Fair Value Quantitative And Qualitative Disclosures |
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FAIR VALUE QUANTITATIVE AND QUALITATIVE DISCLOSURES | The fair value is the amount at which an asset can be exchanged, or at which a liability can be settled, in mutual independent terms and conditions between participants of the principal market (or the most advantageous market) who are duly informed and willing to transact in an orderly and current transaction, at the measurement date under the current market conditions whether the price is directly observable or estimated using a valuation technique under the assumption that the Bank is an ongoing business. When a financial instrument is quoted in a liquid and active market, its price in the market in a real transaction provides the most reliable evidence of its fair value. Nevertheless, when there is no quoted price in the market or it cannot be evidence of the fair value of such instrument, in order to determine such fair value, the entities may use the market value of another instrument with similar characteristics, the analysis of discounted cash flows or other applicable techniques, which shall be significantly affected by the assumptions used. Notwithstanding the above, the Bank’s Management has used its best judgment to estimate the fair values of its financial instruments; any technique to perform such estimate implies certain inherent fragility level. The Bank uses the following hierarchy to determine and disclose the fair value of financial instruments, according to the valuation technique applied:
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• |
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Level 1: quoted prices (unadjusted) observable in active markets that the Bank accesses to at the measurement day for identical assets or liabilities. The Bank considers markets as active only if there are sufficient trading activities with respect to the volume and liquidity of the identical assets or liabilities and when there are binding and exercisable price quotes available at each reporting period. |
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Level 2: Valuation techniques for which the data and variables having a significant impact on the determination of the fair value recognized or disclosed are observable for the asset or liability, either directly or indirectly. Such inputs include quoted prices for similar assets or liabilities in active markets, quoted prices for identical instruments in inactive markets and observable inputs other than quoted prices such as interest rates and yield curves, implied volatilities, and credit spreads. In addition, adjustments to level 2 inputs may be required for the condition or location of the asset or the extent to which it relates to items that are comparable to the valued instrument. However, if such adjustments are based on unobservable inputs, which are significant to the entire measurement, the Bank will classify the instruments as Level 3. |
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• |
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Level 3: Valuation techniques for which the data and variables having a significant impact on the determination of the fair value recognized or disclosed are not based on observable market information. | The following tables show the hierarchy in the Bank’s financial asset and liability at fair value measurement, as of December 31, 2022 and 2021: Categories of financial assets and liabilities as of December 31, 2022
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Cash and deposits in Banks |
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Cash |
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27,612,616 |
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Financial institutions |
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222,464,359 |
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Other |
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12,118 |
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Debt Securities at fair value through profit or loss |
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211,054,112 |
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206,559,906 |
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3,462,342 |
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1,031,864 |
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Derivative financial instruments |
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42,899 |
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19,193 |
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23,706 |
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Repo transactions |
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BCRA |
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61,929,317 |
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Other financial assets |
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53,436,257 |
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4,508,266 |
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4,458,851 |
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49,415 |
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Loans and other financing |
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To the non-financial government sector |
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2,206,770 |
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Other financial institutions |
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927,272 |
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To the non-financial private sector and foreign residents |
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Overdraft |
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49,250,055 |
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Documents |
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81,773,760 |
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Mortgage loans |
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61,905,907 |
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Pledge loans |
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9,581,277 |
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Personal loans |
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142,529,651 |
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Credit cards |
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190,779,144 |
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Leases |
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1,386,801 |
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Other (1) |
