My first Publication ocbc_ar17_fullreport_english | Page 259

41. FAIR VALUES OF FINANCIAL INSTRUMENTS (continued)
41.3 FAIR VALUE HIERARCHY (continued)
Valuation techniques and unobservable parameters for Level 3 instruments
GROUP
$ million
Fair value at
31 December 2017 Classification Valuation technique Unobservable input
130
608 Available-for-sale
Available-for-sale Derivative receivables 28 Held for trading Life Assurance Fund
investment assets
Total 1,239 Available-for-sale Discounted cash flows
Net asset value/
Multiples
Option pricing model/
CDS model
Net asset value Credit spreads
Net asset value/
Earnings and ratios
Standard deviation/
Credit spreads
Net asset value
Option pricing model/
CDS model Standard deviation/
Credit spreads
Financial assets
Debt securities
Equity securities (unquoted)
2,005
Financial liabilities
Derivative payables 14
Total 14
Held for trading
Management considers that any reasonably possible changes to the unobservable input will not result in a significant financial impact.
Movements in the Group’s Level 3 financial assets and liabilities
2017
GROUP
$ million
Financial assets measured
at fair value
At 1 January
Purchases/transfer from associate
Settlements/disposals
Transfers (out of)/in to Level 3
Gains/(losses) recognised in
– profit or loss
– other comprehensive income
At 31 December
Unrealised gains/(losses) included
in profit or loss for assets held
at the end of the period
Debt and
equity
securities
239
540
(30)
(7) (1)
Derivative
receivables
2016
Life
Assurance
Fund
investment
assets
Total
Debt and
equity
securities
39
3
(#)
(12) (1) 1,172
235
(103)
– 1,450
778
(133)
(19) 183
20
–
12 (2)
(34)
30
738 (2)
#
28 (79)
14
1,239 (115)
44
2,005 (27) 36
(9)
#
Derivative
receivables
Life
Assurance
Fund
investment
assets
Total
46
4
(#)
– 1,206
68
(98)
– 1,435
92
(98)
12
(1)
25
239 (11)
(#)
39 (17)
13
1,172 (29)
38
1,450
(13) 34 (6) 15
Relates to transfers from Level 3 to Level 2 due to use of inputs based on market observable data.
Relates to transfers from Level 2 to Level 3 due to use of inputs not based on market observable data.
(3)
# represents amounts less than $0.5 million.
(1)
(2)
BUILDING ON OUR CORPORATE STRATEGY FOR SUSTAINABLE GROWTH
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