Notes to the Group Annual Financial Statements | Note 3.6

3. GENERAL INFORMATION
3.6 Fair value measurement

Classes and categories of financial instruments and their fair values
 

The following table combines information about:

  • classes of financial instruments based on their nature and characteristics;
  • the carrying amounts of financial instruments;
  • fair values of financial instruments (except financial instruments when carrying amount approximates their fair value); and
  • fair value hierarchy levels of financial assets and financial liabilities for which fair value was disclosed.
 
Financial assets Financial
liabilities		 Fair value level
Notes FVTPL -
mandatorily
measured
R'000		 FVTPL -
mandatorily
measured
R'000		 1 2 3
Surety loan receivable 3.5 134 753 134 753
SPV5 derivative liability 3.5 — —
Class B Preference Shares 3.5 (242 637) (242 637)
SPV1 derivative asset 3.5 149 030 149 030
Gramercy derivative asset 3.5 223 437 223 437
Escrow receivable 3.5 32 375 32 375
 

There have been no transfers in or out of level 3.

Fair value of the Group's financial assets and financial liabilities that are measured at fair value on a recurring basis

Some of the Group's financial assets and financial liabilities are measured at fair value at the end of each reporting period. The following table gives information about how the fair values of these financial assets and financial liabilities are determined.

Sensitivity analysis of valuations using unobservable inputs

 
Financial asset/ liability Valuation technique
applied		 Significant
unobservable
inputs
applied		 Range of
unobservable
inputs
applied		 Positive/
(negative)
variance
applied to
parameters*		 Potential
effect on
profit or loss
and equity
R'000
Class B Preference Share derivative liability Cell C value-in-use discounted cash flow valuation Moody's rating
Discount rate		 Single Moody's rating down or up
1% / (1%)		 2 066 / (1 636)
36 021 / (42 767)
SPV1 derivative asset Cell C value-in-use discounted cash flow valuation Discount rate (1%) / 1% 32 044 / (26 989)
Gramercy derivative asset Cell C value-in-use discounted cash flow valuation Discount rate (1%) / 1% 48 304 / (40 684)
Escrow receivable Discounting of post churn cash flows after taking into account the credit risk of the books sold Probability of default of the debtors book sold 75 – 100% PD range (10) / 10% 9 101 – (9 101)
 
* A significant parameter has been deemed to be one which may result in a charge to profit or loss, or a change in the fair value of the asset or liability by more than 10% of the underlying value of the affected item.
 

Credit risk of financial instruments designated at fair value

The following table represents the maximum exposure to credit risk of financial liabilities linked to the credit risk of another counterparty:
 
Counterparty credit risk exposure Maximum exposure to credit risk
Class A Preference Share Cell C 208 079