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58,260,228 |
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Other debt securities |
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599,259,838 |
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137,911,993 |
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137,911,993 |
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Financial assets delivered as guarantee |
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30,620,278 |
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Equity instruments at fair value through profit or loss |
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839,458 |
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154,475 |
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684,983 |
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(1) |
Includes the total allowances to the non-financial private sector and foreign residents. |
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Deposits |
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From the non-financial government sector |
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109,952,253 |
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From the financial sector |
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1,653,447 |
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From the non-financial private sector and foreign residents |
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Checking accounts |
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159,123,762 |
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Savings accounts |
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419,740,050 |
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Time deposits and investment accounts |
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569,021,981 |
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Other |
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35,903,576 |
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Liabilities at fair value through profit or loss |
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|
526,027 |
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526,027 |
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Derivative financial instruments |
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|
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|
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|
2,371 |
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2,371 |
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Other financial liabilities |
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135,091,316 |
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Financing received from BCRA and other financial entities |
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2,449,342 |
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Issued corporate bonds |
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2,715,556 |
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Subordinated corporate bonds |
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72,129,837 |
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Total financial liabilities |
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| Categories of financial assets and liabilities as of December 31, 2021
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Cash and deposits in Banks |
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Cash |
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|
51,862,712 |
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Financial institutions |
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283,816,883 |
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|
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|
|
|
|
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|
|
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Other |
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|
12,519 |
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|
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|
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|
|
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Debt Securities at fair value through profit or loss |
|
|
|
|
|
|
|
|
|
|
63,125,824 |
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|
60,387,495 |
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|
562,970 |
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|
|
2,175,359 |
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Derivative financial instruments |
|
|
|
|
|
|
|
|
|
|
2,524 |
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|
771 |
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|
1,753 |
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Repo transactions |
|
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BCRA |
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61,176,357 |
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Other financial assets |
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64,463,931 |
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4,033,290 |
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3,972,863 |
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|
60,427 |
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Loans and other financing |
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To the non-financial government sector |
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4,628,089 |
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Other financial institutions |
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2,941,876 |
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To the non-financial private sector and foreign residents |
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Overdraft |
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47,516,346 |
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Documents |
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82,408,943 |
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Mortgage loans |
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81,213,071 |
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Pledge loans |
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14,727,607 |
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Personal loans |
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|
190,678,438 |
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Credit cards |
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|
184,981,594 |
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Leases |
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|
