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Derivative financial instruments and market risks | 12 Months Ended
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Dec. 31, 2023
Financial Instruments [Abstract] |
Derivative financial instruments and market risks | Derivative financial instruments and market risks The table below shows the fair value of derivative instruments as of December 31, 2023, 2022 and 2021:
(€ million) | Non-current assets | Current assets | Total assets | Non-current liabilities | Current liabilities | Total liabilities | Market value at December 31, 2023 (net) | Market value at December 31, 2022 (net) | Market value at December 31, 2021 (net)
Currency derivatives | — |  | 201 |  | 201 |  | — |  | (126) |  | (126) |  | 75 |  | 112 |  | 222 |
operating | — |  | 67 |  | 67 |  | — |  | (45) |  | (45) |  | 22 |  | 22 |  | 10 |
financial | — |  | 134 |  | 134 |  | — |  | (81) |  | (81) |  | 53 |  | 90 |  | 212 |
Interest rate derivatives | — |  | — |  | — |  | (164) |  | (1) |  | (165) |  | (165) |  | (232) |  | 7 |
Equity derivatives | — |  | — |  | — |  | — |  | — |  | — |  | — |  | — |  | (16) |
Total | — |  | 201 |  | 201 |  | (164) |  | (127) |  | (291) |  | (90) |  | ( 120) | 213 |
Objectives of the use of derivative financial instruments Sanofi uses derivative instruments to manage operating exposure to movements in exchange rates, and financial exposure to movements in interest rates and exchange rates (where the debt or receivable is not contracted in the functional currency of the borrower or lender entity). On occasion, Sanofi uses equity derivatives in connection with the management of its portfolio of equity investments. Sanofi performs periodic reviews of its transactions and contractual agreements in order to identify any embedded derivatives, which are accounted for separately from the host contract in accordance with IFRS 9. Sanofi had no material embedded derivatives as of December 31, 2023, 2022 or 2021. Counterparty risk For a description of counterparty risk, refer to “Item 11. — Quantitative and Qualitative Disclosures about Market Risk”. a) Currency derivatives used to manage operating risk exposures For a description of Sanofi’s objectives, policies and procedures for the management of operating foreign exchange risk, refer to “Item 11. — Quantitative and Qualitative Disclosures about Market Risk”. The table below shows operating currency hedging instruments in place as of December 31, 2023, with the notional amount translated into euros at the relevant closing exchange rate:
December 31, 2023 |  |  | Of which derivatives designated as cash flow hedges | Of which derivatives not eligible for hedge accounting
(€ million) | Notional amount | Fair value | Notional amount | Fair value | Of which recognized in equity | Notional amount | Fair value
Forward currency sales | 6,112 |  | 30 |  | — |  | — |  | — |  | 6,112 |  | 30 |
of which US dollar | 2,981 |  | 35 |  | — |  | — |  | — |  | 2,981 |  | 35 |
of which Chinese yuan renminbi | 788 |  | 7 |  | — |  | — |  | — |  | 788 |  | 7 |
of which Singapore dollar | 419 |  | (1) |  | — |  | — |  | — |  | 419 |  | (1) |
of which Japanese yen | 339 |  | (6) |  | — |  | — |  | — |  | 339 |  | (6) |
of which Korean won | 192 |  | (4) |  | — |  | — |  | — |  | 192 |  | (4) |
Forward currency purchases | 4,246 |  | (8) |  | — |  | — |  | — |  | 4,246 |  | (8) |
of which US dollar | 2,022 |  | (12) |  | — |  | — |  | — |  | 2,022 |  | (12) |
of which Singapore dollar | 876 |  | — |  | — |  | — |  | — |  | 876 |  | — |
