421 / 430
- 77 -
Assumptions and calculations used to determine fair value for financial assets and
liabilities are:
(i)
Financial instruments measured at fair value. – Fair value is based on the following
hierarchy:
Level 1: Prices of the quoted instrument in asset markets.
Level 2: Quoted prices in active markets of identical instruments.
Level 3: Valuation techniques using data provided by analysis of active markets (using
curves of market rates and vector of prices provided by the SBS).
In positions valued at market prices, investments in centralized mechanisms are mainly
considered.
In positions valued through valuation techniques, derivative financial instruments and
others are included (financial liabilities).
Fair value of the investment of COFIDE in CAF, pursuant to Official Letter No. 45853-
2012-SBS, classifies such financial instrument as “Available for sale investment”, taking
as cost value the last accounting equity value recorded in books by COFIDE, considering
such value as its fair value.
Determination of fair value and hierarchy of securities
The table below shows an analysis of financial instruments recorded at fair value
according to the hierarchy level of its fair value:
Financial instruments
recorded at fair value under
valuation methods
Level 1
Level 2
Total
Level 1
Level 2
Total
Asset
Available for sale investments
- Debt instruments
1,555,932
-
1,555,932
1,213,269
-
1,213,269
- Capital instruments (*)
247,779
-
247,779
337,808
-
337,808
Total
1,803,711
-
1,803,711
1,551,077
-
1,551,077
Liability
Accounts payable for derivatives
-
149,748
149,748
-
155,699
155,699
2015
2014
(*) CAF investment is not included. The fair value is its last accounting equity value as
of the closing of 2012.
Level 1 financial asset are measured based on market observable data, to the extent that
quotations reflect and active, liquid market and are available in some centralized platform
of trading, agent, supplier of prices or regulatory agency.
Level 2 financial instruments are valued at market prices of other instruments that have
similar characteristics or with financial valuation models based on information of market
observable date (interest rate curves, price vectors, etc.). COFIDE uses this method mainly
to value derivative financial instruments.
Hedging transactions
COFIDE is exposed to fluctuation in future cash flows of financial assets and liabilities in
foreign currency and/or that generate interests at variable rates. COFIDE uses derivative
financial instruments as cash flow hedges to hedge these risks.