931,091 |
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Other (1) |
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|
76,301,154 |
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Financial assets (contd.) |
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Other debt securities |
|
|
46,832,279 |
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|
|
510,230,657 |
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|
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|
|
|
283,454,369 |
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|
|
226,776,288 |
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|
Financial assets delivered as guarantee |
|
|
34,993,147 |
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Equity instruments at fair value through profit or loss |
|
|
|
|
|
|
|
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|
|
7,365,144 |
|
|
|
131,468 |
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|
7,233,676 |
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Deposits |
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|
|
|
|
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|
|
|
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|
|
From the non-financial government sector |
|
|
109,868,280 |
|
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|
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|
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|
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From the financial sector |
|
|
1,872,336 |
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|
|
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|
|
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From the non-financial private sector and foreign residents |
|
|
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|
|
|
|
|
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|
|
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|
|
|
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|
|
Checking accounts |
|
|
196,484,984 |
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|
|
|
|
|
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|
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|
|
Savings accounts |
|
|
360,846,573 |
|
|
|
|
|
|
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|
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|
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|
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|
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|
|
Time deposits and investment accounts |
|
|
447,350,444 |
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|
Other |
|
|
30,618,411 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities at fair value through profit or loss |
|
|
|
|
|
|
|
|
|
|
3,170,711 |
|
|
|
3,170,711 |
|
|
|
|
|
|
|
|
|
Derivative financial instruments |
|
|
|
|
|
|
|
|
|
|
4,933 |
|
|
|
|
|
|
|
4,933 |
|
|
|
|
|
Other financial liabilities |
|
|
131,278,389 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financing received from BCRA and other financial entities |
|
|
852,660 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Issued corporate bonds |
|
|
5,825,893 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Subordinated corporate bonds |
|
|
81,762,819 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total financial liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1) |
Includes the total allowances to the non-financial private sector and foreign residents. | Description of the valuation process The fair value of instruments categorized as Level 1 was assessed by using quoted prices effective at the end of each fiscal year in active markets for identical assets or liabilities, if representative. Currently, for most of the government and private securities, there are two principal markets in which the Bank operates: BYMA and MAE. Additionally, in the case of derivatives, both MAE and Mercado a Término de Rosario SA (ROFEX) are deemed active markets. On the other hand, for certain assets and liabilities that do not have an active market, categorized as Level 2, the Bank used valuation techniques that included the use of market transactions performed under mutual independent terms and conditions, between interested and duly informed parties, provided that they are available as well as references to the current fair value of another instrument being substantially similar, or otherwise the analysis of cash flows discounted at rates built from market information of similar instruments. In addition, certain assets and liabilities included in this category were valued using price quotes of identical instruments in “less active markets”. Finally, the Bank has categorized as level 3 those assets and liabilities for which there are no identical or similar transactions in the market. For this approach, the Bank mainly used the cash flow discount model. As of December 31, 2022 and 2021, the Bank has neither changed the techniques nor the assumptions used to estimate the fair value of the financial instruments. Below is the reconciliation between the amounts at the beginning and at the end of the fiscal year of the financial assets and liabilities recognized at fair value categorized as level 3:
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Transfers to Level 3 |
|
|
|
|
|
|
|
|
|
|
|
|
Transfers from Level 3 |
|
|
|
|
|
|
|
|
|
|
|
|
Profit and loss (1) |
|
|
731,241 |
|
|
|
5,064 |
|
|
|
(5,689,970 |
) |
Recognition and derecognition |
|
|
(801,964 |
) |
|
|
21,061 |
|
|
|
497,804 |
|
Monetary effects |
|
|
(1,072,772 |
) |
|
|
(37,137 |
) |
|
|
(1,356,527 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Amount at the end of the fiscal year |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
Equity instruments at fair value |
|
|
Derivative financial instruments |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Transfers to Level 3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Transfers from Level 3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Profit and loss (1) |
|
|
686,775 |
|
|
|
3,562 |
|
|
|
(2,837,282 |
) |
|
|
(2,037,074 |
) |
Recognition and derecognition |
|
|
978,699 |
|
|
|
10,002 |
|
|
|
(43,437 |
) |
|
|
|
|
Monetary effects |
|
|
(602,832 |
) |
|
|
(30,110 |
) |
|
|
(5,199,684 |
) |
|
|
(850,963 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Amount at the end of the fiscal year |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1) |