of which Chinese yuan renminbi | 364 |  | (1) |  | — |  | — |  | — |  | 364 |  | (1) |
of which Korean won | 137 |  | 2 |  | — |  | — |  | — |  | 137 |  | 2 |
of which Japanese yen | 123 |  | 1 |  | — |  | — |  | — |  | 123 |  | 1 |
Total | 10,358 |  | 22 |  | — |  | — |  | — |  | 10,358 |  | 22 |
The table below shows operating currency hedging instruments in place as of December 31, 2022, with the notional amount translated into euros at the relevant closing exchange rate:
December 31, 2022 |  |  | Of which derivatives designated as cash flow hedges | Of which derivatives not eligible for hedge accounting
(€ million) | Notional amount | Fair value | Notional amount | Fair value | Of which recognized in equity | Notional amount | Fair value
Forward currency sales | 5,403 |  | 49 |  | — |  | — |  | — |  | 5,403 |  | 49 |
of which US dollar | 2,732 |  | 56 |  | — |  | — |  | — |  | 2,732 |  | 56 |
of which Chinese yuan renminbi | 576 |  | 2 |  | — |  | — |  | — |  | 576 |  | 2 |
of which Japanese yen | 240 |  | (5) |  | — |  | — |  | — |  | 240 |  | (5) |
of which Singapore dollar | 180 |  | 1 |  | — |  | — |  | — |  | 180 |  | 1 |
of which Korean won | 179 |  | (14) |  | — |  | — |  | — |  | 179 |  | (14) |
Forward currency purchases | 3,459 |  | (27) |  | — |  | — |  | — |  | 3,459 |  | (27) |
of which US dollar | 2,047 |  | (21) |  | — |  | — |  | — |  | 2,047 |  | (21) |
of which Singapore dollar | 375 |  | (7) |  | — |  | — |  | — |  | 375 |  | (7) |
of which Chinese yuan renminbi | 142 |  | — |  | — |  | — |  | — |  | 142 |  | — |
of which Korean won | 130 |  | 4 |  | — |  | — |  | — |  | 130 |  | 4 |
of which Taiwan dollar | 84 |  | — |  | — |  | — |  | — |  | 84 |  | — |
Total | 8,862 |  | 22 |  | — |  | — |  | — |  | 8,862 |  | 22 |
The table below shows operating currency hedging instruments in place as of December 31, 2021, with the notional amount translated into euros at the relevant closing exchange rate:
December 31, 2021 |  |  | Of which derivatives designated as cash flow hedges | Of which derivatives not eligible for hedge accounting
(€ million) | Notional amount | Fair value | Notional amount | Fair value | Of which recognized in equity | Notional amount | Fair value
Forward currency sales | 3,912 |  | 4 |  | – | – | – | 3,912 |  | 4 |
of which US dollar | 1,392 |  | 5 |  | – | – | – | 1,392 |  | 5 |
of which Chinese yuan renminbi | 665 |  | (2) |  | – | – | – | 665 |  | (2) |
of which Singapore dollar | 355 |  | (1) |  | – | – | – | 355 |  | (1) |
of which Japanese yen | 199 |  | 3 |  | – | – | – | 199 |  | 3 |
of which Taiwan dollar | 122 |  | (1) |  | – | – | – | 122 |  | (1) |
Forward currency purchases | 2,374 |  | 6 |  | – | – | – | 2,374 |  | 6 |
of which US dollar | 833 |  | (2) |  | – | – | – | 833 |  | (2) |
of which Singapore dollar | 696 |  | 7 |  | – | – | – | 696 |  | 7 |
of which Chinese yuan renminbi | 255 |  | — |  | – | – | – | 255 |  | — |
of which Hungarian forint | 77 |  | — |  | – | – | – | 77 |  | — |
of which Russian rouble | 72 |  | (1) |  | – | – | – | 72 |  | (1) |
Total | 6,286 |  | 10 |  | – | – | – | 6,286 |  | 10 |
b) Currency and interest rate derivatives used to manage financial exposure For a description of Sanofi’s objectives, policies and procedures for the management of financial foreign exchange risk and interest rate risk, refer to “Item 11. — Quantitative and Qualitative Disclosures about Market Risk”. The table below shows financial currency hedging instruments in place, with the notional amount translated into euros at the relevant closing exchange rate:
| 2023 | 2022 | 2021
