Annual Report 2019
Central Bank of the Republic of Armenia
Notes to the 2019 consolidated financial statements
29. Fair value of financial instruments (continued)
(a) Recurring fair value measurements
Recurring fair value measurements are those that the accounting standards require or permit in the consolidated
statement of financial position at the end of each reporting period. The levels in the fair value hierarchy into which the
recurring fair value measurements are categorised as follows:
In thousands of
Armenian Drams
Level 1
31 December 2019
Level 2
Level 3
Total
Level 1
31 December 2018
Level 2
Level 3
Total
Assets carried at fair
value
Financial assets
Financial instruments at
fair value through
profit or loss
Government bonds
(Note 13)
639,177,514
639,177,514 362,393,253
State agency bonds
(Note13)
24,001,326
Other securities (Note13)
100,531,491
24,001,326 41,246,973
100,531,491 289,090,024
Money market instruments
9,648,011
9,648,011
12,130,223
(Note13)
Derivative financial
assets (Note 14)
Investment securities
362,393,253
41,246,973
289,090,024
12,130,223
43,849
43,849
measured at fair value
through other
comprehensive income
Foreign securities
(Note15)
1,937,372
1,937,372
1,914,789
1,914,789
Securities of the
Government of the
Republic of Armenia
(Note15)
13,189,425
13,189,425
13,707,676
13,707,676
Promissory note issued by
the Government
(Note15)
73,810,843
73,810,843
Corporate bonds in foreign
currency (Note15)
761,584
761,584
73,810,843
1,067,864
73,810,843
1,067,864
Total assets with
recurring fair value
773,358,342
measurements
89,699,224
863,057,566 704,860,473
90,501,172
43,849 795,405,494
Level 1
31 December 2019
Level 3
Total
Level 1
31 December 2018
Level 3
Total
In thousands of Armenian Drams
Liabilities carried at fair value
Financial liabilities
Foreign currency futures under own
management (Note14)
1,645
1,645
54,741
Forward contract with the Government
(Note14)
79,455
79,455
Foreign currency futures under trust
management (Note14)
42,299
Total liabilities with recurring fair
value measurements
1,645
79,455
81,100
97,040
54,741
42,299
97,040
The description of valuation technique and description of inputs used in the fair value measurement for level 2
measurements at 31 December 2019:
In thousands of Armenian Drams
Assets carried at fair value
Financial assets
Investment securities measured at fair value
Fair
value
Valuation
technique
Inputs
used
through other comprehensive income
Foreign securities (Note15)
1,937,372
DCF
Corporate bonds in foreign currency (Note15)
Securities of the Government of the Republic of
Armenia (Note 15)
761,584
DCF
EUR risk-free rate
Quoted prices
Government bonds
13,189,425
DCF
yield curve
Government bonds
Promissory note issued by the Government (Note15)
Total recurring fair value measurements at Level 2
73,810,843
DCF
yield curve
89,699,224
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