Profit and loss are recorded in “Net gain from measurement of financial instruments at fair value through profit or loss”. | Instruments measured as level 3 mainly include equity instruments at fair value through profit or loss that comprise Prisma (see note 12). As of December 31, 2021, the fair value is the final price of such shares that was determined pursuant to proceeding contractually agreed between the parties (see note 12). As of December 31, 2022, the Bank completed the transfer of all remaining shares held in Prisma (see note 12). Additionally, the other instruments measured as level 3 include debt securities of financial trusts and corporate bonds, for which the construction of fair values was obtained based on the Bank’s own assumptions that are not easily available in the market. The most significant assumption was the placement cutoff rate of such instruments in the market at the end of the period, used to determine the actual value of cash flows. Quantitative information about Level 3 Fair Value Measurements The following table provides quantitative information about the valuation techniques and significant unobservable inputs used in the valuation of the main of debt securities of financial trusts for which the Bank uses an internal model.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Provisional Debt Securities of Financial Trusts |
|
|
593,120 |
|
|
Income approach (discounted cash flow) |
|
Discount rate in pesos |
|
|
69.99 |
|
|
|
83.83 |
|
|
|
|
% |
Corporate bonds |
|
|
434,678 |
|
|
Income approach (discounted cash flow) |
|
Discount rate in pesos |
|
|
76.98 |
|
|
|
86.47 |
|
|
|
|
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Provisional Debt Securities of Financial Trusts |
|
|
626,600 |
|
|
Income approach (discounted cash flow) |
|
Discount rate in pesos |
|
|
43.32 |
|
|
|
46.14 |
|
|
|
|
% |
Corporate bonds |
|
|
1,543,003 |
|
|
Income approach (discounted cash flow) |
|
Discount rate in pesos |
|
|
26.19 |
|
|
|
40.99 |
|
|
|
|
% | The table below describes the effect of changing the significant unobservable inputs to reasonably possible alternatives. Sensitivity data were calculated using a number of techniques including analyzing price dispersion of different price sources, adjusting model inputs to analyze changes within the fair value methodology.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Provisional Debt Securities of Financial Trusts |
|
|
1,223 |
|
|
|
(1,176 |
) |
|
|
300 |
|
|
|
(295 |
) |
Corporate bonds |
|
|
2,622 |
|
|
|
(2,537 |
) |
|
|
29,777 |
|
|
|
(27,449 |
) | Changes in fair value levels The Bank monitors the availability of information in the market to evaluate the classification of financial instruments into the fair value hierarchy as well as the resulting determination of transfers between levels 1, 2 and 3 at each period end. As of December 31, 2022 and 2021, the Bank has not recognized any transfers between levels 1, 2 and 3 of the fair value hierarchy. Financial assets and liabilities not measured at fair value Next follows a description of the main methods and assumptions used to determine the fair values of financial instruments not recognized at their fair value in these consolidated Financial Statements:
|
• |
|
Instruments with fair value similar to the carrying amount: financial assets and liabilities that are liquid or have short-term maturities (less than three months) were deemed to have a fair value similar to the carrying amount. |
|
• |
|
Fixed and variable rate of financial instruments: the fair value of financial assets was recognized discounting future cash flows at current market rates, for each fiscal year, for financial instruments of similar characteristics. The estimated fair value of fixed-interest rate deposits and liabilities was assessed discounting future cash flows by using estimated interest rates for deposits or placings with similar maturities to those of the Bank’s portfolio. |
|
• |
|
For public listed assets and liabilities, or those for which the prices are reported by certain renowned pricing providers, the fair value was determined based on such prices. | The following table shows a comparison between the fair value and the carrying amount of financial instruments not measured at fair value as of December 31, 2022 and 2021:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cash and deposits in Banks |
|
|
250,089,093 |
|
|
|
250,089,093 |
|
|
|
|
|
|
|
|
|
|
|
250,089,093 |
|
Repo transactions |
|
|
61,929,317 |
|
|
|
61,929,317 |
|
|
|
|
|
|
|
|
|
|
|
61,929,317 |
|
Other financial assets |
|
|
53,436,257 |
|
|
|
53,436,257 |
|
|
|
|
|
|
|
|
|
|
|
53,436,257 |
|
Loans and other financing |
|
|
598,600,865 |
|
|
|
|
|
|
|
|
|
|
|
521,939,679 |
|
|
|
521,939,679 |
|
Other debt securities |
|
|
599,259,838 |
|
|
|
511,722,746 |
|
|
|
82,669,663 |
|
|
|
96,304 |
|
|
|
594,488,713 |
|
Financial assets delivered as guarantee |
|
|
30,620,278 |
|
|
|
30,620,278 |
|
|
|
|
|
|
|
|
|
|
|
30,620,278 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Deposits |
|
|
1,295,395,069 |
|
|
|
649,076,325 |
|
|
|
|
|
|
|
645,261,404 |
|
|
|
1,294,337,729 |
|
Other financial liabilities |
|
|
135,091,316 |
|
|
|
130,781,463 |
|
|
|
4,371,904 |
|
|
|
|
|
|
|
135,153,367 |
|
Financing received from the BCRA and other financial entities |
|
|
2,449,342 |
|
|
|
2,382,151 |
|
|
|
51,963 |
|
|
|
|
|
|
|
2,434,114 |
|
Issued corporate bonds |
|
|
2,715,556 |
|
|
|
|
|
|
|
2,638,551 |
|
|
|
|
|
|
|
2,638,551 |
|
Subordinated corporate bonds |
|
|
72,129,837 |
|
|
|
|
|
|
|
58,815,433 |
|
|
|
|
|
|
|
58,815,433 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cash and deposits in Banks |
|
|
335,692,114 |
|
|
|
335,692,114 |
|
|
|
|
|
|
|
|
|
|
|
335,692,114 |
|
Repo transactions |
|
|
61,176,357 |
|
|
|
61,176,357 |
|
|
|
|
|
|
|
|
|
|
|
61,176,357 |
|
Other financial assets |
|
|
64,463,931 |
|
|
|
64,416,765 |
|
|
|
|
|
|
|
|
|
|
|
64,416,765 |
|
Loans and other financing |
|
|
686,328,209 |
|
|
|
|
|
|
|
|
|
|
|
637,724,702 |
|
|
|
637,724,702 |
|
Other debt securities |
|
|
46,832,279 |
|
|
|
44,550,843 |
|
|
|
1,265,887 |
|
|
|
304,156 |
|
|
|
46,120,886 |
|
Financial assets delivered as guarantee |
|
|
34,993,147 |
|
|
|
34,993,147 |
|
|
|
|
|
|
|
|
|
|
|
34,993,147 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Deposits |
|
|
1,147,041,028 |
|
|
|
650,045,751 |
|
|
|
|
|
|
|
496,348,778 |
|
|
|
1,146,394,529 |
|
Other financial liabilities |
|
|
131,278,389 |
|
|
|
129,516,534 |
|
|
|
2,794,914 |
|
|
|
|
|
|
|
132,311,448 |
|
Financing received from the BCRA and other financial entities |
|
|
852,660 |
|
|
|
771,790 |
|
|
|
74,752 |
|
|
|
|
|
|
|
846,542 |
|
Issued corporate bonds |
|
|
5,825,893 |
|
|
|
|
|
|
|
5,128,186 |
|
|
|
|
|
|
|
5,128,186 |
|
Subordinated corporate bonds |
|
|
81,762,819 |
|
|
|
|
|
|
|
67,123,964 |
|
|
|
|
|
|
|
67,123,964 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|