 -
Fair value hedge derivatives:                  
- on interest rates 47 22 - 22 - - - - -
- on exchange rates 47 28 - 28 - 28 - 28 -
Cash flow hedge derivatives:                  
- on interest rates 47 21 - 21 - - - - -
- on exchange rates 47 685 - 685 - 51 - 51 -
- on commodities 47 428 102 282 44 627 279 333 15
Trading derivatives:                  
- on interest rates 47 2 - 2 - - - - -
- on exchange rates 47 4 - 4 - 79 - 79 -
- on commodities 47 46 5 40 2 2,686 1,637 1,049 -
Inventories measured at fair value 47 - - - - 55 41 2 12
Contingent consideration 29, 30 21 - 8 13 23 - 11 12


The fair value of “equity investments in other companies at FVOCI” is determined for listed companies on the basis of the quoted price at the close of the year, while that for unlisted companies is based on a reliable valuation of the relevant assets and liabilities.

“Financial assets from service concession arrangements at FVTPL” concern electricity distribution operations in Brazil, mainly by Enel Distribuição Rio de Janeiro, Enel Distribuição Ceará, and Enel Distribuição Goiás, as well as the generation plant of PH Chucas in Costa Rica, and are accounted for in accordance with IFRIC 12. Fair value was estimated as the net replacement cost based on the most recent rate information available and on the general price index for the Brazilian market.

“Loan assets and other financial assets measured at fair value” essentially regard investments of liquidity. Their fair value is determined using Level 1 or Level 2 market inputs. The fair value of derivative contracts is determined using the official prices for instruments traded on regulated markets. The fair value of instruments not listed on a regulated market is determined using valuation methods appropriate for each type of financial instrument and market data as of the end of the reporting period (such as interest rates, exchange rates, volatility), discounting expected future cash flows on the basis of the market yield curve and translating amounts in currencies other than the euro using exchange rates provided by the World Markets Refinitiv (WMR) Company.
Derivatives on interest rates and exchange rates are all measured using Level 2 inputs.
The fair value of derivatives on commodities is almost always measured using Level 1 or Level 2 inputs, as the determination is based on market inputs as these contracts are entered into with exchange counterparties, leading sector operators or financial institutions.
Marginal exceptions for both cash flow hedges and trading transactions include certain derivatives relating to weather derivatives, which are measured on the basis of certified historical data for the underlying variables as well as certain long-term financial contracts (virtual power purchase agreements, or VPPAs), for which internal measurement models were also used in part in order to measure these instruments over longer time horizons, given the illiquidity of the underlying variables.
In accordance with the IFRS, the Group assess credit risk, both of the counterparty (Credit Valuation Adjustment or CVA) and its own (Debit Valuation Adjustment or DVA), in order to adjust the fair value of financial instruments for the corresponding amount of counterparty risk. More specifically, the Group measures CVA/DVA using a Potential Future Exposure valuation technique for the net exposure of the position and subsequently allocating the adjustment to the individual financial instruments that make up the overall portfolio. All of the inputs used in this technique are observable on the market.

48.2 Assets not measured at fair value in the statement of financial position

For each class of assets not measured at fair value on a recurring basis but whose fair value must be reported, the following table reports the fair value at the end of the year and the level in the fair value hierarchy into which the fair value measurements of those assets are classified.

Millions of euro   Non-current assets Current assets
  Notes Fair value Level 1 Level 2 Level 3 Fair value Level 1 Level 2 Level 3
Investment property 20 148 - - 148 - - - -
Inventories 31 - - - - 52 - - 52


The table reports the fair value of investment property and inventories of real estate not used in the business in the amount of €148 million and €52 million respectively. The amounts were calculated with the assistance of appraisals conducted by independent experts, who used different methods depending on the specific assets involved.

48.3 Liabilities measured at fair value in the statement of financial position

The following table reports for each class of liabilities measured at fair value on a recurring or non-recurring basis in the statement of financial position the fair value measurement at the end of the reporting period and the level in the fair value hierarchy into which the fair value measurements are classified.

Millions of euro   Non-current liabilities Current liabilities
  Notes Fair value Level 1 Level 2 Level 3 Fair value Level 1 Level 2 Level 3
Cash flow hedge derivatives:                  
- on interest rates 47 938 - 938 - 2 - 2 -
- on exchange rates 47 2,491 - 2,491 - 263 - 263 -
- on commodities 47 148 29 76 43 379 75 302 2
Trading derivatives:                  
- on interest rates 47 4 - 4 - 88 - 88 -
- on exchange rates 47 3 - 3.0 - 41 - 41 -
- on commodities 47 22 3 19 - 2,758 1,629 1,122 7
Contingent consideration 39, 40 41 - - 41 53 - 51 2


Contingent consideration mainly regards a number of equity investments held by the Group in North America and Greece, whose fair value was determined on the basis of the contractual terms and conditions.

48.4 Liabilities not measured at fair value in the statement of financial position

For each class of liabilities not measured at fair value in the statement of financial position but whose fair value must be reported, the following table reports the fair value at the end of the period and the level in the fair value hierarchy into which the fair value measurements of those liabilities are classified.

Millions of euro      
  Notes Fair value Level 1 Level 2 Level 3
Bonds:          
- fixed rate 44.3.1 43,223  39,722  3,501 
- floating rate 44.3.1 3,765  147  3,618 
Bank borrowings:          
- fixed rate 44.3.1 833  833 
- floating rate 44.3.1 9,259  9,259 
Non-bank borrowings:          
- fixed rate 44.3.1 2,609  2,609 
- floating rate 44.3.1 249  249 
Total   59,938  39,869  20,069 


For listed debt instruments, the fair value is given by official prices. For unlisted instruments the fair value is determined using appropriate valuation techniques for each category of financial instrument and market data at the close of the year, including the credit spreads of Enel.