33 Fair Value of Financial Instruments

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


Total
 
Fair value hierarchy as at 31 December 2012
 
Financial assets
 
Derivatives
  324 1 312 1 636
Debt securities at fair value through profit or loss
  157 383 154 694
Debt securities available for sale
  73 498 5 168 4 78 670
Equity securities at fair value through profit or loss
  3 657 176 27 3 860
Equity securities available for sale
  1 263 484 759 2 506
Financial assets pledged as collateral
  964 964
Financial assets for the account and risk of the Swiss Life Group's customers
  20 315 2 246 68 22 629
Total financial assets
  100 178 9 769 1 012 110 959
 
Financial liabilities
 
Derivatives
  89 750 839
Investment contracts
  138 138
Unit-linked contracts
  20 502 68 20 570
Other financial liabilities
  592 592
Total financial liabilities
  89 21 982 68 22 139


Fair value hierarchy as at 31 December 2011
 
Financial assets
 
Derivatives
  228 1 090 1 318
Debt securities at fair value through profit or loss
  1 450 269 187 1 906
Debt securities available for sale
  61 517 3 364 2 64 883
Equity securities at fair value through profit or loss
  2 147 139 28 2 314
Equity securities available for sale
  1 139 484 758 2 381
Financial assets pledged as collateral
  969 969
Financial assets for the account and risk of the Swiss Life Group's customers
  18 735 919 246 19 900
Total financial assets
  86 185 6 265 1 221 93 671
 
Financial liabilities
 
Derivatives
  60 1 126 1 186
Investment contracts
  237 237
Unit-linked contracts
  17 970 246 18 216
Other financial liabilities
  566 566
Total financial liabilities
  60 19 899 246 20 205


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 2012, financial assets of CHF 944 million (2011: 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 2012
In CHF million  
 




Derivatives





Debt securities





Equity securities
Financial assets
for the account
and risk of the
Swiss Life
Group's
customers
 

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
  187 2 28 758 246
Total gains/losses recognised in profit or loss
  5 1 1 39 53
Total gains/losses recognised in other comprehensive income
  2 13
Purchases
  3 93
Sales
  –37 –3 –1 –142 –231
Transfers out of level 3
 
Foreign currency translation differences
  –2 0 –1
Balance as at end of period
  154 4 27 759 68
 
Total gains/losses recognised in profit or loss are presented in
 
net gains/losses on financial assets
  1 39
net gains/losses on financial instruments at fair value through profit or loss
  5 1 53
 
Gains/losses recognised in profit or loss for assets held at end of period are presented in
 
net gains/losses on financial assets
  0 –9
net gains/losses on financial instruments at fair value through profit or loss
  5 1 0


financial assets measured at fair value based on level 3 for the year 2011
In CHF million  
 




Derivatives





Debt securities





Equity securities
Financial assets
for the account
and risk of the
Swiss Life
Group's
customers
 

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
  194 12 13 812 284
Total gains/losses recognised in profit or loss
  –2 –1 0 49 0
Total gains/losses recognised in other comprehensive income
  0 –1
Purchases
  18 158 0
Sales
  –9 –3 –257 –38
Foreign currency translation differences
  –5 –3
Balance as at end of period
  187 2 28 758 246
 
Total gains/losses recognised in profit or loss are presented in
 
net gains/losses on financial assets
  –1 49
net gains/losses on financial instruments at fair value through profit or loss
  –2 0 0
 
Gains/losses recognised in profit or loss for assets held at end of period are presented in
 
net gains/losses on financial assets
  –1 –15
net gains/losses on financial instruments at fair value through profit or loss
  –2 0 0


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 amount Fair value
  31.12.2012 31.12.2011 31.12.2012 31.12.2011
 
Assets
 
Loans
  21 612 23 615 24 658 25 812
Receivables
  3 876 3 587 3 876 3 587
Financial assets held to maturity
  5 046 5 369
 
Liabilities
 
Investment contracts without discretionary participation
  43 53 43 53
Borrowings
  2 768 2 624 3 090 2 849
Other financial liabilities
  7 722 7 225 7 722 7 225


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