Euronext - 2020 Universal Registration Document

Financial Statements 8 Notes to the Consolidated Financial Statements

35.2

Fair Value Measurement

35.2.1 Fair Value Hierarchy The table below analyses financial instrument carried at fair value, by valuation method. The different levels have been defined as follows:

n level 1: quoted prices in active markets for identical assets or liabilities; n level 2: inputs that are based on observable market data, directly or indirectly; n level 3: unobservable inputs.

Level 1

Level 2

Level 3

Total

In thousands of euros

As at 31 December 2020 Assets Financial assets at FVOCI Unlisted equity securities

–

–

204,506

204,506

Quoted debt instruments

52,622

–

–

52,622

Financial assets at FVPL

–

Hedging derivatives – interest rate swaps

–

23,735

–

23,735

TOTAL ASSETS

52,622

23,735

204,506

280,863

Liabilities Financial liabilities at FVPL Hedging derivatives – foreign exchange forward contract – GBP (a)

–

375

–

375

Contingent consideration payables

–

–

521

521

TOTAL LIABILITIES

–

375

521

896

As at 31 December 2019 Assets Financial assets at FVOCI

Unlisted equity securities

–

–

197,821

197,821

Financial assets at FVPL

–

Hedging derivatives – interest rate swaps

–

19,353

–

19,353

TOTAL ASSETS

–

19,353

197,821

217,174

Liabilities Financial liabilities at FVPL Hedging derivatives – foreign exchange forward contract – GBP

–

141

–

141

Contingent consideration payables

–

–

8,510

8,510

Redemption liability

–

–

22,165

22,165

TOTAL LIABILITIES

–

141

30,675

30,816

(a) Including foreign exchange spot transactions of €77k in Nord Pool (see Note 23).

The Group’s policy is to recognise transfers into and transfers out of fair value hierarchy levels at the end of the reporting period. There were no transfers between the levels of fair value hierarchy in 2020 and 2019. The Group did not measure any financial assets or financial liabilities at fair value on a non-recurring basis as at 31 December 2020.

35.2.2 Fair Value Measurements Using Quoted Prices in Active Markets for Identical Assets or Liabilities (level 1) The quoted debt instruments primarily relate to the investments in listed bonds in VP Securities AS. Fair values of these debt instruments are determined by reference to published price quotations in an active market.

35.2.3 Fair Value Measurements Using Observable Market Data, Directly or Indirectly (level 2) The fair value of interest rate swaps is calculated as the present value of the estimated future net cash flows based on observable yield curves at the reporting date. The fair value of foreign exchange forwards is calculated as the present value of future net cash flows based on the forward exchange rates at the balance sheet date.

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2020 UNIVERSAL REGISTRATION DOCUMENT