SBN HOLDINGS LIMITED Annual Report 2022
NOTES TO THE ANNUAL FINANCIAL STATEMENTS continued
94
18.
18.1
Assets and liabilities at fair value
Financial assets and liabilities measured at fair value on a recurring basis¹
The table below sets out the financial assets and liabilities measured at fair value for the group.
GROUP
Assets
2022
Level 1
N$'000
Level 2
N$'000
Level 3
N$'000
Total
N$'000
Level 1
N$'000
2021
Level 2
N$'000
Level 3
N$'000
Total
N$'000
SBN HOLDINGS LIMITED
Annual report 2022
18.
Assets and liabilities at fair value continued
18.2
18.2.1
Assets and liabilities not measured at fair value for which fair value is disclosed
Fair value hierarchy of items for which fair value is disclosed
2022
2021
Level 1
N$'000
Level 2
N$'000
Level 3
N$'000
Total
N$'000
Level 1
N$'000
Level 2
N$'000
Level 3
N$'000
Total
N$'000
GROUP
Assets
Cash and balances with the
central bank
882 874
882 874
799 284
799 284
Derivative assets
138 918
138 918
73 326
73 326
Trading assets
474 621
474 621
619 584
619 584
Financial investments¹
Total
84 223 4799 376
4 883 599
132 433 5 498 687
5 631 120
Cash and
balances with
the central bank
Financial
investments
790 463
790 463
689 213
39 415
39 415
39 426
Loans and advances
26 574 783 26 574 783
1441 718 4 938 294
6 380 012
1 551 301
5 572 013
7 123 314
Liabilities
Derivative liabilities
Trading liabilities
140 763
140 763
70 576
70 576
Other financial
assets
Total
829 878
239 298 239 298
26 814 081 27 643 959
728 639
Total
36 799
36 799
36 799
140 763
177 562
55 754
55 754
55 754
70 576
126 330
689 213
39 426
25 489 734 25 489 734
100 513
100 513
25 590 247 26 318 886
1
The classification of treasury bills was changed from level 1 to level 2, after the nature of the Namibian market was assessed. Consequently the adjustment
was made to 2021 as well to maintain comparability.
Assets and liabilities transferred between level 1 and level 2
During the year no significant assets or liabilities were transferred between level 1 and level 2 (2021: nil).
Input and valuation techniques
Derivatives Options
Financial
investments
and trading
securities
Valuation
technique
Black-Scholes
model and
discounted cash
flow model or
combination of both
Observable input
Market discount
rate and curves
Spot prices
of underlying
transactions and
correlation factors
Spot prices
Valuation and level
Standard derivative
contracts are valued using
market-accepted models
and quoted parameter
inputs
Level 2
A forward curve is used to Level 2
calculate future cash flows
Swaps
Discounted cash
flow model
Market discount
rates and curves
of underlying
transactions
a discount curve over the
Forward
Discounted cash
agreements flow model.
and then discounted using
contractual period
A forward curve is used to Level 2
Market discount
rates and curves
Spot prices
of underlying
transactions
calculate future cash flows
and then discounted using
a discount curve over the
contractual period
Treasury
bills
Broker quotes
Money
market
Discounted cash
flow model
Market discount
rates and curves
Market discount
rates and curves
Interest rate curve Based on broker quotes
Level 2
JIBAR rate and
spread
Future cash flows are
discounted using a market-
Level 2
related interest rate
funds
Market discount
rates and curves
JIBAR rate and
spread
Future cash flows are
Level 2
discounted using a market-
related interest rate
Market discount
JIBAR rate and
rates and curves spread
Future cash flows are
discounted using a market-
related interest rate
Level 2
Liabilities
Negotiable
Discounted cash
certificates flow model
of deposit
Promissory Discounted cash
notes
flow model
Liabilities
Deposits from banks
1 430 532
1430 532
1 475 255
1475 255
Deposits from
customers
Debt securities
issued
25 955 659
25 955 659
26 894 645
26 894 645
2 586 969
2 586 969
1961 123
1961 123
Provisions and other
liabilities
Total
29 973 160
484 239 484 239
484 239 30 457 399
422 886
422 886
30 331 023
422 886 30 753 909
2022
Level 1
N$'000
Level 2
N$'000
Level 3
N$'000
Total
N$'000
Level 1
N$'000
2021
Level 2
N$'000
Level 3
N$'000
Total
N$'000
COMPANY
Assets
Cash balances
Total
291 326
291 326
The hierarchy of levels is explained below:
Level 1:
Level 2:
Level 3:
291 326
291 326
312 401
312 401
Quoted unadjusted prices in active markets for identical assets or liabilities that the company can access at
measurement date.
Inputs other than quoted prices included in level 1 that are observable for the asset or liability either directly
or indirectly.
Unobservable inputs for the asset or liability.
Significant unobservable inputs
312 401
312 401
The fair value of level 3 assets and liabilities is determined using valuation techniques that include reference to recent arm's
length transactions, discounted cash flow analyses, pricing models and other valuation techniques commonly used by market
participants. However, such techniques typically have unobservable inputs that are subject to management judgement. These
inputs include credit spreads on illiquid issuers, implied volatilities on thinly traded stocks, correlation between risk factors,
prepayment rates and other illiquid risk drivers.
Exposure to such illiquid risk drivers is typically managed by:
■using bid-offer spreads that are reflective of the relatively low liquidity of the underlying risk driver;
■raising day one profit provisions in accordance with IFRS;
quantifying and reporting the sensitivity to each risk driver;
limiting exposure to such risk drivers; and
■ analysing this exposure on a regular basis.
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