XML 30 R11.htm IDEA: XBRL DOCUMENT v3.22.1
ESTIMATION OF FAIR VALUE
12 Months Ended
Dec. 31, 2021
Disclosure of estimations of fair value [abstract]  
ESTIMATION OF FAIR VALUE

NOTE 5 – ESTIMATION OF FAIR VALUE

The fair value of the financial assets and liabilities traded in active markets (such as financial assets in debt securities, equity securities and derivatives actively listed in stock exchanges or interbank markets) is based on dirty prices supplied by a price vendor. A dirty price includes accrued unpaid interest on the security, from the date of issuance or last payment of interest, up the date at which the  security is valued.

An active market is a market where transactions for assets or liabilities are carried out with sufficient frequency and volume in order to provide price information on an ongoing basis. The fair value of financial assets and liabilities that are not traded in an active market is determined through appraisal techniques determined by the price supplier or by the management of Grupo Aval’s entities. Appraisal techniques used for non-standardized financial instruments such as options, foreign exchange swaps and derivatives of the over-the-counter market, which include the use of interest rate or currency assessment curves built by providers and extrapolated to the specific conditions of the instrument being appraised, discounted cash flow analysis, options pricing models and other valuation techniques commonly used by market participants who rely mostly on market data and the least possible on specific data of entities.

Grupo Aval may use models developed internally for financial instruments with no active markets. These models are usually based on valuation techniques and methods generally standardized in the financial sector. The valuation models are mainly used for appraising financial equity instruments not listed on the stock exchange, debt certificates and other debt instruments for which the markets were or have been inactive during the financial period. Some inputs of these models may not be observable in the market and are therefore estimated based on assumptions.

The output of a model is always an estimate or approximation of a value that cannot be determined with certainty, and the valuation techniques used may not fully reflect all the factors relevant to the positions of Grupo Aval. Therefore, the appraisals are adjusted, if necessary, to allow for additional factors, including country risk, liquidity risks and counterparty risks.

The fair value hierarchy has the following levels:

●Level 1 inputs are quoted prices (unadjusted) in active markets for assets or liabilities identical to those which the entity can access as of the date of measurement.
●Level 2 inputs are inputs different than quoted prices included in Level 1 that are observable for the asset or liability, whether directly or indirectly in non-active markets.
●Level 3 inputs are unobservable inputs for the asset or liability.

The level in the fair value hierarchy within which fair value measurement is classified in whole is determined based on the input of the lowest level that is most significant for measuring its total fair value. For such purpose, the relevance of an input is assessed in connection with the measurement of the total fair value. Financial instruments that are listed in markets that are not deemed active, but which are valued based in accordance with quoted market prices, quotes from price vendors or alternative price sources supported by observable inputs, are classified in Level 2.

If a fair value measurement uses observable inputs that require significant adjustments based on unobservable inputs, this measurement is classified as Level 3. The assessment of the importance of a particular input to the measurement of fair value in whole requires judgment, taking into account specific factors of the asset or liability.

Determining what is deemed as ‘observable’ requires a significant judgment by Grupo Aval. Grupo Aval considers as observable data the market data which is already available, distributed or updated by the price suppliers, and it is reliable and verifiable, with no property rights, and provided by independent sources which are actively involved in the reference market.

​

5.1          Measurements of Fair Value on a Recurring Basis

Measurements of fair value on a recurring basis are those required or allowed in statement of financial position at the end of each accounting period.

​

​

The following table presents an analysis, within the hierarchy of fair value, of Grupo Aval´s assets and liabilities (by class), measured at fair value as of December 31, 2021 and 2020 on a recurring basis.

​

December 31, 2021

​

​

​

​

​

​

​

​

​

​

​

​

​

​

    

  Level 1  

    

    Level 2

    

    Level 3

    

    Total

Assets

​

​

  

​

​

  

​

​

  

​

​

  

​

​

​

​

​

​

​

​

​

​

​

​

​

Trading investments

​

​

  

​

​

  

​

​

  

​

​

  

Securities issued or secured by Colombian Government

​

Ps.

2,244,069

​

Ps.

513,883

​

Ps.

—

​

Ps.

2,757,952

Securities issued or secured by other Colombian Government entities

​

​

—

​

​

249,510

​

​

—

​

​

249,510

Securities issued or secured by foreign Governments

​

​

—

​

​

150,962

​

​

62,901

​

​

213,863

Securities issued or secured by other financial entities

​

​

—

​

​

1,476,476

​

​

—

​

​

1,476,476

Securities issued or secured by non-financial sector entities

​

​

—

​

​

9,388

​

​

—

​

​

9,388

Others

​

​

—

​

​

34,098

​

​

—

​

​

34,098

Total trading investments

​

Ps.

2,244,069

​

Ps.

2,434,317

​

Ps.

62,901

​

Ps.

4,741,287

Investments in debt securities at fair value through profit or loss

​

​

  

​

​

  

​

​

  

​

​

  

Others

​

​

—

​

​

—

​

​

—

​

​

—

Total investments in debt securities at fair value through profit or loss

​

Ps.

2,244,069

​

Ps.

2,434,317

​

Ps.

62,901

​

Ps.

4,741,287

Investments in debt securities at fair value through OCI

​

​

  

​

​

  

​

​

  

​

​

  

Securities issued or secured by Colombian Government

​

​

10,638,542

​

​

5,433,220

​

​

—

​

​

16,071,762

Securities issued or secured by other Colombian Government entities

​

​

108,028

​

​

714,886

​

​

—

​

​

822,914

Securities issued or secured by foreign Governments

​

​

1,324,236

​

​

11,408,428

​

​

—

​

​

12,732,664

Securities issued or secured by central banks

​

​

—

​

​

1,857,718

​

​

—

​

​

1,857,718

Securities issued or secured by other financial entities

​

​

—

​

​

4,186,830

​

​

18,094

​

​

4,204,924

Securities issued or secured by non-financial sector entities

​

​

—

​

​

737,710

​

​

—

​

​

737,710

Others

​

​

52,466

​

​

1,005,882

​

​

7,826

​

​

1,066,174

Total investments in debt securities at fair value through OCI

​

Ps.

