All future changes in the value of these de-designated hedges are also taken to the cost of sales respectively in the financial result in the case of interest rate hedges in the income statement through profit and loss and recognised as other derivative financial instruments from the date of the termination of the cash flow hedge accounting. As at 31 March 2021, the fair value of these reclassified fuel price hedges totalled EUR-21.6m at a nominal value of EUR346.9m, while the fair value of the interest rate hedges amounted to EUR-13.3m at a nominal volume of EUR445.9m and the fair value of foreign currency hedges totalled EUR-3.1m at a nominal volume of EUR203.9m. 


Aggregation according to measurement categories under IFRS 9 as at 31 Mar 2021 
 
EUR million                                                         Carrying amount of financial instruments   Fair Value 
                                                                  Total 
Financial assets 
at amortised cost                                                 1,988.6                                    1,988.1 
at fair value - recognised directly in equity without recycling   8.0                                        8.0 
at fair value - through profit and loss                           33.3                                       33.3 
Financial liabilities 
at amortised cost                                                 6,440.1                                    6,344.3 
at fair value - through profit and loss                           71.9                                       71.9 
 
 
Aggregation according to measurement categories under IFRS 9 as at 30 Sep 2020 
 
EUR million                                                         Carrying amount of financial instruments   Fair Value 
                                                                  Total 
Financial assets 
at amortised cost                                                 2,123.2                                    2,095.0 
at fair value - recognised directly in equity without recycling   8.5                                        8.5 
at fair value - through profit and loss                           76.1                                       76.1 
Financial liabilities 
at amortised cost                                                 6,334.1                                    6,065.0 
at fair value - through profit and loss                           257.5                                      257.5

Fair value measurement

The following table presents the fair values of the recurring, non-recurring and other financial instruments recognised at fair value in accordance with the underlying measurement levels. The individual levels have been defined as follows in line with the input factors: ? Level 1: quoted (unadjusted) prices in active markets for identical assets or liabilities. ? Level 2: input factors for the measurement are quoted market price other than those mentioned in Level 1, directly

(as market price quotation) or indirectly (derivable from market price quotation) observable in the market for the

asset or liability. ? Level 3: input factors for the measurement of the asset or liability are based on non-observable market data. 


Hierarchy of financial instruments measured at fair value as at 31 Mar 2021 
 
                                                 Fair value hierarchy 
EUR million                                Total   Level 1   Level 2   Level 3 
Assets 
Other financial assets                   10.1    -         -         10.1 
Derivative financial instruments 
Hedging transactions                     2.7     -         2.7       - 
Other derivative financial instruments   31.2    -         31.2      - 
 
Liabilities 
Derivative financial instruments 
Hedging transactions                     20.0    -         20.0      - 
Other derivative financial instruments   71.9    -         71.9      - 
 
 
Hierarchy of financial instruments measured at fair value as of 30 Sep 2020 
 
                                                 Fair value hierarchy 
EUR million                                Total   Level 1   Level 2   Level 3 
Assets 
Other financial assets                   10.6    -         -         10.6 
Derivative financial instruments 
Hedging transactions                     22.3    -         22.3      - 
Other derivative financial instruments   74.0    -         74.0      - 
 
Liabilities 
Derivative financial instruments 
Hedging transactions                     61.3    -         61.3      - 
Other derivative financial instruments   257.5   -         257.5     -

At the end of every reporting period, TUI Group checks whether there are any reasons for reclassification to or from one of the measurement levels. Financial assets and financial liabilities are generally transferred out of Level 1 into Level 2 if the liquidity and trading activity no longer indicate an active market. The opposite situation applies to potential transfers out of Level 2 into Level 1. In the reporting period, there were no transfers between Level 1 and Level 2.

Reclassifications from Level 3 to Level 2 or Level 1 are made if observable market price quotations become available for the asset or liability concerned. TUI Group records transfers from or to Level 3 at the date of the obligating event or occasion triggering the transfer. In the period under review, there were no transfers into or out of Level 3.

Level 1 financial instruments

The fair value of financial instruments for which an active market is available is based on the market price quotation at the balance sheet date. An active market exists if price quotations are easily and regularly available from a stock exchange, traders, brokers, price service providers or regulatory authorities, and if these prices represent actual and regular market transactions between independent business partners. These financial instruments are categorised within Level 1. The fair values correspond to the nominal values multiplied by the price quotations at the balance sheet date. Level 1 financial instruments primarily comprise shares in listed companies classified as at fair value through OCI and bonds issued classified as financial liabilities at amortised cost.

Level 2 financial instruments

The fair values of financial instruments not traded in an active market, e.g. over the counter derivatives (OTC), are determined by means of valuation techniques. These valuation techniques maximise the use of observable market data and minimise the use of Group-specific assumptions. If all essential input factors for the determination of the fair value of an instrument are observable, the instrument is categorised within Level 2.

If one or several of the essential input factors are not based on observable market data, the instrument is categorised within Level 3.

The specific valuation techniques used for the measurement of financial instruments are: ? For over the counter bonds, liabilities to banks, promissory notes and other non-current financial liabilities, the

fair value is determined as the present value of future cash flows, taking account of observable yield curves and

the respective credit spread, which depends on the credit rating. ? For over the counter derivatives, the fair value is determined by means of appropriate calculation methods, e.g. by

discounting the expected future cash flows. The forward prices of forward transactions are based on the spot or

cash prices, taking account of forward premiums and discounts. The fair value calculations of optional hedging

instruments are determined using standard market valuation methods. The fair values determined on the basis of TUI

Group's own systems are regularly compared with fair value confirmations of the external counterparties. ? Other valuation techniques, e.g. discounting future cash flows, are used for the measurement of the fair values of

other financial instruments.

Level 3 financial instruments

The following table shows the development of the values of the financial instruments measured at fair value on a recurring basis categorised within Level 3 of the measurement hierarchy. 


Financial assets measured at fair value in Level 3 
 
EUR million                                  Other financial assets IFRS 9 
Balance as at 1 Oct 2019                   42.9 
Disposals                                  - 3.5 
consolidation                              - 3.5 
Total gains or losses for the period       - 28.8 
recognised through profit and loss         - 1.1 
recognised in other comprehensive income   - 27.7 
Balance as at 30 Sep 2020                  10.6 
Balance as at 1 Oct 2020                   10.6 
Disposals                                  - 
consolidation                              - 
Total gains or losses for the period       - 0.5 
recognised through profit and loss         - 
recognised in other comprehensive income   - 0.5 
Balance as at 31 Mar 2021                  10.1

Evaluation process

The fair value of financial instruments in level 3 has been determined by TUI Group's finance department using the discounted cash flow method. This involves the market data and parameters required for measurement being compiled or validated. Non-observable input parameters are reviewed on the basis of internally available information and updated if necessary.

In principle, the unobservable input parameters relate to the following parameters; the (estimated) EBITDA margin is in a range between -13% and 22%. The constant growth rate is 1%. The weighted average cost of capital (WACC) is in a range between 9.2% - 10.2%. With the exception of the WACC, there is a positive correlation between the input factors and the fair value.

Effects on results

The effects of remeasuring of financial assets carried at fair value through OCI as well as the effective portions of changes in fair values of derivatives designated as cash flow hedges are listed in the statement of changes in equity. 21. Contingent liabilities

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