Annual Report 2019
Central Bank of the Republic of Armenia
29. Fair value of financial instruments (continued)
(a)
Recurring fair value measurements (continued)
Notes to the 2019 consolidated financial statements
The description of valuation technique and description of inputs used in the fair value measurement for level 2
measurements at 31 December 2018:
In thousands of Armenian Drams
Assets carried at fair value
Financial assets
Fair
value
Valuation
technique
Inputs
used
Investment securities available for sale
Foreign securities (Note 15)
1,914,789
DCF
Corporate bonds in foreign currency (Note 15)
1,067,864
DCF
Securities of the Government of the Republic of
Armenia (Note 15)
EUR risk-free rate
Quoted prices
Government bonds
13,707,676
DCF
yield curve
Government bonds
Promissory note issued by the Government
Total recurring fair value measurements at Level 2
73,810,843
90,501,172
DCF
yield curve
The valuation technique, inputs used in the fair value measurement for level 3 measurements and related sensitivity to
reasonably possible changes in those inputs are as follows at 31 December 2019:
In thousands of
Armenian Drams
Fair
value
Valuation
technique
Inputs
used
Range of inputs
(weighted
average)
Reasonable
change
Sensitivity
of fair value
measurement
Liabilities carried at
fair value
Financial liabilities
Derivative financial
liabilities
79,455
DCF
1) AMD risk-free rate
2) USD risk-free rate
3) EUR risk-free rate
1) 5.60%
2) 3.17%
3) 0.97%
1) +100/-100 b.p.
2) +100/-100 b.p.
3) 15/-15 b.p.
4) USD/AMD spot rate at 4) 479.70
the year-end
4) n/a
1) (6,796)/6,866
2) 6,973/(7,047)
3) 6.8/(6.8)
4) n/a
5) EUR/AMD spot rate at 5) 537.26
the year-end
5) n/a
5) n/a
6) Expected net amount 6) USD 18,856
of external debt - USD
6) ± 10%
6) (7,423)/7,423
thousand
7) Expected net amount 7) EUR 100
of external debt - EUR thousand
7) ± 10%
7) (81)/81
The valuation technique, inputs used in the fair value measurement for level 3 measurements and related sensitivity to
reasonably possible changes in those inputs are as follows at 31 December 2018:
In thousands of
Fair
Armenian Drams
value
Valuation
technique
Inputs
used
Assets carried at fair
value
Financial assets
Derivative financial
assets
Range of inputs
(weighted
average)
Reasonable
change
Sensitivity
of fair value
measurement
13,938
DCF
1) AMD risk-free rate
2) USD risk-free rate
3) EUR risk-free rate
1) 5.99%
2) 4.46%
2) +50/-15 b.p.
3) 1.59%
3) + 20/-1 b.p.
4) USD/AMD spot rate at 4) 483.75
4) n/a
1) +100/-80 b.p.
1) (2,532)/2,044
2) 1,259/(379)
3) 9/(0.4)
4) n/a
the year-end
5) EUR/AMD spot rate at 5) 553.65
5) n/a
5) n/a
the year-end
6) Expected net amount 6) USD 6,445
of external debt -
USD
6) ±10%
6) (1,414)/1,414
thousand
7) Expected net amount 7) EUR 100
of external debt -
thousand
EUR
7) ±10%
7) (20)/20
The above tables disclose sensitivity to valuation inputs for derivative financial liabilities and derivative financial assets,
if changing one or more of the unobservable inputs to reflect whether reasonably possible alternative assumptions would
change fair value significantly. The sensitivity of fair value measurement disclosed in the above tables shows the direction
that an increase or decrease in the respective input variables would have on the valuation result.
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