12,123,272

​

Ps.

25,344,674

​

Ps.

25,920

​

Ps.

37,493,866

Total investments in debt securities

​

Ps.

14,367,341

​

Ps.

27,778,991

​

Ps.

88,821

​

Ps.

42,235,153

​

​

​

​

​

​

​

​

​

​

​

​

​

Equity securities

​

​

  

​

​

  

​

​

  

​

​

  

Trading equity securities

​

​

6,404

​

​

3,807,594

​

​

1,268,576

​

​

5,082,574

Investments in equity through OCI

​

​

1,313,152

​

​

4,395

​

​

88,588

​

​

1,406,135

Total equity securities

​

Ps.

1,319,556

​

Ps.

3,811,989

​

Ps.

1,357,164

​

Ps.

6,488,709

​

​

​

​

​

​

​

​

​

​

​

​

​

Held for trading derivatives

​

​

  

​

​

  

​

​

  

​

​

  

Currency forward

​

​

—

​

​

851,109

​

​

—

​

​

851,109

Debt securities forward

​

​

—

​

​

1,099

​

​

—

​

​

1,099

Interest rate swap

​

​

—

​

​

208,440

​

​

—

​

​

208,440

Currency swap

​

​

—

​

​

39,589

​

​

—

​

​

39,589

Currency options

​

​

—

​

​

62,191

​

​

—

​

​

62,191

Index future

​

​

481

​

​

—

​

​

—

​

​

481

Total held for trading derivatives

​

Ps.

481

​

Ps.

1,162,428

​

Ps.

—

​

Ps.

1,162,909

Hedging derivatives

​

​

  

​

​

  

​

​

  

​

​

  

Currency forward

​

​

—

​

​

6,677

​

​

—

​

​

6,677

Interest rate swap

​

​

—

​

​

27,579

​

​

—

​

​

27,579

Currency swap

​

​

—

​

​

9,992

​

​

—

​

​

9,992

Total hedging derivatives

​

Ps.

—

​

Ps.

44,248

​

Ps.

—

​

Ps.

44,248

Other account receivables

​

​

  

​

​

  

​

​

  

​

​

  

​

​

​

​

​

​

​

​

​

​

​

​

​

​

    

  Level 1  

    

    Level 2

    

    Level 3

    

    Total

Financial assets in concession contracts

​

​

—

​

​

—

​

​

3,228,480

​

​

3,228,480

Total other account receivables designated at fair value

​

Ps.

—

​

Ps.

—

​

Ps.

3,228,480

​

Ps.

3,228,480

Non- financial assets

​

​

  

​

​

  

​

​

  

​

​

  

Biological assets

​

​

—

​

​

—

​

​

154,986

​

​

154,986

Investment properties

​

​

—

​

​

—

​

​

852,935

​

​

852,935

Total non- financial assets

​

Ps.

—

​

Ps.

—

​

Ps.

1,007,921

​

Ps.

1,007,921

Total assets at fair value on recurring basis

​

Ps.

15,687,378

​

Ps.

32,797,656

​

Ps.

5,682,386

​

Ps.

54,167,420

​

​

​

​

​

​

​

​

​

​

​

​

​

Liabilities

​

​

​

​

​

​

​

​

​

​

​

​

Trading derivatives

​

​

​

​

​

​

​

​

​

​

​

​

Currency forward

​

​

—

​

​

659,871

​

​

—

​

​

659,871

Debt securities forward

​

​

—

​

​

3,014

​

​

—

​

​

3,014

Index futures

​

​

4,972

​

​

—

​

​

—

​

​

4,972

Interest rate swap

​

​

—

​

​

230,862

​

​

—

​

​

230,862

Currency swap

​

​

—

​

​

72,044

​

​

—

​

​

72,044

Currency options

​

​

—

​

​

79,147

​

​

—

​

​

79,147

Total trading derivatives

​

Ps.

4,972

​

Ps.

1,044,938

​

Ps.

—

​

Ps.

1,049,910

Hedging derivatives

​

​

​

​

​

​

​

​

​

​

​

​

Currency forward

​

​

—

​

​

33,160

​

​

—

​

​

33,160

Interest rate swap

​

​

—

​

​

22,653

​

​

—

​

​

22,653

Total hedging derivatives

​

Ps.

—

​

Ps.

55,813

​

Ps.

—

​

Ps.

55,813

Total liabilities at fair value on recurring basis

​

Ps.

4,972

​

Ps.

1,100,751

​

Ps.

—

​

Ps.

1,105,723

​

December 31, 2020

​

​

​

​

​

​

​

​

​

​

​

​

​

​

    

Level 1

    

Level 2

    

Level 3

    

Total

Assets

​

​

  

​

​

  

​

​

  

​

​

  

​

​

​

​

​

​

​

​

​

​

​

​

​

Trading investments

​

​

  

​

​

  

​

​

  

​

​

  

Securities issued or secured by Colombian Government

​

Ps.

1,748,734

​

Ps.

1,083,245

​

Ps.

—

​

Ps.

2,831,979

Securities issued or secured by other Colombian Government entities

​

​

—

​

​

187,295

​

​

—

​

​

187,295

Securities issued or secured by foreign Governments

​

​

—

​

​

129,082

​

​

72,230

​

​

201,312

Securities issued or secured by other financial entities

​

​

—

​

​

1,502,818

​

​

—

​

​

1,502,818

Securities issued or secured by non-financial sector entities

​

​

—

​

​

24,975

​

​

—

​

​

24,975

Others

​

​

—

​

​

32,614

​

​

—

​

​

32,614

Total trading investments

​

Ps.

1,748,734

​

Ps.

2,960,029

​

Ps.

72,230

​

Ps.

4,780,993

Investments in debt securities at fair value through profit or loss

​

​

  

​

​

  

​

​

  

​

​

  

Others

​

​

—

​

​

—

​

​

7,385

​

​

7,385

Total investments in debt securities at fair value through profit or loss

​

Ps.