(€ million) | Notional amount |  | Fair value | Expiry | Notional amount | Fair value | Expiry | Notional amount | Fair value | Expiry
Forward currency sales | 10,279 |  |  | 111 |  |  | 7,559 |  | 66 |  |  | 7,655 |  | 15 |  |
of which US dollar | 6,628 |  | (a) | 101 |  | 2024 | 6,114 |  | 59 |  | 2023 | 5,384 |  | 23 |  | 2022
of which Singapore dollar | 1,556 |  |  | 6 |  | 2024 | — |  | — |  |  | — |  | — |  |
of which Chinese yuan renminbi | 513 |  |  | 4 |  | 2024 | 203 |  | 2 |  | 2023 | 70 |  | (2) |  | 2022
Forward currency purchases | 7,055 |  |  | (58) |  |  | 4,997 |  | 24 |  |  | 9,293 |  | 197 |  |
of which US dollar | 3,073 |  | (b) (c) | (52) |  | 2024 | 2,011 |  | (4) |  | 2023 | 4,816 |  | 128 |  | 2022
of which Singapore dollar | 2,696 |  |  | (10) |  | 2024 | 2,154 |  | 22 |  | 2023 | 2,910 |  | 75 |  | 2022
of which Japanese yen | 341 |  |  | 3 |  | 2024 | 205 |  | 4 |  | 2023 | 235 |  | (2) |  | 2022
Total | 17,334 |  |  | 53 |  |  | 12,556 |  | 90 |  |  | 16,948 |  | 212 |  |
(a) Includes forward sales with a notional amount of $3,615 million expiring in 2024, designated as a hedge of Sanofi’s net investment in Bioverativ. As of December 31, 2023, the fair value of these forward contracts represented an asset of €54 million; the opposite entry was recognized in "Other comprehensive income", with the impact on financial income and expense being immaterial. (b) Includes forward purchases with a notional amount of $1,000 million expiring in 2024, designated as a fair value hedge of the exposure of $1,000 million of bond issues to fluctuations in the EUR/USD spot rate. As of December 31, 2023, the fair value of the contracts was a liability of €31 million, the opposite entry for €2.7 million of which was credited to “Other comprehensive income” under the cost of hedging accounting treatment. (c) Includes forward purchases with a notional amount of $1,044 million expiring in 2024, designated as a fair value hedge of the exposure of an equivalent amount of commercial paper. As of December 31, 2023, the fair value of the swaps was a liability of €3 million, the opposite entry for €0.7 million of which was credited to “Other comprehensive income” under the cost of hedging accounting treatment. The table below shows interest rate hedging instruments in place as of December 31, 2023:
| Notional amounts by expiry date as of December 31, 2023 |  | Of which designated as fair value hedges | Of which designated as cash flow hedges
(€ million) | 2024 | 2025 | 2026 | 2027 | 2028 | 2029 and later | Total | Fair value | Notional amount | Fair value | Notional amount | Fair value | Of which recognized in equity
Interest rate swaps |  |  |  |  |  |  |  |  |  |  |  |  |
pay capitalized SOFR USD/receive 1.03% | — |  | — |  | — |  | — |  | 453 |  | — |  | 453 |  | (49) |  | 453 |  | (49) |  | — |  | — |  | — |
pay capitalized SOFR USD/receive 1.32% | — |  | — |  | — |  | — |  | 453 |  | — |  | 453 |  | (43) |  | 453 |  | (43) |  | — |  | — |  | — |
pay capitalized Ester/receive 0.69% | — |  | 850 |  | — |  | — |  | — |  | — |  | 850 |  | (28) |  | 850 |  | (28) |  | — | — | —
pay capitalized Ester/receive 0.92% | — |  | — |  | — |  | — |  | — |  | 650 |  | 650 |  | (44) |  | 650 |  | (44) |  | — | — | —
pay capitalized Ester / receive 3.43% | 999 |  | — |  | — |  | — |  | — |  | — |  | 999 |  | (1) |  | 999 |  | (1) |  | — | — | —
Total | 999 |  | 850 |  | — |  | — |  | 906 |  | 650 |  | 3,405 |  | (165) |  | 3,405 |  | (165) |  | — |  | — |  | — |
The table below shows interest rate hedging instruments in place as of December 31, 2022:
