39 Fair value hierarchy of financial instruments

(XLS:)

in CHF thousands

31.12.2011

31.12.2010

+/– %

*

The financial investments and financial obligations are from non-current assets held for sale and as per 31 December 2011 they are reported separately.

Level 1

 

 

 

Trading portfolio assets

3'635

7'742

–53.0

Derivative financial instruments

0

0

 

Financial investments at fair value through profit and loss

552'405

856'677

–35.5

of which net due from insurance contracts*

0

222'288

–100.0

Total Level 1

556'040

864'419

–35.7

 

 

 

 

 

 

 

 

Level 2

 

 

 

Trading portfolio assets

744

60

 

Derivative financial instruments

125'988

168'796

–25.4

Financial investments at fair value through profit and loss

385'549

1'203'832

–68.0

of which net due from insurance contracts*

0

874'642

–100.0

Total Level 2

512'281

1'372'688

–62.7

 

 

 

 

 

 

 

 

Level 3

 

 

 

Trading portfolio assets

0

0

 

Derivative financial instruments

0

0

 

Financial investments at fair value through profit and loss

0

1'667'440

–100.0

of which net due from insurance contracts*

0

1'667'440

–100.0

Total Level 3

0

1'667'440

–100.0

 

 

 

 

Total assets

1'068'321

3'904'547

–72.6

 

 

 

 

 

 

 

 

Level 1

 

 

 

Financial liabilities at fair value through profit and loss

0

222'288

–100.0

of which financial liabilities from insurance contracts*

0

222'288

–100.0

Derivative financial instruments

0

0

 

Total Level 1

0

222'288

–100.0

 

 

 

 

 

 

 

 

Level 2

 

 

 

Financial liabilities at fair value through profit and loss

0

967'418

–100.0

of which financial liabilities from insurance contracts*

0

967'418

–100.0

Derivative financial instruments

166'387

162'361

2.5

Total Level 2

166'387

1'129'779

–85.3

 

 

 

 

 

 

 

 

Level 3

 

 

 

Financial liabilities at fair value through profit and loss

0

1'667'440

–100.0

of which financial liabilities from insurance contracts

0

1'667'440

–100.0

Derivative financial instruments

0

0

 

Total Level 3

0

1'667'440

–100.0

 

 

 

 

Total liabilities

166'387

3'019'507

–94.5

In the 2011 business year, there were no substantial transfers between Level 1 and Level 2 financial instruments.

Movements of level 3 financial instruments*

(XLS:)

in CHF thousands

Assets

Liabilities

 

Financial investments at fair value through profit and loss

Financial liabilities at fair value through profit and loss

*

There are no risks from level 3 positions.

As at 31 December 2009

2'074'354

2'074'354

Profit/loss

–413'146

–413'146

Purchases

3'994

3'994

Disposals

0

0

Newly issued insurance contracts

4'688

4'688

Expired or terminated insurance contracts

–9'396

–9'396

Transferred to level 3 (from level 2)

6'946

6'946

As at 31 December 2010

1'667'440

1'667'440

 

 

 

Profit/loss

–410'377

–410'377

Purchases

22'489

22'489

Disposals

–10'706

–10'706

Newly issued insurance contracts

12'531

12'531

Expired or terminated insurance contracts

–1'327'853

–1'327'853

Transferred to level 3 (from level 2)

143'446

143'446

Non-current assets held for sale

–96'970

–96'970

As at 31 December 2011

0

0

Level 1: The fair value of listed securities and derivatives contained in the trading portfolio and financial investments is determined on the basis of market price quotes on an active market.

Level 2: If no market price quotes are available, the fair value is determined by means of valuation methods or models, which are based on assumptions made on the basis of observable market prices and other market quotes.

Level 3: For the remaining financial instruments neither market price quotes nor valuation methods or models based on market prices are available. Our own valuation methods or models are used to establish the fair value of these instruments.

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