1,748,734

​

Ps.

2,960,029

​

Ps.

79,615

​

Ps.

4,788,378

Investments in debt securities at fair value through OCI

​

​

  

​

​

  

​

​

  

​

​

  

Securities issued or secured by Colombian Government

​

​

9,943,470

​

​

2,903,729

​

​

—

​

​

12,847,199

Securities issued or secured by other Colombian Government entities

​

​

174,614

​

​

286,459

​

​

—

​

​

461,073

Securities issued or secured by foreign Governments

​

​

1,813,022

​

​

7,850,302

​

​

—

​

​

9,663,324

Securities issued or secured by central banks

​

​

—

​

​

1,862,922

​

​

—

​

​

1,862,922

Securities issued or secured by other financial entities

​

​

168,314

​

​

2,740,688

​

​

3,430

​

​

2,912,432

Securities issued or secured by non-financial sector entities

​

​

—

​

​

49,570

​

​

—

​

​

49,570

Others

​

​

35,491

​

​

1,122,041

​

​

12,304

​

​

1,169,836

Total investments in debt securities at fair value through OCI

​

Ps.

12,134,911

​

Ps.

16,815,711

​

Ps.

15,734

​

Ps.

28,966,356

Total investments in debt securities

​

Ps.

13,883,645

​

Ps.

19,775,740

​

Ps.

95,349

​

Ps.

33,754,734

​

​

​

​

​

​

​

​

​

​

​

​

​

Equity securities

​

​

  

​

​

  

​

​

  

​

​

  

Trading equity securities

​

​

1,351

​

​

4,076,598

​

​

1,045,990

​

​

5,123,939

Investments in equity through OCI

​

​

1,400,896

​

​

221

​

​

113,973

​

​

1,515,090

Total equity securities

​

Ps.

1,402,247

​

Ps.

4,076,819

​

Ps.

1,159,963

​

Ps.

6,639,029

​

​

​

​

​

​

​

​

​

​

​

​

​

Held for trading derivatives

​

​

  

​

​

  

​

​

  

​

​

  

Currency forward

​

​

—

​

​

817,161

​

​

—

​

​

817,161

Debt securities forward

​

​

—

​

​

349

​

​

—

​

​

349

Interest rate swap

​

​

—

​

​

245,618

​

​

—

​

​

245,618

Currency swap

​

​

—

​

​

31,394

​

​

—

​

​

31,394

Currency options

​

​

—

​

​

39,402

​

​

—

​

​

39,402

Total held for trading derivatives

​

Ps.

—

​

Ps.

1,133,924

​

Ps.

—

​

Ps.

1,133,924

​

​

​

​

​

​

​

​

​

​

​

​

​

​

    

Level 1

    

Level 2

    

Level 3

    

Total

Hedging derivatives

​

​

  

​

​

  

​

​

  

​

​

  

Currency forward

​

​

—

​

​

123,325

​

​

—

​

​

123,325

Currency swap

​

​

—

​

​

32,895

​

​

—

​

​

32,895

Total hedging derivatives

​

Ps.

—

​

Ps.

156,220

​

Ps.

—

​

Ps.

156,220

Other account receivables

​

​

  

​

​

  

​

​

  

​

​

  

Financial assets in concession contracts

​

​

—

​

​

—

​

​

2,958,385

​

​

2,958,385

Total other account receivables designated at fair value

​

Ps.

—

​

Ps.

—

​

Ps.

2,958,385

​

Ps.

2,958,385

Non- financial assets

​

​

  

​

​

  

​

​

  

​

​

  

Biological assets

​

​

—

​

​

—

​

​

122,675

​

​

122,675

Investment properties

​

​

—

​

​

—

​

​

808,556

​

​

808,556

Total non- financial assets

​

Ps.

—

​

Ps.

—

​

Ps.

931,231

​

Ps.

931,231

Total assets at fair value on recurring basis

​

Ps.

15,285,892

​

Ps.

25,142,703

​

Ps.

5,144,928

​

Ps.

45,573,523

​

​

​

  

​

​

  

​

​

  

​

​

  

Liabilities

​

​

​

​

​

​

​

​

​

​

​

​

Trading derivatives

​

​

​

​

​

​

​

​

​

​

​

​

Currency forward

​

​

—

​

​

1,112,439

​

​

—

​

​

1,112,439

Debt securities forward

​

​

—

​

​

2,071

​

​

—

​

​

2,071

Index futures

​

​

1,165

​

​

—

​

​

—

​

​

1,165

Interest rate swap

​

​

—

​

​

251,414

​

​

—

​

​

251,414

Currency swap

​

​

—

​

​

39,705

​

​

—

​

​

39,705

Currency options

​

​

—

​

​

45,780

​

​

—

​

​

45,780

Total trading derivatives

​

Ps.

1,165

​

Ps.

1,451,409

​

Ps.

—

​

Ps.

1,452,574

Hedging derivatives

​

​

  

​

​

  

​

​

  

​

​

  

Currency forward

​

​

—

​

​

26,924

​

​

—

​

​

26,924

Interest rate swap

​

​

—

​

​

29,703

​

​

—

​

​

29,703

Total hedging derivatives

​

Ps.

—

​

Ps.

56,627

​

Ps.

—

​

Ps.

56,627

Total liabilities at fair value on recurring basis

​

Ps.

1,165

​

Ps.

1,508,036

​

Ps.

—

​

Ps.

1,509,201

​

5.1.1.          Trading assets in debt securities pledged as collateral

The following is a list of held-for-trading financial assets that are being used as collateral in repo operations, pledged as collateral for transactions with financial instruments, or pledged to third parties as collateral to secure financial obligations with other banks (See note 21).

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

    

    December 31, 2021

​

​

Level 1

​

Level 2

​

Level 3

​

Total

Pledged as collateral in money market operations

​

​

​

​

​

​

​

​

​

​

​

​

Securities issued or secured by foreign Governments

 

Ps.

