Euronext // 2021 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 2021 Assets Financial assets at FVOCI

Unlisted equity securities

—

—

207,693

207,693

Quoted debt instruments

157,874

—

—

157,874

Quoted debt instruments of CCP clearing business

4,460,408

—

—

4,460,408

Financial assets at FVPL

Hedging derivatives – interest rate swaps (a)

—

11,913

—

11,913

Derivative instruments of CCP clearing business

11,123,682

—

—

11,123,682

Other instruments of CCP clearing business

5,316

—

—

5,316

TOTAL ASSETS

15,747,280

11,913

207,693

15,966,886

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

—

—

—

—

Contingent consideration payables

—

—

—

—

Derivative instruments of CCP clearing business

11,123,682

—

—

11,123,682

Other instruments of CCP clearing business

4,126

—

—

4,126

TOTAL LIABILITIES

11,127,808

—

—

11,127,808

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 (b)

—

375

—

375

Contingent consideration payables

—

—

521

521

TOTAL LIABILITIES

—

375

521

896

(a) Including foreign exchange spot transactions of €12k in Nord Pool. (b) Including foreign exchange spot transactions of €77k in Nord Pool.

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 2021 and 2020. The Group did not measure any financial assets or financial liabilities at fair value on a non-recurring basis as at 31 December 2021.

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2021 UNIVERSAL REGISTRATION DOCUMENT