Page 214 - 2017 TSMC Annual Report

Financial assets at FVTPL
Held for trading
Forward exchange contracts Cross currency swap contracts
Designated as at FVTPL Time deposit
Forward exchange contracts
Available-for-sale financial assets
Corporate bonds Agency bonds/Agency
mortgage-backed securities Asset-backed securities Government bonds
Publicly traded stocks
Hedging derivative financial assets
Fair value hedges
Interest rate futures contracts
Financial liabilities at FVTPL
Held for trading
Forward exchange contracts
Designated as at FVTPL Forward exchange contracts
- -
- -
-
-
- - - -
-
-
- - -
$
$
$
$
$
$
Level 1 Level 2
$ - $ 142,406 $ - 10,976
- 6,297,708 - 22
$ - $ 6,451,112 $
$ - $ 29,999,508 $
- 14,880,482
- 11,254,757 8,346,989 110,373 3,196,658 -
$ 11,543,647 $ 56,245,120 $
$ 5,550 $ - $
$ - $ 91,585 $ - 99,550
$ - $191,135 $
Level 3
Total
142,406 10,976
6,297,708 22
6,451,112
29,999,508
14,880,482 11,254,757 8,457,362 3,196,658
67,788,767
5,550
91,585
December 31, 2016
In the fourth quarter of 2017, the Company reassessed the bid-ask spread and the transaction volume of the fixed income securities in determining whether there were quoted prices in active markets. Accordingly, the Company classified the fair value hierarchy levels of corporate bonds, agency bonds, agency mortgage-backed securities and some government bonds as level 2. To have consistent comparative basis, the Company had revised prior year classification from level 1 to level 2.
There were no purchases and disposals for assets classified as Level 3 for the years ended December 31, 2017 and 2016, respectively.
Valuation techniques and assumptions used in Level 2 fair value measurement
The fair values of financial assets and financial liabilities are determined as follows:
The fair values of corporate bonds, agency bonds, agency mortgage-backed securities, asset-backed securities, and government bonds are determined by quoted market prices.
Forward exchange contracts and cross currency swap contracts are measured using forward exchange rates and the discounted curves that are derived from quoted market prices. For investments in commercial paper and time deposit designated as FVTPL, the fair values are determined by the present value of future cash flows based on the discounted curves that are derived from the quoted market prices.
99,550 $191,135
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- 66 -