—

 

Ps.

36,005

​

Ps.

—

​

Ps.

36,005

Securities issued or secured by Colombian Government

​

​

1,722,648

​

​

253,834

​

​

—

​

​

1,976,482

Securities issued or secured by other financial entities

​

​

—

​

​

205,634

​

​

—

​

​

205,634

​

 

Ps.

1,722,648

 

Ps.

495,473

​

Ps.

—

​

Ps.

2,218,121

Pledged as collateral to special entities such as CRCC, BR and BVC (*)

​

​

​

​

​

​

​

​

​

​

​

​

Securities issued or secured by Colombian Government

 

Ps.

20,444

 

Ps.

—

​

Ps.

—

​

Ps.

20,444

​

​

Ps.

20,444

​

Ps.

—

​

Ps.

—

​

Ps.

20,444

​

 

Ps.

1,743,092

 

Ps.

495,473

​

Ps.

—

​

Ps.

2,238,565

(*)    Cámara de Riesgo Central de Contraparte (“CRCC”), Banco de la República (“BR”) and Bolsa de Valores de Colombia (“BVC”)

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

    

    December 31, 2020

​

​

Level 1

​

Level 2

​

Level 3

​

Total

Pledged as collateral in money market operations

​

​

​

​

​

​

​

​

​

​

​

​

Securities issued or secured by foreign Governments

 

Ps.

—

 

Ps.

27,440

​

Ps.

—

​

Ps.

27,440

Securities issued or secured by Colombian Government

​

​

877,445

​

​

428,598

​

​

—

​

​

1,306,043

Securities issued or secured by other financial entities

​

​

—

​

​

50,801

​

​

—

​

​

50,801

Others

​

​

—

​

​

7,545

​

​

—

​

​

7,545

​

 

Ps.

877,445

 

Ps.

514,384

​

Ps.

—

​

Ps.

1,391,829

Pledged as collateral to special entities such as CRCC, BR and BVC (*)

​

​

​

​

​

​

​

​

​

​

​

​

Securities issued or secured by Colombian Government

 

Ps.

59,743

 

Ps.

—

​

Ps.

—

​

Ps.

59,743

​

​

Ps.

59,743

​

Ps.

—

​

Ps.

—

​

Ps.

59,743

Pledged as collateral to financial obligations

​

​

​

​

​

​

​

​

​

​

​

​

Securities issued or secured by foreign Governments

​

Ps.

—

​

Ps.

7

​

Ps.

—

​

Ps.

7

​

​

Ps.

—

​

Ps.

7

​

Ps.

—

​

Ps.

7

​

 

Ps.

937,188

 

Ps.

514,391

​

Ps.

—

​

Ps.

1,451,579

(*)    Cámara de Riesgo Central de Contraparte (“CRCC”), Banco de la República (“BR”) and Bolsa de Valores de Colombia (“BVC”)

​

5.1.2          Investment in debt at FVOCI securities pledged as collateral

The following is a list of debt securities at FVOCI that are being used as collateral in repo operations, pledged as collateral for transactions with financial instruments, or pledged to third parties as collateral to secure financial obligations with other banks (See note 21).

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

    

December 31, 2021

​

​

Level 1

​

Level 2

​

Level 3

​

Total

Pledged as collateral in money market operations

​

​

  

​

​

  

​

​

  

​

​

  

Securities issued or secured by central banks

​

Ps.

—

​

Ps.

37,797

​

Ps.

—

​

Ps.

37,797

Securities issued or secured by foreign Governments

 

​

1,091,388

 

​

143,630

​

​

—

​

​

1,235,018

Securities issued or secured by Colombian Government

 

  

4,659,290

 

  

880,629

​

  

—

​

  

5,539,919

Securities issued or secured by other Colombian Government entities

 

  

9,002

 

  

59,303

​

  

—

​

  

68,305

Securities issued or secured by other financial entities

 

  

—

 

  

435,588

​

  

—

​

  

435,588

Securities issued or secured by non-financial sector entities

​

​

—

​

​

4,927

​

​

—

​

​

4,927

Others

 

  

52,466

 

  

138,987

​

  

—

​

  

191,453

​

 

Ps.

5,812,146

 

Ps.

1,700,861

​

Ps.

—

​

Ps.

7,513,007

Pledged as collateral in operations with derivative instruments

 

  

  

 

  

  

​

  

  

​

  

  

Securities issued or secured by Colombian Government

 

  

11,155

 

  

—

​

  

—

​

  

11,155

​

 

Ps.

11,155

 

Ps.

—

​

Ps.

—

​

Ps.

11,155

Pledged as collateral to special entities such as CRCC, BR and BVC (*)

 

  

  

 

  

  

​

  

  

​

  

  

Securities issued or secured by Colombian Government

 

  

912,559

 

  

18,920

​

  

—

​

  

931,479

​

 

Ps.

912,559

 

Ps.

18,920

​

Ps.

—

​

Ps.

931,479

​

 

Ps.

6,735,860

 

Ps.

1,719,781

​

Ps.

—

​

Ps.

8,455,641

(*) Cámara de Riesgo Central de Contraparte (“CRCC”), Banco de la República (“BR”) and Bolsa de Valores de Colombia (“BVC”)

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

December 31, 2020

​

​

Level 1

​

Level 2

​

Level 3

​

Total

Pledged as collateral in money market operations

​

​

  

​

​

  

​

​

  

​

​

  

Securities issued or secured by central banks

​

Ps.

—

​

Ps.

869

​

Ps.

—

​

Ps.

869

Securities issued or secured by foreign Governments

​

​

913,836

 

​

243,546

​

​

—

​

​

1,157,382

Securities issued or secured by Colombian Government

​

  

3,260,950

 

  

342,847

​

  

—

​

  

3,603,797

Securities issued or secured by other Colombian Government entities

​

  

7,760

 

  

35,842

​

  

—

​

  

43,602

Securities issued or secured by other financial entities

​

  

36,747

 

  

106,807

​

  

—

​

  

143,554

Others

​

  

35,492

 

  

128,113

​

  

—

​

  

163,605

​

​

Ps.

