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Fair Values Of Financial Instruments | 12 Months Ended
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Dec. 31, 2021
Fair Value Of Financial Instruments [Abstract] |
Fair Values Of Financial Instruments | 40. Fair values of financial instruments
| a) | Assets and liabilities measured at fair value
The fair value hierarchy of assets and liabilities measured at fair value as of December 31, 2021 is detailed below:
|  | Book value |  |  | Total fair value |  |  | Level 1 Fair value |  |  | Level 2 Fair value |  |  | Level 3 Fair value |
Financial assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Financial assets at fair value through profit or loss - Debt securities |  |  | 1,396,925 |  |  |  | 1,396,925 |  |  |  | 1,396,145 |  |  |  | 780 |  |  |  | — |
- Derivatives |  |  | 2,816,482 |  |  |  | 2,816,482 |  |  |  | — |  |  |  | 2,816,482 |  |  |  | — |
- Equity instruments |  |  | 6,403,268 |  |  |  | 6,403,268 |  |  |  | 2,289,351 |  |  |  | — |  |  |  | 4,113,917 |
Financial assets at fair value through other comprehensive income - Debt securities |  |  | 167,039,478 |  |  |  | 167,039,478 |  |  |  | 55,145,256 |  |  |  | 110,853,002 |  |  |  | 1,041,220 |
Financial assets at fair value through other comprehensive income - Equity instruments |  |  | 36,083 |  |  |  | 36,083 |  |  |  | — |  |  |  | 36,083 |  |  |  | — |
Total |  |  | 177,692,236 |  |  |  | 177,692,236 |  |  |  | 58,830,752 |  |  |  | 113,706,347 |  |  |  | 5,155,137 |
Financial liabilities at fair value through profit or loss |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Derivatives |  |  | 314,215 |  |  |  | 314,215 |  |  |  | — |  |  |  | 314,215 |  |  |  | — |
Total |  |  | 314,215 |  |  |  | 314,215 |  |  |  | — |  |  |  | 314,215 |  |  |  | — |
The fair value hierarchy of assets and liabilities measured at fair value as of December 31, 2020 is detailed below:
|  | Book value |  |  | Total fair value |  |  | Level 1 Fair value |  |  | Level 2 Fair value |  |  | Level 3 Fair value |
Financial assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Financial assets at fair value through profit or loss |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
- Debt securities |  |  | 1,423,018 |  |  |  | 1,423,018 |  |  |  | 818,068 |  |  |  | 604,950 |  |  |  | — |
- Derivatives |  |  | 5,853,137 |  |  |  | 5,853,137 |  |  |  | — |  |  |  | 4,069,007 |  |  |  | 1,784,130 |
- Equity instruments |  |  | 11,767,330 |  |  |  | 11,767,330 |  |  |  | 2,659,805 |  |  |  | — |  |  |  | 9,107,525 |
Financial assets at fair value through other comprehensive income - Debt securities |  |  | 192,516,731 |  |  |  | 192,516,731 |  |  |  | 2,939,100 |  |  |  | 189,577,631 |  |  |  | — |
Financial assets at fair value through other comprehensive income - Equity instruments |  |  | 43,018 |  |  |  | 43,018 |  |  |  | — |  |  |  | 43,018 |  |  |  | — |
Total |  |  | 211,603,234 |  |  |  | 211,603,234 |  |  |  | 6,416,973 |  |  |  | 194,294,606 |  |  |  | 10,891,655 |
Financial liabilities at fair value through profit or loss |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Derivatives |  |  | 284,818 |  |  |  | 284,818 |  |  |  | — |  |  |  | 284,818 |  |  |  | — |
Total |  |  | 284,818 |  |  |  | 284,818 |  |  |  | — |  |  |  | 284,818 |  |  |  | — |
The fair value of a financial asset or liability is the price that would be received for the sale of an asset or paid for the transfer of a liability in an orderly transaction between market participants at the measurement date. The most objective and usual reference of the fair value of a financial asset or liability is the price that would be paid in an orderly, transparent and deep market, that is to say, its quoted or market price. If it is not possible to obtain a market price, a fair value is determined using best market practice quoting techniques, such as cash flows discount based on a yields curve for the same class and type of instrument, or if there is no market curve with the same characteristics of the bond, the fair value is calculated considering the latest market price plus interest accrued until the valuation date (whichever is more representative for the security). In line with the accounting standard, a three-level classification of financial instruments is established. This classification is mainly based on the observability of the necessary inputs to calculate that fair value, defining the following levels:
| • |  | Level 1: Financial instruments valued with quoted prices in an active market. Active market means a market that allows the observation of representative prices with sufficient frequency and daily volume.
| • |  | Level 2: Financial instruments that do not have an active market, but that may be valued through observable market inputs. Observable market inputs should be understood as such assets with market quoted prices that allow to calculate an interest rate curve or determine a credit spread.
| • |  | Level 3: Valuation using models where variables not obtained from observable market inputs are used.
