Financial results

Download note 37.2 in XLS

37.2 Financial instruments which are measured at fair value in the statement of financial position

The table below presents classification of financial assets and financial liabilities which are measured at fair value based on the fair value hierarchy in the consolidated statement of financial position.

Balance as at
31 December 2015
	Level I	Level  II	Level III	Total
	PLN’000	PLN’000	PLN’000	PLN’000
Financial assets, including:	779 609	1 609	23 657	804 875
Financial assets held for trading	0	603	0	603
Hedging instruments	0	1 006	0	1 006
Inwestycyjne aktywa finansowe	779 609	0	23 657	803 266
- available for sale	779 609	0	23 657	803 266
Financial liabilities, including:	0	377	0	377
Financial liabilities held for trading	0	377	0	377

 

 

Balance as at
31 December 2014
	Level I	Level II	Level III	Total
	PLN’000	PLN’000	PLN’000	PLN’000
Financial assets, including:	611 726	481 283	8 866	1 101 875
Financial assets held for trading	0	1 336	0	1 336
Hedging instruments	611 726	479 947	8 866	1 100 539
- available for sale	611 726	479 947	8 866	1 100 539
Financial liabilities, including:	0	94	0	94
Financial liabilities held for trading	0	94	0	94

 

No reclassifications between Level I and Level II took place in the analyzed period. No items were reclassified from or to Level III, either.

As the scale of derivative transactions which until June 2015 were entered into with banks with investment rating only and which have been concluded solely through KDPW CCP clearing house since July 2015, is inconsiderable, the Group’s measurement of derivatives does not take into account the counterparty credit risk or own credit risk, which the Group believes exert a marginal effect on measurement of its derivatives.

Reconciliation of the change in the balance of Level III financial instruments in 2015 and in 2014, whose fair value is determined using measurement methods based on non-observable input data, has been presented below.

 

Level III	Investment financial assets available for sale
	PLN’000
Balance as at 1 January 2015	8 866
Gains or losses	15 300
recognized in income statement	504
- interest income	506
- profit/loss on other financial instruments	(2)
recognized in other comprehensive income:	14 796
- gain/loss on measurement of financial assets available for sale	14 796
Purchases	0
Sales	0
Interest paid	(509)
Transfers	0
Balance as at 31 December 2015	23 657

 

Given a rise in the credit spread by 1 b.p., the potential effect on a change in the fair value of Level III debt securities would be PLN -1 thousand (negative value), whereas given a drop in the credit spread by 1 b.p., the potential effect would be PLN 1 thousand. For Level III equity instruments denominated in EUR, a 1% rise in the EUR/PLN rate would have the potential effect on a change in their fair value of PLN 148 thousand, whereas a 1% drop in the EUR/PLN rate would have the potential effect of PLN -148  thousand. 

 

 

Inputs used for fair value measurement of assets and liabilities have been presented in the table below. 

 

No.	Financial assets/liabilities	Fair value as at		Fair value hierarchy	Measurement methods and basic input data	Significant non-observable information	Fair value dependency on non-observable information
		31 December 2015	31 December 2014
1	Treasury bills and bonds	Assets: 779 609	Assets: 611 726	Level1	BID price for the long position and ASK price for the short position in the security, quoted on an active interbank market	n/a.	n/a
2	Money bills	Assets: 0	Assets: 479 947	Level2	Discounted cash flows from the security with discount rate equal to purchased yield	n/a	n/a
3	Interest Rate Swaps	Assets: 1 609	Assets: 1 336	Level2	Discounted future cash flows. Future cash flows and discounting rates are calculated on the basis of yield curves built on quoted WIBOR/LIBOR, FRA and IRS rates.	n/a	n/a.
		Liabilities: 359	Liabilities: 0
4	FRA	Liabilities: 18	Liabilities: 85	Level2	Discounted future cash flows. Future cash flows and discounting rates are calculated on the basis of yield curves built on quoted WIBOR/LIBOR, FRA and IRS rates.	n/a.	n/a.
5	FX swap	Liabilities: 0	Liabilities: 9	Level2	Discounted future cash flows. Yield curves used for discounting purposes are built on quoted depo rates and swap points for currency pairs.	n/a	n/a
6	Debt securities (commercial bonds)	Assets: 8 924	Assets: 8 866	Level3	Discounted future cash flows. Future payments from the security are discounted based on yield curves increased by credit spread due to counterparty risk.	Spread applied to BPS bonds: as at 31.12.2015 - 463 b.p. as at 31.12.2014 - 463 b.p.	The higher the spread, the lower the fair value.

The Group presents equity instruments with the fair value of PLN 14 733 thousand in “Investment financial assets available for sale” in the statement of financial position of the Group. The details of the measurement of these instruments have been presented in note 25. As at 31 December 2015 and 31 December 2014, the item “Investment financial assets available for sale” in the consolidated statement of financial position presents the Group’s equity instruments with a carrying amount of, respectively, PLN 81 thousand and PLN 8 thousand, which are measured at cost as their fair value cannot be measured reliably. Such instruments are not subject to the fair value hierarchy analysis performed for investment financial assets available for sale.