| Notional amounts by expiry date as of December 31, 2022 |  | Of which designated as fair value hedges | Of which designated as cash flow hedges
(€ million) | 2023 | 2024 | 2025 | 2026 | 2027 | 2028 and later | Total | Fair value | Notional amount | Fair value | Notional amount | Fair value | Of which recognized in equity
Interest rate swaps |  |  |  |  |  |  |  |  |  |  |  |  |
pay capitalized SOFR USD/receive 1.03% | — |  | — |  | — |  | — |  | — |  | 467 |  | 467 |  | (62) |  | 467 |  | (62) |  | — |  | — |  | — |
pay capitalized SOFR USD/receive 1.32% | — |  | — |  | — |  | — |  | — |  | 467 |  | 467 |  | (56) |  | 467 |  | (56) |  | — |  | — |  | — |
pay capitalized Ester/receive 0.69% | — |  | — |  | 850 |  | — |  | — |  | — |  | 850 |  | (43) |  | 850 |  | (43) |  | — |  | — |  | — |
pay capitalized Ester/receive 0.92% | — |  | — |  | — |  | — |  | — |  | 650 |  | 650 |  | (71) |  | 650 |  | (71) |  | — |  | — |  | — |
Total | — |  | — |  | 850 |  | — |  | — |  | 1,584 |  | 2,434 |  | (232) |  | 2,434 |  | (232) |  | — |  | — |  | — |
The table below shows interest rate hedging instruments in place as of December 31, 2021:
| Notional amounts by expiry date as of December 31, 2021 |  | Of which designated as fair value hedges | Of which designated as cash flow hedges
(€ million) | 2022 | 2023 | 2024 | 2025 | 2026 | 2027 and later | Total | Fair value | Notional amount | Fair value | Notional amount | Fair value | Of which recognized in equity
Interest rate swaps |  |  |  |  |  |  |  |  |  |  |  |  |
pay capitalized EONIA/receive 0.06% | 2,000 |  | — |  | — |  | — |  | — |  | — |  | 2,000 |  | 10 |  | 2,000 |  | 10 |  | — |  | — |  | — |
pay -0.57%/receive capitalized EONIA | 600 |  | — |  | — |  | — |  | — |  | — |  | 600 |  | 1 |  | — |  | — |  | 600 |  | 1 |  | — |
pay capitalized USD SOFR/receive 1.03% | — |  | — |  | — |  | — |  | — |  | 440 |  | 440 |  | (5) |  | 440 |  | (5) |  | — |  | — |  | — |
pay capitalized USD SOFR/receive 1.32% | — |  | — |  | — |  | — |  | — |  | 440 |  | 440 |  | 3 |  | 440 |  | 3 |  | — |  | — |  | — |
receive capitalized Eonia/pay 1.48%(a) | 42 |  | 57 |  | — |  | — |  | — |  | — |  | 99 |  | (3) |  | 99 |  | (3) |  | — |  | — |  | — |
Total | 2,642 |  | 57 |  | — |  | — |  | — |  | 880 |  | 3,579 |  | 7 |  | 2,979 |  | 6 |  | 600 |  | 1 |  | — |
(a) These interest rate swaps hedge fixed-rate bonds with a nominal of €99 million held in a Professional Specialized Investment Fund dedicated to Sanofi and recognized within “Long-term loans and advances and other non-current receivables” (see Note D.7.). c) Actual or potential effects of netting arrangements The table below is prepared in accordance with the accounting policies described in Note B.8.3.:
(€ million) | 2023 | 2022 | 2021
Derivative financial assets | Derivative financial liabilities | Derivative financial assets | Derivative financial liabilities | Derivative financial assets | Derivative financial liabilities
Gross carrying amounts before offset (a) | 201 |  | (291) |  | 206 |  | (326) |  | 298 |  | (85) |
Gross amounts offset (in accordance with IAS 32) (b) | — |  | — |  | — |  | — |  | — |  | — |
Net amounts as reported in the balance sheet (a) - (b) = (c) | 201 |  | (291) |  | 206 |  | (326) |  | 298 |  | (85) |
Effects of other netting arrangements (not fulfilling the IAS 32 criteria for offsetting) (d) | — |  | — |  |  |  |  |
Financial instruments | (171) |  | 171 |  | (160) |  | 160 |  | (67) |  | 67 |
Fair value of financial collateral | N/A | N/A | N/A | N/A | N/A | N/A
Net exposure (c) + (d) | 30 |  | (120) |  | 46 |  | (166) |  | 231 |  | (18) |

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