Financial assets at fair value mainly consist of BCRA Liquidity Bills and Argentine Government Bonds, together with a minor share in Argentine Treasury Bills and Corporate Bonds. Likewise, financial derivatives are classified at fair value, which include futures that are valued at the price of the market where they are traded and foreign currency NDF (non-delivery forwards), put options, and interest rate swaps. b) Transfers between hierarchy levels b.1) Transfers from Level 1 to Level 2 The following instruments measured at fair value were transferred from Level 1 to Level 2 of the fair value hierarchy as of December 31, 2021 and 2020:
|  | December 31, 2021 |  |  | December 31, 2020 |
Treasury Bonds adjusted by CER in pesos maturing in 2021 |  |  | — |  |  |  | 94,640 |
The bond was transferred because it had not been listed on the market the number of days necessary to be considered Level 1. b.2) Transfers from Level 2 to Level 1 The following instruments measured at fair value were transferred from Level 2 to Level 1 of the fair value hierarchy as of December 31, 2021:
|  | December 31, 2021 |
Treasury Bonds adjusted by 1.20% CER in pesos maturing 03-18-2022 |  |  | 4,225,658 |
Treasury Bonds adjusted by 1.50% CER in pesos maturing 03-25-2024 |  |  | 12,733,272 |
Treasury Bonds adjusted by 1.40% CER in pesos maturing 03-25-2023 |  |  | 9,717,708 |
Treasury Bonds adjusted by 1.30% CER in pesos maturing 09-20-2022 |  |  | 10,809,133 |
The transfer is due to the fact that the bonds were listed on the market the number of days necessary to be considered Level 1. As of December 31, 2020, there were no transfers from Level 2 to Level 1. b.3) Valuation techniques for Levels 2 and 3 The valuation techniques for Level 2 and 3 are described in the paragraphs below. Fixed Income The determination of fair value prices set forth by the Bank for fixed income consists of considering reference market prices from the Electronic Open Market, in Spanish, Mercado Abierto Electrónico (“MAE”), the main market where bonds are traded. For Argentine Treasury Bonds (medium- and long-term debt instruments) prices are captured from MAE. If bonds have not traded for the last 10 business days, fair value is determined by discounting cash flows using the pertinent discount curve. Argentine Treasury Bills (short-term debt instruments) which have not traded for the last 10 business days are measured by reference to their cash flows discounted using the respective yield curve, based on the currency in which the bills were issued. In particular, US-dollar linked Treasury Bills (Lelinks) are measured using the yield curve in pesos. Liquidity bills issued by the BCRA without quoted prices in MAE on the last day of the month, the fair value is determined by discounting cash flows using the monetary policy rate. The monetary policy rate is the rate used by the Central Bank of Argentina to make monetary policy.The benchmark rate used for monetary policy is the interest rate on liquidity bills (LELIQs). Swaps For swaps, the fair valuation consists of discounting future cash flows using the interest rate, according to the rate curve resulting from the implicit yield of Rosario Futures Exchange (ROFEX) futures, the main derivatives market in Argentina where these types of securities are traded. Non-Deliverable Forwards The fair value of NDFs consists of discounting the future cash flows to be exchanged pursuant to the contract, using a discount curve that will depend on the currency of each cash flow. The result is then calculated by subtracting the present values in pesos, estimating the value in pesos based on the applicable spot exchange rate, depending on whether the contract is local or offshore. For local peso-dollar swap contracts, cash flows in pesos are discounted using the yield curve in pesos resulting from the prices of ROFEX futures and the U.S. dollar spot selling exchange rate published by Banco de la Nación Argentina (“BNA”). Cash flows in U.S. dollars are discounted using the Overnight Index Swap (OIS) international dollar yield curve. Then, the present value of cash flows in dollars is netted by converting such cash flows into pesos using the U.S. dollar spot selling exchange rate published by BNA. For local peso-euro swap contracts, cash flows in pesos are discounted using the yield curve in pesos resulting from the prices of ROFEX futures and the U.S. dollar spot selling exchange rate published by BNA. Cash flows in euros are discounted using the yield curve in euros. Then, the present value of cash