| A | B | C | D | E | F | G | H | I | J | K | L | M | N | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
1 | ||||||||||||||
2 | THE BANK | 2020 | 2019 | 2018 | ||||||||||
3 | Quoted prices in active markets | Significant observable inputs | Significant unobservable inputs | Quoted prices in active markets | Significant observable inputs | Significant unobservable inputs | Quoted prices in active markets | Significant observable inputs | ||||||
4 | Level 1 | Level 2 | Level 3 | Total fair value | Level 1 | Level 2 | Level 3 | Total fair value | Level 1 | Level 2 | Total fair value | |||
5 | Financial assets at amortised cost | MUR'000 | MUR'000 | MUR'000 | MUR'000 | MUR'000 | MUR'000 | MUR'000 | MUR'000 | MUR'000 | MUR'000 | MUR'000 | ||
6 | ||||||||||||||
7 | Derivative financial instruments | |||||||||||||
8 | Foreign exchange option contracts | - | 2,062 | - | 2,062 | - | 8,361 | - | 8,361 | - | 11,815 | 11,815 | ||
9 | Spot position account | - | - | - | - | - | - | - | - | - | - | - | ||
10 | Cross currency interest rate swap | - | 97,580 | - | 97,580 | - | - | - | - | - | - | - | ||
11 | Interest rate swaps | - | 3,906 | - | 3,906 | - | - | - | - | - | - | - | ||
12 | Options contracts | - | 92,962 | - | 92,962 | - | - | - | - | - | - | - | ||
13 | - | 321,961 | - | 321,961 | - | 92,413 | - | 92,413 | - | 208,490 | 208,490 | |||
14 | ||||||||||||||
15 | Financial assets mandatorily measured at fair value through profit or loss | |||||||||||||
16 | Government of Mauritius debts securities | - | 850,043 | - | 850,043 | - | 1,416,463 | - | 1,416,463 | - | 1,749,284 | 1,749,284 | ||
17 | Bank of Mauritius bonds and notes | - | 920,011 | - | 920,011 | - | 3,427,026 | - | 3,427,026 | - | 1,209,012 | 1,209,012 | ||
18 | Corporate debt securities and bonds | 190,635 | 81,791 | - | 272,426 | 356 | - | - | 356 | - | - | - | ||
19 | 190,635 | 1,851,845 | - | 2,042,480 | 356 | 4,843,489 | - | 4,843,845 | - | 2,958,296 | 2,958,296 | |||
20 | ||||||||||||||
21 | Debt instruments measured at fair value through other comprehensive income | |||||||||||||
22 | Government of Mauritius treasury bills and bonds | - | - | - | - | - | - | - | - | - | 119,091 | 119,091 | ||
23 | Bank of Mauritius bonds and notes | - | - | - | - | - | - | - | - | - | 451,389 | 451,389 | ||
24 | Foreign Securities treasury bills and bonds | - | - | - | - | - | 3,571,880 | - | 3,571,880 | - | 3,485,461 | 3,485,461 | ||
25 | - | - | - | - | - | 3,571,880 | - | 3,571,880 | - | 4,055,941 | 4,055,941 | |||
26 | ||||||||||||||
27 | Equity investments designated at fair value through other comprehensive income * | |||||||||||||
28 | Equity investments | - | - | 9,673 | 9,673 | - | - | 8,303 | 8,303 | - | - | - | ||
29 | - | - | 9,673 | 9,673 | - | - | 8,303 | 8,303 | - | - | - | |||
30 | ||||||||||||||
31 | 190,635 | 2,173,806 | 9,673 | 2,374,114 | 356 | 8,507,782 | 8,303 | 8,516,441 | - | 7,222,727 | 7,222,727 | |||
32 | Financial liabilities at amortised cost | |||||||||||||
33 | ||||||||||||||
34 | Derivative financial instruments | |||||||||||||
35 | Foreign exchange option contracts | - | (1,759) | - | (1,759) | - | (7,945) | - | (7,945) | - | (11,392) | (11,392) | ||
36 | Forward foreign exchange contracts and swaps | - | (7,706) | - | (7,706) | - | (42,050) | - | (42,050) | - | (52,990) | (52,990) | ||
37 | Interest rate swaps | - | (4,741) | - | (4,741) | - | - | - | - | - | - | - | ||
38 | Options contracts | - | (92,962) | - | (92,962) | - | - | - | - | - | - | - | ||
39 | - | (107,168) | - | (107,168) | - | (49,995) | - | (49,995) | - | (64,382) | (64,382) | |||
40 | ||||||||||||||
41 | ||||||||||||||
42 | - | (107,168) | - | (107,168) | - | (49,995) | - | (49,995) | - | (64,382) | (64,382) |