8 Fair value of financial instruments

The table shows the fair values of financial instruments based on the valuation methods explained in the following, and assumptions. The fair value corresponds to the amount, at which assets could be exchanged or obligations fulfilled between knowledgeable, willing parties. If an active market exists (e. g. a recognised exchange), the LLB Group determines the fair value on the basis of the market price or other market quotes. Details about the determination of fair values are shown in note 39.

Fair value of financial instruments

(XLS:)

 

31.12.2012

31.12.2011

in CHF thousands

Carrying value

Fair 
value

Deviation

Carrying value

Fair 
value

Deviation

Assets

 

 

 

 

 

 

Cash and balances with central banks

2'164'647

2'164'647

0

896'749

896'749

0

Due from banks

5'732'925

5'750'094

17'169

6'819'971

6'855'292

35'321

Loans

10'614'990

11'105'418

490'428

10'327'445

10'795'518

468'073

Trading portfolio assets

4'246

4'246

0

4'379

4'379

0

Derivative financial instruments

73'009

73'009

0

125'988

125'988

0

Financial investments at fair value through profit and loss

976'143

976'143

0

937'954

937'954

0

 

 

 

 

 

 

 

Liabilities

 

 

 

 

 

 

Due to banks

713'690

714'213

–523

595'105

596'049

–944

Due to customers

16'072'392

16'105'593

–33'201

15'769'758

15'801'285

–31'527

Liabilities from insurance contracts

0

0

0

0

0

0

Financial liabilities at fair value through profit and loss

0

0

0

0

0

0

Derivative financial instruments

124'026

124'026

0

166'387

166'387

0

Debt issued

1'246'682

1'316'144

–69'462

1'249'356

1'317'044

–67'688

 

 

 

 

 

 

 

Deviation between fair value and carrying value

 

 

404'411

 

 

403'235

The following valuation methods are applied in calculating the fair value of financial instruments:

Cash and balances with central banks and money market instruments

These financial instruments have a maturity or a refinancing profile of maximum one year. The book value corresponds approximately to fair value.

Due from/to banks, loans and due to custumers

The fair value of these positions having a maturity or a refinancing profile are determined using similar maturity swap rates. Replicate portfolios are employed for products for which fixed interest rates or cash flows are not known in advance.

Trading portfolio assets, derivative financial instruments, financial investments at fair value through profit and loss, investment property and due from / to insurance business

For the majority of financial instruments, fair value corresponds to the market value. The fair value of financial instruments without an established market value is determined using generally accepted valuation models.

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