flows in euros is netted by converting such cash flows into pesos using the euro spot selling exchange rate published by BNA. For offshore peso-dollar swap contracts, cash flows in pesos are discounted using the yield curve in pesos resulting from market quoted forward prices sourced from ICAP Broker. Cash flows in dollars are discounted using the OIS yield curve. Then, the present value of cash flows in dollars is netted by converting such cash flows into pesos using the Emerging Markets Traders Association (EMTA) U.S. dollar spot exchange rate. The valuation techniques used for Level 3 financial assets require the use of variables that are not based on observable market inputs. Below is a detail of the valuation techniques used for each financial asset: Investments in Equity Instruments The fair value of the equity interest held in Prisma Medios of Pago S.A., classified as Level 3 (Note 9.3). On October 1, 2021, the Bank, together with the other Class B shareholders, gave notice corresponding to the exercise of the put option and thus initiated the procedure for the sale of 49% of the company’s capital stock. On March 18, 2022, the transfer of the entire remaining shareholding of the Bank in Prisma Medios de Pago S.A. has been completed for a price of US$ 40,038,121.84. As of December 31, 2021, the fair value of the equity interest held in Prisma Medios of Pago S.A was 4,113,917. Corporate Bonds The fair value of the following corporate bonds held in portfolio:
| • |  | ON Petroquímica (ON PCR G)
| • |  | ON Arcor (ON ARCOR17)
| • |  | ON Vista oil y gas (ON VISTA11)
| • |  | ON Ledesma (ON LDCAO)
| • |  | ON Luz de tres picos (ON LTP1)
| • |  | ON Newsan (ON WNC10O)
The valuation of corporate bonds classified as Level 3 has been determined by the Entity’s Management on the basis of the latest available market price (or subscription price, if the security had not been listed in a market since the date of issuance) plus interest accrued to date. If the security has paid coupon, then the “clean” price is calculated. If principal was repaid, then repayment amount is deducted and the “dirty” price is recalculated, with interest being accrued until period end. The most relevant non-observable inputs include:
| • |  | Projected BADLAR scenarios
| • |  | Latest market price
| • |  | Projected Dollar BCRA Communication “A” 3500
| • |  | Projected UVA
The tables below shows a sensitivity analysis for each of the above-mentioned securities:
Badlar Scenarios |  | Changes in final price |
| ON PCR G |  |  | ON WNC10O |  |  | ON LDCAO |
+ 1% |  |  | 0.011616 | % |  |  | 0.002136 | % |  |  | 0.014013 | %
+ 2% |  |  | 0.023232 | % |  |  | 0.004440 | % |  |  | 0.028175 | %
+ 3% |  |  | 0.034848 | % |  |  | 0.006745 | % |  |  | 0.042337 | %
Latest market price scenarios |  | Changes in final price |
|  | PCR G |  |  | WNC10O |  |  | LDCAO |  |  | ARCOR17 |  |  | VISTA11 |  |  | LTP1 |
+ 2% |  |  | 1.930 | % |  |  | 1.968 | % |  |  | 2.043 | % |  |  | 1.997 | % |  |  | 2.008 | % |  |  | 2.000 | %
+ 5% |  |  | 4.826 | % |  |  | 4.920 | % |  |  | 5.108 | % |  |  | 4.994 | % |  |  | 5.021 | % |  |  | 5.000 | %
+ 10% |  |  | 9.652 | % |  |  | 9.839 | % |  |  | 10.215 | % |  |  | 9.987 | % |  |  | 10.042 | % |  |  | 10.000 | %
Dollar 3500 Scenarios |  | Changes in final price |
| ON VISTA11 |  |  | ON LTP1 |
+ 2% |  |  | 2.000 | % |  |  | 2.000 | %
+ 5% |  |  | 5.000 | % |  |  | 5.000 | %
+10% |  |  | 10.000 | % |  |  | 10.000 | %
UVA Scenarios |  | Changes in final price |
| ON ARCOR17 |
+ 2% |  |  | 2.000 | %
+ 5% |  |  | 5.000 | %
+10% |  |  | 10.000 | %
b.4) Reconciliation of opening and ending balances of Level 3 assets and liabilities at fair value The following table shows a reconciliation between opening balances and final balances of Level 3 fair values as of December 31, 2021 and 2020:
|  | December 31, 2021 |  |  | December 31, 2020 |
Balance at the beginning of the fiscal year |  |  | 10,891,656 |  |  |  | 7,640,237 |
Investments in equity instruments – Prisma Medios de Pago S.A. (*) |  |  | (1,483,592 | ) |  |  | 5,085,061 |
Derivatives - Put options - Prisma Medios de Pago S.A. (*) |  |  | (1,182,000 | ) |  |  | 750,180 |
Private securities - Corporate bonds |  |  | 1,041,220 |  |  |  | — |
Dividends received |  |  | (582,269 | ) |  |  | (682,674 | )
Net monetary inflation adjustment |  |  | (3,529,878 | ) |  |  | (1,901,148 | )
Balance at year-end |  |  | 5,155,137 |  |  |  | 10,891,656 |
(*) Presented | in Gains on financial assets and liabilities at fair value through profit or loss, net.
