Euronext // 2021 Universal Registration Document

Financial Statements

Notes to the Consolidated Financial Statements

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 investments in listed bonds by VP Securities and CC&G’s own fund investments in government bonds. The quoted debt instruments of CCP clearing business represent an investment portfolio in predominantly government bonds funded by the margins and default funds deposited by members of the CCP clearing business. The derivative instruments of CCP clearing business comprise open transactions not settled at the reporting date on the derivatives market in which CC&G operates as a central counterparty. The other instruments of CCP clearing business include clearing member trading balances for equity and debt instruments that are marked to market on a daily basis.

Fair values of the instruments mentioned above 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.

35.2.4 Fair value measurements using unobservable inputs (level 3) The following table presents the changes in level 3 instruments for the period ended 31 December 2021:

Contingent consideration payables

Unlisted equity securities

Redemption liability

Total

In thousands of euros

As at 31 December 2019

197,820

(8,510)

(22,165)

167,145

Revaluations recognised in OCI

9,226

—

—

9,226

Revaluations recognised in P&L

—

394

(131)

263

Additions

(2,523)

—

—

(2,523)

Payments

—

8,608

22,296

30,904

Acquisitions / (incurrences)

—

(1,013)

—

(1,013)

Exchange differences

(17)

—

—

(17)

As at 31 December 2020

204,506

(521)

—

203,985

Revaluations recognised in OCI

3,174

—

—

3,174

Revaluations recognised in P&L

—

—

—

—

Additions

—

—

—

—

Payments

—

521

521

Acquisitions / (incurrences)

—

—

—

—

Exchange differences

13

—

—

13

As at 31 December 2021

207,693

—

—

207,693

8

Valuation process Concerning the valuation process for fair value measurement categorised within level 3 of the fair value hierarchy, the Group’s central treasury department collects and validates the available level 3 inputs and performs the valuation according to the Group’s valuation methodology for each reporting period. The fair value estimates are discussed with-, and challenged by the Group Finance Director and the Chief Financial Officer. Periodically the values of investments categorised in “level 3” are validated by staff with extensive knowledge of the industry in which the invested companies operate. Although valuation techniques are applied consistently as a principle, Management, upon advice from the Group’s valuation experts, may decide to replace a valuation technique if such a change would improve the quality or the reliability of the valuation process.

Unlisted equity securities in Euroclear S.A./N.V. and Sicovam Holding S.A.

For measuring fair value of its long-term investments in unlisted equity securities in Euroclear S.A/N.V. and Sicovam Holding S.A., the Group applies the Gordon Growth Model valuation technique as its primary valuation method with return on equity and expected dividend growth rate as key non-observable parameters. In 2021 and 2020, the Group considered the most recent transactions observed for the determination of the fair value in addition to its primary valuation technique. In addition, for measuring the fair value of Sicovam Holding S.A, the Group applied an illiquidity discount as an unobservable input for which a sensitivity impact of +10%/(-10%) would amount to a decrease or (increase) of €6.6 million in the fair value (2020: €6.5 million). More information on the investments is further disclosed in Note 20.

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2021 UNIVERSAL REGISTRATION DOCUMENT