4,254,785

 

Ps.

858,024

​

Ps.

—

​

Ps.

5,112,809

Pledged as collateral in operations with derivative instruments

​

  

  

 

  

  

​

  

  

​

  

  

Securities issued or secured by Colombian Government

​

  

—

 

  

10,247

​

  

—

​

  

10,247

​

​

Ps.

—

 

Ps.

10,247

​

Ps.

—

​

Ps.

10,247

Pledged as collateral to special entities such as CRCC, BR and BVC (*)

​

  

  

 

  

  

​

  

  

​

  

  

Securities issued or secured by Colombian Government

​

  

552,083

 

  

63,016

​

  

—

​

  

615,099

​

​

Ps.

552,083

 

Ps.

63,016

​

Ps.

—

​

Ps.

615,099

​

​

Ps.

4,806,868

 

Ps.

931,287

​

Ps.

—

​

Ps.

5,738,155

(*) Cámara de Riesgo Central de Contraparte (“CRCC”), Banco de la República (“BR”) and Bolsa de Valores de Colombia (“BVC”)

​

5.2          Items Measured at Fair Value on a Non-Recurring Basis

Grupo Aval is required on a nonrecurring basis to adjust the carrying value of certain assets and liabilities or provide valuation allowances. These assets or liabilities primarily include impaired collateralized loans and non-current assets held for sale. The fair value of these assets which are classified as Level 3 are determined using pricing models, discounted cash flow methodologies, current replacement cost or similar techniques, using internal models or external experts with sufficient experience and knowledge of the real estate market or of assets being appraised. Generally, these appraisals are carried out by references to market data or based on the replacement cost, when sufficient market data is not available.

The following table presents Grupo Aval’s assets and liabilities, classified within the fair value hierarchy, which are measured on a nonrecurring basis as of December 31, 2021 and 2020 at fair value less cost of sale:

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Level 1

​

Level 2

​

Level 3

​

Total

December 31, 2021

​

​

​

​

​

​

​

​

​

​

​

​

Impaired collateralized loans

 

Ps.

—

 

Ps.

—

 

Ps.

1,959,513

 

Ps.

1,959,513

Non- current assets held for sale

​

​

—

​

​

—

​

​

208,426

​

​

208,426

​

 

Ps.

—

 

Ps.

—

 

Ps.

2,167,939

 

Ps.

2,167,939

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Level 1

​

Level 2

​

Level 3

​

Total

December 31, 2020

​

​

​

​

​

​

​

​

​

​

​

​

Impaired collateralized loans

 

Ps.

—

 

Ps.

—

 

Ps.

1,508,693

 

Ps.

1,508,693

Non- current assets held for sale

​

​

—

​

​

—

​

​

240,412

​

​

240,412

​

 

Ps.

—

 

Ps.

—

 

Ps.

1,749,105

 

Ps.

1,749,105

​

​

​

5.3          Fair Value determination

The following tables provide information about valuation techniques and significant inputs when measuring fair value on a recurring basis for assets and liabilities, with fair value hierarchy classification of level 2 or level 3.

Level 2 instruments are those which are valued using inputs other than quoted prices included within level 1 that are observable for the asset or liability, either directly or indirectly.

The following table provides information about valuation techniques and significant inputs when measuring fair value on a recurring basis for assets and liabilities classified as level 2.

​

​

​

​

ASSETS AND LIABILITIES

Valuation technique Level 2

Significant inputs

Investments in debt securities at fair value

In Colombian Pesos

Securities issued or secured by the Colombian Government
Securities issued or secured by other financial entities
Securities issued or secured by non-financial sector entities
Others

​
Income approach


Market approach

​
Theoretical price / estimated price(1)


Average price / market price(2)

Securities issued or secured by other Colombian Government entities

​
Income approach


Market approach

​
Theoretical price / estimated price(1)
Yield and margin

Average price / market price(2)
​

In Foreign Currency

Securities issued or secured by the Colombian Government

Income approach



Market approach

​
Negotiation price, if there are not negotiations, it is calculated by groups of debt securities according to the Superintendency of Pensions methodologies.
Theoretical price / estimated price(1)

Average price / market price(2)

Securities issued or secured by other Colombian Government entities

​
Income approach


Market approach

​
Theoretical price / estimated price(1)


Market price(2)

Securities issued or secured by foreign Governments

​
Income approach







Market approach

​
Discounted cash flows using yields from similar securities outstanding
Discounted cash flows
Negotiation price, if there are not negotiations, it is calculated by groups of debt securities according to the Superintendency of Pensions methodologies.
Last auction allocation price
Market price or price calculated based on benchmarks set by price providers methodologies

Bloomberg Generic
Market price(2)

Securities issued or secured by central banks

Income approach

Discounted cash flows using yields from similar securities outstanding
Discounted cash flows
Market price or price calculated based on benchmarks set by price providers methodologies
Last auction allocation price

​

​

​

ASSETS AND LIABILITIES

Valuation technique Level 2

Significant inputs

Securities issued or secured by other financial entities
Others

​
Income approach





Market approach

Theoretical price / estimated price(1)
Discounted cash flows using yields from similar securities outstanding
Discounted cash flows
Negotiation price, if there are not negotiations, it is calculated by groups of debt securities according to the Superintendency of Pensions methodologies.
Market price or price calculated based on benchmarks set by price providers methodologies.

Bloomberg Generic
Market price(2)

Securities issued or secured by non-financial sector entities

​
​
Income approach



​

Market approach

Negotiation price, if there are not negotiations, it is calculated by groups of debt securities according to the Superintendency of Pensions methodologies.
Theoretical price / estimated price(1)
Market price or price calculated based on benchmarks set by price providers methodologies.