| c) | Fair value of Assets and Liabilities not measured at fair value
Below is a description of methodologies and assumptions used to assess the fair value of the main financial instruments not measured at fair value, when the instrument does not have a quoted price in a known market.
| • |  | Assets and liabilities with fair value similar to their accounting balance
For financial assets and financial liabilities maturing in less than three months, it is considered that the accounting balance is similar to fair value.
| • |  | Fixed rate financial instruments
The fair value of financial assets was assessed by discounting future cash flows from market rates at each measurement date for financial instruments with similar characteristics, adding a liquidity premium (non-observable input) that expresses the added value or additional cost necessary to dispose of the asset.
| • |  | Variable rate financial instruments
For financial assets and financial liabilities accruing a variable rate, it is considered that the accounting balance is similar to the fair value. The fair value hierarchy of assets and liabilities not measured at fair value as of December 31, 2021 is detailed below:
|  | Book value |  |  | Total fair value |  |  | Level 2 Fair value |  |  | Level 3 Fair value |
Financial assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Cash and cash equivalents |  |  | 218,277,286 |  |  |  | (a | ) |  |  | — |  |  |  | — |
Other financial assets |  |  | 28,437,414 |  |  |  | (a | ) |  |  | — |  |  |  | — |
Debt securities |  |  | 19,857,627 |  |  |  | 22,084,903 |  |  |  | 22,084,903 |  |  |  | — |
Loans and advances |  |  | 378,995,107 |  |  |  | 373,131,211 |  |  |  | — |  |  |  | 373,131,211 |
Reverse repurchase agreements |  |  | 137,382,938 |  |  |  | (a | ) |  |  | — |  |  |  | — |
Financial liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Deposits |  |  | 708,336,185 |  |  |  | 699,975,184 |  |  |  | 699,975,184 |  |  |  | — |
Other financial liabilities |  |  | 61,592,426 |  |  |  | (a | ) |  |  | — |  |  |  | — |
Bank loans |  |  | 11,758,005 |  |  |  | 11,490,026 |  |  |  | 11,490,026 |  |  |  | — |
Debt securities issued |  |  | 502,975 |  |  |  | 398,573 |  |  |  | 398,573 |  |  |  | — |
The fair value hierarchy of assets and liabilities not measured at fair value as of December 31, 2020 is detailed below:
|  | Book value |  |  | Total fair value |  |  | Level 2 Fair value |  |  | Level 3 Fair value |
Financial assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Cash and cash equivalents |  |  | 229,491,716 |  |  |  | (a | ) |  |  | — |  |  |  | — |
Other financial assets |  |  | 31,458,292 |  |  |  | (a | ) |  |  | — |  |  |  | — |
Loans and advances |  |  | 422,010,840 |  |  |  | 417,263,061 |  |  |  | — |  |  |  | 417,263,061 |
Reverse repurchase agreements |  |  | 73,488,887 |  |  |  | (a | ) |  |  | — |  |  |  | — |
Financial liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Deposits |  |  | 721,837,845 |  |  |  | 715,158,115 |  |  |  | 2,532,537 |  |  |  | 712,625,578 |
Other financial liabilities |  |  | 59,209,439 |  |  |  | (a | ) |  |  | — |  |  |  | — |
Bank loans |  |  | 14,529,681 |  |  |  | 14,898,662 |  |  |  | 7,265,248 |  |  |  | 7,633,414 |
Debt securities issued |  |  | 1,764,178 |  |  |  | 1,717,199 |  |  |  | 1,717,199 |  |  |  | — |
a) | The Group does not report the fair value as the accounting values are a reasonable approximation of the fair values.

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