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Rothschild & Co | Annual Report 2017
Level 3: instruments measured using models that are not commonly used and/or that draw on non-observable inputs
Level 3 comprises instruments which are measured, at least in part, on the basis of non-observable market data which is liable to impact the valuation
materially. This could include:
• unquoted shares whose fair value could not be determined using observable inputs and for which the net asset value is the best approximation of fair
value at the closing date; or
• shares of private equity funds or investments managed by third parties, for which the manager and third-party assessor has published a net asset
value, using a valuation technique incorporating parameters that are not directly observable, or using observable inputs with a significant adjustment
which is not observed; or
• more generally, all unquoted equity investments for which the Group uses a valuation technique (comparable valuation multiple, transaction multiple),
as described above, but which incorporates parameters that are not directly observable. Such parameters might include cash flow forecasts for a DCF,
a discount rate which incorporates a risk premium, or an illiquidity discount; for all of these, the parameters may not be directly observable in the market.
2 Fair value of financial instruments
Carried at amortised cost
In millions of euro
31/12/2017
Carrying
value
Fair value
Level 1
Level 2
Level 3
Financial assets
Cash and amounts due from central banks
3,868.9 3,868.9
– 3,868.9
–
Loans and advances to banks
1,730.2 1,730.2
– 1,730.2
–
Loans and advances to customers
2,989.9 2,987.1
– 2,947.7
39.4
TOTAL
8,589.0 8,586.2
– 8,546.8
39.4
Financial liabilities
Due to banks and other financial institutions
636.4 647.6
– 647.6
–
Due to customers
7,771.0 7,771.0
– 7,771.0
–
Debt securities in issue
95.6
95.6
–
95.6
–
TOTAL
8,503.0 8,514.2
– 8,514.2
–
In millions of euro
31/03/2017
Carrying
value
Fair value
Level 1
Level 2
Level 3
Financial assets
Cash and amounts due from central banks
3,907.4 3,907.4
– 3,907.4
–
Loans and advances to banks
1,918.1 1,918.1
– 1,918.1
–
Loans and advances to customers
2,867.3 2,858.5
– 2,801.3
57.2
TOTAL
8,692.8 8,684.0
– 8,626.8
57.2
Financial liabilities
Due to banks and other financial institutions
461.0 463.0
– 463.0
–
Due to customers
8,063.3 8,063.3
– 8,063.3
–
Debt securities in issue
139.6 139.6
– 139.6
–
TOTAL
8,663.9 8,665.9
– 8,665.9
–
Notes to the consolidated financial statements