Market price(2)

Equity securities

Corporate stock

Market approach

Estimated prices(1)

Investment funds (2)

Market approach

Market value of underlying assets, less management and administrative fees

Trading derivatives

Foreign currency forward

​
Income approach


​

Market approach

Discounted cash flow
FWD points, discount rates of different currencies and Spot exchange rates
Cash exchange rate and interest rate US$ and CRC

TRM, curves and market price(2)

Debt securities forward

Income approach

Discounted cash flow

Interest rate swap
Cross currency swap

Income approach

Market approach

Discounted cash flow

IBR and fixed rate

Currency options

​
Income approach


Market approach

​
Discounted cash flow
Black&Sholes&Merton model

TRM, delta rates interest
​

Hedging derivatives

Currency forward

​
Income approach

Market approach

Discounted cash flow

TRM, curves

Currency options

Income approach

Discounted cash flow

Interest rate swap

Income approach

Market approach

Discounted cash flow

Curves

Currency futures

Income approach

Discount rate, spot rate

​

(1)Estimated Price: A valuation model based on information obtained from a price vendor when it is not able to supply quoted prices (unadjusted) for each security. This model is the basis for the construction of the valuation margin of the securities that is represented on the assigned curve or reference rate. This margin remains constant on the assigned curve or reference rate when calculating the theoretical valuation price.
(2)Quoted market prices (i.e. obtained from price vendors). The subsidiary Porvenir S. A. according to Colombian rules is required to invest to 1% of its total assets under management from severance and mandatory pension funds.

​

​

The following table provides information about valuation techniques and significant unobservable inputs when measuring Level 3 assets and liabilities at recurring fair value.

​

​

​

​

​

ASSETS

Valuation technique Level 3

Significant inputs

Investments in debt securities at fair value

In Foreign Currency

Securities issued or secured by foreign Governments

Income approach

Discounted cash flows

Securities issued or secured by other financial entities

​
​​

​
Income approach



Market approach

​

​
Discounted cash flows
Discounted cash flows using yields from similar securities outstanding.
Market price or price calculated based on benchmarks set by price providers methodologies.
Internal rate os return

Bloomberg Generic

Securities issued or secured by non-financial sector entities

​
​
Income approach

​

​
Discounted cash flows
Market price or price calculated based on benchmarks set by price providers methodologies
​

Others

Income approach

Discounted cash flows

Equity securities

Investments in equity securities(1)

​
Discounted cash flow


Adjusted net Asset Value

Comparable Multiples

- Growth in values after 5 years
- Income
- Discount interest rates

- Current financial assets

- Multiple of EBITDA

Other financial assets

Assets under concession contracts

Discounted cash flow

- Free-cash flow from concession contracts
- Concession contract’s maturity period
- Perpetuity value of the year “n” free-cash flow
- Present value of the discounted residual value at Weighted Average Cost of Capital ("WACC").


The detail of valuation process for financial assets in concession arrangements are outlined in (2)

Non-financial assets

Biological assets

Discounted cash flow

The processes used to collect data and determine the fair value of biological assets are described in (3)

Investment properties

Discounted cash flow

The processes used to collect data and determine the fair value of investment properties are described in (4)

​

​

​

(1)          Valuation of equity securities Level 3

Investments with fair value hierarchy level 3 have significant unobservable inputs. Level 3 instruments include equity instruments, which are not quoted on any stock exchange. Given that observable prices are not available for these securities, Grupo Aval has used valuation techniques as discounted cash flows to obtain fair value.

The following table includes a sensitivity analysis of main equity securities amounting to Ps.43,383 as of December 31, 2021 classified at FVOCI level 3.

​

​

​

​

​

​

​

​

​

​

​

​

​

​

    

Favorable

    

Unfavorable

Methods and Variables

    

Variation

    

impact 

    

impact

Comparable multiples / Recent transaction price

​

​

​

​

​

​

​

​

EBITDA Number of times

 

+/-1 x

 

Ps.

246,938

 

Ps.

(967,707)

Adjusted net Asset Value

​

​

​

​

​

​

​

​

Current financial assets

​

+/-5%

​

​

50

​

​

(50)

Adjusted discounted cash flow

​

​

​

​

​

​

​

​

Growth in residual values after 5 years

 

+/-1%

 

​

7,508

 

​

(16,247)

Income

 

+/-1%

 

​

67,645

 

​

(73,742)

Discount interest rates

 

+/- 50 bps

 

​

48,141

 

​

(59,605)

​

​

​

 

Ps.

370,282

 

Ps.

(1,117,351)

​

​

(2)          Valuation of financial assets under Gas and Energy concession arrangement rights

Promigas and subsidiaries, designated the financial assets under concession contracts at fair value, the method used to estimate it is discounted cash flows.

The assumptions and inputs used in the calculation of the financial asset estimate were:

●The expiration date of each concession contract.
●The proportion of the expiry period left of each of the concession contracts in force.
●Operational cash flows (only) of the assets under concession.

​

The components of the calculations are the following:

●Free cash flow generated solely by assets under concession.
●Expiry period of the concession.
●Amount in - perpetuity of the Free Cash Flow (FCF) of the year, estimated factoring in a growth in the residual amount between 1% and 3% each year.
●Current amount of the residual amount Weighted Average Cost of Capital (WACC *), between 8.39% and 8.80% each year.

​

(*) Nominal WACC calculated under the Capital Asset Pricing Model (CAPM) methodology for each, updated annually. The following variables were used for determining the WACC:

●Beta unlevered USA (Oil/Gas Distribution): Damodaran. (Unlevered Beta 0.59, 2020)
●Risk Free Rate, Source: Geometric Average 1996-2020 of American bonds “T-Bonds”.
●Market Return, Source: Geometric Average 1996-2020 Damodaran “Stocks” USA.
●Market Premium: Market Return – Risk Free Rate.
●Country Risk Premium: Average last 5 years EMBI (Difference between 10-year Colombian sovereign bonds and 10 years “T-Bonds”). Damodaran.
●Emerging Market: Equity Premium Emerging countries (Lambda - Damodaran)

​

​

Sensitivity analysis

The following table includes a sensitivity analysis of the assumptions used by Promigas and its subsidiaries in the calculation of fair value of unconditional transfer rights of gas pipelines to Government entities at the expiration date of the contracts. The value of the financial asset at December 31, 2021 is Ps. 3,228,480 and Ps. 2,958,385 at 2020, the sensitivity analysis shows their increase or decrease.

