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- Overview
- 1 of 37 General Information
- 2 of 37 Summary of Significant Accounting Policies
- 3 of 37 Critical Accounting Estimates and Judgements in Applying Accounting Policies
- 4 of 37 Segment Information
- 5 of 37 Risk Management Policies and Procedures
- 6 of 37 Earnings per Share
- 7 of 37 Premiums, Policy Fees and Deposits Received
- 8 of 37 Details of Certain Items in the Consolidated Statement of Income
- 9 of 37 Derivatives
- 10 of 37 Financial Assets and Liabilities at Fair Value through Profit or Loss
- 11 of 37 Financial Assets Available for Sale
- 12 of 37 Financial Assets Pledged as Collateral
- 13 of 37 Loans and Receivables
- 14 of 37 Financial Assets Held to Maturity
- 15 of 37 Investment Property
- 16 of 37 Investments in Associates
- 17 of 37 Property and Equipment
- 18 of 37 Intangible Assets including Intangible Insurance Assets
- 19 of 37 Other Assets and Liabilities
- 20 of 37 Investment Contracts
- 21 of 37 Borrowings
- 22 of 37 Other Financial Liabilities
- 23 of 37 Insurance Liabilities and Reinsurance Assets
- 24 of 37 Employee Benefits
- 25 of 37 Income Taxes
- 26 of 37 Provisions
- 27 of 37 Equity
- 28 of 37 Capital Management
- 29 of 37 Acquisitions and Disposals of Subsidiaries
- 30 of 37 Assets Held for Sale and Associated Liabilities
- 31 of 37 Acquisition of Insurance Portfolio
- 32 of 37 Related Party Transactions
- 33 of 37 Fair Value of Financial Instruments
- 34 of 37 Guarantees and Commitments
- 35 of 37 Collateral
- 36 of 37 Future Minimum Lease Payments under Non-Cancellable Operating Leases – Lessor
- 37 of 37 Scope of Consolidation
33 Fair Value of Financial Instruments
Financial instruments measured at fair value
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.
For more detailed descriptions of the determination of the fair values of financial instruments refer to note 3.
No significant transfers were made between level 1 and level 2 of the fair value hierarchy.
As at 31 December 2011, financial assets of CHF 975 million were included in level 3 of the fair value hierarchy (excluding financial assets for the account and risk of the Swiss Life Group’s customers). The exposure primarily consists of alternative investments such as hedge funds, private equity, infrastructure and real estate funds. These investments are valued based on regular reports from the issuing funds. Fair values are reviewed by a team of in-house investment professionals and may be adjusted based on their understanding.
Financial assets measured at fair value based on level 3 for the year 2011
financial assets measured at fair value based on level 3 for the year 2010
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:
