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Rothschild & Co | Annual Report 2017
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1. Overview
4. Financial statements
3.
Management report
2. Business review
The fair value of financial instruments at amortised cost is determined at the reporting date as follows:
• Loans to customers and their associated interest rates: these are compared, by maturity, with similar recent transactions. In the event of a material
difference in interest rates or any other factor indicating that an asset’s fair value is materially different from the net carrying amount, the fair value
is adjusted accordingly. To determine the asset’s fair value, the Group estimates the counterparty’s default risk and calculates the sum of future
cash flows, taking into account the debtor’s financial standing. An impaired loan where the carrying value of the loan is decided by a DCF, using best
estimates of recoverable cash flows, is classified in Level 3.
• Repurchase agreements and amounts due to banks and customers: the fair value of these instruments is determined using a DCF technique, the
discount rate of which is adjusted for the appropriate credit margin.
• Debt securities in issue: the fair value of these instruments is determined using external prices which can be regularly observed from a reasonable
number of market makers. However, these prices do not represent a directly tradable price.
Carried at fair value
In millions of euro
31/12/2017
TOTAL
Measured using
Level 1
Level 2
Level 3
Financial assets
Trading securities – short term
30.6
30.6
–
–
Financial assets designated at FVTPL – long term
500.0
42.0 458.0
–
Derivative financial instruments
17.4
–
17.4
–
AFS public bills and similar securities
112.3 112.3
–
–
AFS bonds, other fixed income securities and accrued interest
874.4 825.2
45.8
3.4
AFS equity securities
609.7 568.0
8.3
33.4
TOTAL FINANCIAL ASSETS
2,144.4 1,578.1 529.5
36.8
Financial liabilities
Derivative financial instruments
31.4
–
31.4
–
TOTAL FINANCIAL LIABILITIES
31.4
–
31.4
–
In millions of euro
31/03/2017
TOTAL
Measured using
Level 1
Level 2
Level 3
Financial assets
Trading securities – short term
17.1
17.1
–
–
Financial assets designated at FVTPL – long term
393.8
40.2 353.6
–
Derivative financial instruments
21.5
–
21.5
–
AFS public bills and similar securities
173.1 173.1
–
–
AFS bonds, other fixed income securities and accrued interest
891.9 822.9
65.5
3.5
AFS equity securities
551.4 472.6
11.7
67.1
TOTAL FINANCIAL ASSETS
2,048.8 1,525.9 452.3
70.6
Financial liabilities
Derivative financial instruments
42.0
–
42.0
–
TOTAL FINANCIAL LIABILITIES
42.0
–
42.0
–