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

December 31, 2021

​

December 31, 2020

Variable

    

+100 bps

    

-100 bps

    

+100 bps

    

-100 bps

WACC

 

Ps.

(788,000)

​

Ps.

1,232,537

​

Ps.

(675,517)

​

Ps.

1,029,057

Perpetuity growth rate

​

​

700,340

​

​

(483,643)

​

​

596,031

​

​

(420,953)

(*) Perpetuity growth rate in the case of concessions with renewal clauses that are highly likely to be exercised.

​

(3)          Biological Assets

Fair value of Grupo Aval subsidiaries “biological assets”, which correspond to agricultural activities related to biological assets (animals or plants), is estimated based on internal reports prepared by the companies who own such assets. Fair value of biological assets is determined using valuations performed by experienced internal professionals, using discounted cash flow models. Since no comparable market exist for the biological assets, given their nature, their fair value is determined using discounted cash flows models for each biological asset, based on estimated future quantities of crops, prices, harvesting costs, and maintenance and crop yields, among others, discounted using a risk-free rate adjusted by an appropriate risk premium. See note 15.

The main assumptions used for determining the fair value of the principal biological assets are as follows:

1.          Biological assets growing in rubber crops:

The price of natural rubber used to calculate the 2022-2024 cash flows was forecasted based on the average of the last 3 years of the Technically Specified Rubber (TSR20) per ton since January 2019 Ps. 0.41 (US$  1,530/Ton), in order to reflect the behavior of the commodity for an entire economic cycle. Forecasted prices are adjusted annually based on the expected US inflation rate.

2.          Biological assets growing in African palm crops:

The price of African palm oil (US$ per ton) used to calculate the 2022-2023 cash flows was forecasted based on the average price of palm oil since January 2020 (US$ 810.8/Ton), in order to reflect the behavior of the commodity for an entire economic cycle. Forecasted prices are adjusted annually with the expected US inflation rate.

(4)          Investment properties

Investment properties are recognized at fair value, based on a valuation made at each year-end period using, as a basis, independent appraisal expert whose report is obtained and reviewed by management. While in the countries in which we operate, the frequency of transactions in the real state sector is low compared to other more developed markets, management believes there are enough references to assess the fair value of investment properties owned by Grupo Aval and its subsidiaries based on comparable market transactions. (See note 15.4)

​

Fire-sales are excluded from the comparable transactions used to estimate the fair-value of investment properties. Management has reviewed the main assumptions used by the independent external appraisers (such as inflation, interest rates, etc.) and believes they are consistent with market conditions at each end of period. However, management believes that the estimation of the fair value of investment properties depends on significant judgment from the independent expert appraisers, and as such, there could be a significant probability that the actual price of sale of a property differs from its fair value. (See note 5.1)

5.4          Transfers between level 1 and level 2 of the fair value hierarchy

The following table summarizes the transfer between fair value levels 1 and 2 during 2021 and 2020. In general, transfers between Level 1 and Level 2 in the investment portfolios are due, fundamentally, to changes in the liquidity levels of the securities in the markets.

December 31, 2021

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

 

​

​

Investments in debt 

​

Investments in debt 

​

​

securities at FVTPL

​

securities at FVOCI

​

​

Transfers between:

​

Transfers between:

​

    

Level 2 to 1

    

Level 1 to 2

    

Level 2 to 1

    

Level 1 to 2

Securities issued or secured by Colombian Government

 

Ps.

—

 

Ps.

—

 

Ps.

—

 

Ps.

813,196

Securities issued or secured by other Colombian Government entities

​

​

—

​

​

—

​

​

—

​

​

193,459

Securities issued or secured by other financial entities

​

​

—

​

​

—

​

​

—

​

​

54,873

Others

​

​

—

​

​

—

​

​

16,446

​

​

—

​

 

Ps.

—

 

Ps.

—

​

Ps.

16,446

 

Ps.

1,061,528

​

December 31, 2020

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Investments in debt 

​

Investments in debt 

​

​

securities at FVTPL

​

securities at FVOCI

​

​

Transfers between:

​

Transfers between:

​

    

Level 2 to 1

    

Level 1 to 2

    

Level 2 to 1

    

Level 1 to 2

Securities issued or secured by Colombian Government

 

Ps.

64,374

  

Ps.

—

 

Ps.

685,075

 

Ps.

—

​

 

Ps.

64,374

​

Ps.

—

 

Ps.

685,075

​

Ps.

—

​

There were no transfers of fair values between levels 2 to or from level 3.

​

5.5          Reconciliation Level 3 of the fair value hierarchy

The reconciliation of the balances at the beginning of the period to the closing balances with the fair value measurements classified at Level 3 is shows in the following table.

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

    

Financial assets

    

​

​

    

Financial assets in

    

​

​

    

​

​

​

​

in debt

​

Equity

​

concession

​

Biological

​

Investment

​

​

securities

​

instruments

​

arrangements

​

assets

​

properties

January 1, 2019

 

Ps.

13,733

 

Ps.

560,313

 

Ps.

2,488,414

 

Ps.

84,206

 

Ps.

836,324

Valuation adjustment with an effect on income

 

  

(3,018)

 

  

18,721

 

  

217,616

 

  

18,914

​

​

19,597

Valuation adjustments with an effect on OCI

 

  

—

 

  

3,101

 

  

—

 

  

—

​

​

5,288

Transfers to non-current assets held for sale

 

  

—

 

  

—

 

  

—

 

  

—

​

​

21,722

Reclassification

 

  

—

 

  

—

 

​

—

 

  

—

​

​

(2,078)

Additions

 

  

—

 

  

238

 

​

—

 

  

20,559

​

​

116,702

Sales / redemptions

 

​

(613)

 

​

(74)

 

Ps.

