ECCB 2022-2023 Annual Report and Financial Statements

Eastern Caribbean Central Bank Notes to the Financial Statements For the year ended 31 March 2023 (Expressed in Eastern Caribbean dollars)

3. Financial risk management (continued)

e) Fair value (continued)

Fair value hierarchy

IFRS 7 specifies a hierarchy of valuation techniques based on whether the inputs to those valuation techniques are observable or unobservable. Observable inputs reflect market data obtained from independent sources; unobservable inputs reflect the Bank’s market assumptions. These two types of inputs have created the following fair value hierarchy: - Level 1: Quoted prices in active markets for identical assets and liabilities. - Level 2: Inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly (that is, as prices) or indirectly (that is, derived from prices). - Level 3: Inputs for the assets or liabilities that are not based on observable market data. This level includes equity investments and debt instruments with significant unobservable components.

The hierarchy requires the use of observable market data when available. The Bank considers relevant and observable market prices in valuations where possible.

The following table presents the Bank’s financial assets and liabilities that are measured at fair value at 31 March 2023:

Level 1

Level 2

Level 3

$

$

$

Financial assets Commercial paper

-

254,367,980 811,468,052

-

Foreign investment securities Domestic investment securities

3,179,042,521

78,205 624,186

-

-

3,179,042,521 1,065,836,032

702,391

Level 1

Level 2

Level 3

$

$

$

Financial liabilities

Derivative financial instruments

-

485,367

-

During the current year, the Bank reassessed its fair value levelling process and identified securities of $1,401,058,876 with observable prices that were not traded in an active market as at 31 March 2022. The corresponding disclosures have been revised to include those securities within Level 2 as at 31 March 2022.

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