32 Fair Value of Financial Instruments

Financial instruments measured at fair value – hierarchy
In CHF million 
 
Quoted prices
(level 1)
Valuation technique –
observable inputs
(level 2)
Valuation technique –
unobservable inputs
(level 3)


Total
 
Measurement basis as at 31 December 2009
 
Financial assets
 
Derivatives
  17557035780
Debt securities at fair value through profit or loss
  2 0553532262 634
Debt securities available for sale
  45 1661 9544647 166
Equity securities at fair value through profit or loss
  2 0186042 622
Equity securities available for sale
  2 5015021 6864 689
Financial assets pledged as collateral
  330330
Financial assets for the account and risk of the Swiss Life Group's customers
  15 67178030016 751
Total financial assets
  67 9164 7632 29374 972
 
Financial liabilities
 
Derivatives
  –85–197–282
Other financial liabilities
  –900–900
Financial liabilities for the account and risk of the Swiss Life Group's customers
  –15 071–300–15 371
Total financial liabilities
  –85–16 168–300–16 553


The fair value of financial instruments included in level 1 is based on unadjusted quoted prices in active markets for identical assets or liabilities.

The fair value of financial instruments that are not traded in an active market is determined using valuation techniques. If all significant inputs to these valuation techniques are observable (directly and indirectly) in the market, the financial instruments are included in level 2.

If one or more significant inputs to these valuation techniques are not observable in the market, the financial instruments are included in level 3. Such inputs may include information that is derived through extrapolation which is not substantiated by observable market data or that reflects own assumptions about what market participants would use in pricing the asset or liability.

No significant transfers were made between level 1 and level 2 of the fair value hierarchy.

Financial assets measured at fair value based on level 3 for the year 2009
In CHF million 
  Debt securitiesEquity securities
 

Derivatives
At fair value
through
profit or loss

Available
for sale
At fair value
through
profit or loss

Available
for sale
Balance as at 1 January
  333806072 495
Total gains/losses recognised in the income statement
  219–24–64
Total gains/losses recognised directly in equity
  7213
Purchases
  0514 094
Sales
  –173–595–5 052
Foreign currency translation differences
  000
Balance as at end of period
  35226461 686
 
Total gains/losses recognised in the income statement are presented in
 
net gains/losses on financial assets
  –24–64
net gains/losses on financial instruments at fair value through profit or loss
  219
 
Gains/losses for assets held at end of period recognised in the income statement are presented in
 
net gains/losses on financial assets
  –20–150
net gains/losses on financial instruments at fair value through profit or loss
  213


The following table summarises the carrying amounts and fair values of those financial assets and liabilities not presented in the Group’s balance sheet at fair value:

In CHF million 
  Carrying amountFair value
  31.12.200931.12.200831.12.200931.12.2008
 
Assets
 
Loans and receivables
  34 12537 02935 30135 368
Financial assets held to maturity
  6 4327 1595 9046 926
 
Liabilities
 
Investment contracts without discretionary participation
  433355433355
Borrowings
  2 7313 1232 3022 060
Other financial liabilities
  6 3856 6726 3856 672


 
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