—

 

  

(18,822)

​

​

(68,989)

December 31, 2019

 

Ps.

10,102

 

Ps.

582,299

 

Ps.

2,706,030

 

Ps.

104,857

 

Ps.

928,566

Valuation adjustment with an effect on income

 

  

(1,390)

 

  

313,139

 

  

252,355

​

  

15,021

​

​

(46,924)

Valuation adjustments with an effect on OCI

 

  

(1,772)

 

  

6,960

 

  

—

​

  

—

​

​

9,014

Transfers from non-current assets held for sale

 

  

—

 

  

—

 

  

—

​

  

—

​

​

4,323

Reclassification

 

  

—

 

  

108

 

  

—

​

  

—

​

​

11,685

Business combination

​

​

—

​

​

—

​

​

—

​

​

—

​

​

10,164

Effect of movements in exchange rates

​

​

—

​

​

—

​

​

—

​

​

—

​

​

(700)

Additions

 

  

99,094

 

(*)

257,457

 

  

—

​

  

21,285

​

​

37,533

Sales / redemptions

 

​

(10,685)

 

​

—

 

​

—

​

  

(18,488)

​

​

(145,105)

December 31, 2020

 

Ps.

95,349

 

Ps.

1,159,963

 

Ps.

2,958,385

 

Ps.

122,675

 

Ps.

808,556

Valuation adjustment with an effect on income

 

  

4,222

 

  

177,310

 

  

270,095

 

  

28,546

​

​

22,775

Valuation adjustments with an effect on OCI

 

  

85,096

 

  

(6,431)

 

  

—

 

  

—

​

​

7,991

Transfers from non-current assets held for sale

 

  

—

 

  

—

 

  

—

 

  

—

​

​

22,847

Reclassification

 

  

—

 

  

—

 

  

—

 

  

—

​

​

4,490

Effect of movements in exchange rates

​

​

—

​

​

—

​

​

—

​

​

—

​

​

2,964

Additions

 

  

—

 

​

3,553

​

  

—

 

  

27,213

​

​

77,157

Sales / redemptions

 

  

(95,846)

 

  

(15,665)

 

  

—

 

  

(23,448)

​

​

(93,845)

Transfers from level 2 to level 3

​

​

—

​

​

73,859

​

​

—

​

​

—

​

​

—

Transfers from level 3 to level 2

​

​

—

​

​

(35,425)

​

​

—

​

​

—

​

​

—

December 31, 2021

 

Ps.

88,821

 

Ps.

1,357,164

 

Ps.

3,228,480

 

Ps.

154,986

 

Ps.

852,935

(*)    For 12 Months ended as of December 31, 2020 this addition of Ps.257,457 corresponds to: The initial value of the Private Equity Fund Nexus Inmobiliario del Banco de Occidente and Fiduciaria de Occidente for Ps.250,768 and Ps.6,689 refers to new investments in instruments of equity held for trading (shares) of Multibank.

​

5.6          Fair Value of Financial Assets and Liabilities recognized at Amortized Cost

The following table shows a summary of financial assets and liabilities accounted at amortized cost and valued at fair value as of December 31, 2021 and 2020, only for disclosure purposes.

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

December 31, 2021

​

December 31, 2020

​

​

Carrying

​

Fair Value

​

Carrying

​

Fair Value

​

​

Amount

​

Estimate

​

Amount

​

Estimate

Assets

 

  

  

 

  

  

 

  

  

 

  

  

Investments in debt securities at amortized cost (1)

 

Ps.

5,775,070

 

Ps.

5,711,378

 

Ps.

5,580,128

 

Ps.

5,559,263

Credit portfolio at amortized cost (2)

 

  

220,297,825

 

  

222,142,713

 

  

195,541,994

 

  

203,901,379

Total financial assets

 

Ps.

226,072,895

 

Ps.

227,854,091

 

Ps.

201,122,122

 

Ps.

209,460,642

​

​

​

​

​

​

​

​

​

​

​

​

​

Liabilities

 

  

  

 

  

  

 

  

  

 

  

  

Customer deposits (3)

 

Ps.

234,470,422

 

Ps.

235,505,912

 

Ps.

211,841,597

 

Ps.

216,035,503

Financial obligations (4)

 

  

73,282,326

 

  

72,891,434

 

  

58,624,766

 

  

60,181,205

Total financial liabilities

 

Ps.

307,752,748

 

Ps.

308,397,346

 

Ps.

270,466,363

 

Ps.

276,216,708

(1) Financial assets at amortized cost

Fair value of fixed income investments at amortized cost was determined using the dirty price given by the price supplier, securities in an active market and with a market price for the day of the valuation are classified as level 1; securities with no active market and/or with an estimated price (present value of the flows of a security, discounted with the reference rate and the corresponding margin) given by the supplier are classified as level 2 and level 3.

​

(2) Credit portfolio at amortized cost

For credit portfolio at amortized cost, the fair value was determined using discounted cash flows models at the interest rates offered by banks for granting new loans, taking into account the credit risk and its maturity; the process of valuation is deemed as level 3.

Accounts receivable and payable are classified as short-term assets and liabilities; in consequence, their fair value is similar to their book value.

​

(3) Customer deposits

The fair value of demand deposits is equal to their carrying value. For fixed-term deposits with maturities of less than 180 days, their fair value is deemed equal to their carrying value. For fixed-term deposits with maturities of more than 180 days, their fair value was estimated using the carrying discounted cash flow models and the interest rates offered by banks in accordance with their maturity. This is considered as a level 2 valuation.

​

(4) Financial obligations

For financial liabilities and other short-term liabilities, the carrying value was considered to be similar to its fair value. The fair value of long-term financial liabilities was determined using the discounted cash flow model at interest rates free of risk adjusted by risk premiums of each entity. The fair value of outstanding bonds is determined according to quoted prices or estimated prices supplied by the price vendor. It is considered that this is a level 2 valuation.

​

​