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 represents a market-based measurement and not an entity-specific valuation. It is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date on the principal market or the most advantageous market. Details about the measurement of fair values are shown in note 36.

Fair value of financial instruments

 

31.12.2013

31.12.2012

in CHF thousands

Carrying
Value

Fair Value

Deviation

Carrying
Value

Fair Value

Deviation

Assets

 

 

 

 

 

 

Cash and balances with central banks

2'075'560

2'075'560

0

2'164'647

2'164'647

0

Due from banks

6'082'003

6'087'903

5'900

5'732'925

5'750'094

17'169

Due from customers

10'240'089

10'598'019

357'930

10'614'990

11'105'418

490'428

Trading portfolio assets

5'061

5'061

0

4'246

4'246

0

Derivative financial instruments

86'951

86'951

0

73'009

73'009

0

Financial investments at fair value through profit and loss

1'969'238

1'969'238

0

976'143

976'143

0

 

 

 

 

 

 

 

Liabilities

 

 

 

 

 

 

Due to banks

981'065

981'403

–338

713'690

714'213

–523

Due to customers

15'599'995

15'601'866

–1'871

16'072'392

16'105'593

–33'201

Liabilities from insurance contracts

266'151

266'151

0

0

0

0

Financial liabilities at fair value through profit and loss

811'778

811'778

0

0

0

0

Derivative financial instruments

108'929

108'929

0

124'026

124'026

0

Debt issued

1'127'596

1'164'140

–36'544

1'246'682

1'316'144

–69'462

 

 

 

 

 

 

 

Deviation between fair value and carrying value

 

 

325'077

 

 

404'411

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.

Netting of financial assets and financial liabilities

The table below provides an overview of the financial assets and financial liabilities, which are subject to an enforceable netting agreement or similar agreements. The LLB Group has concluded agreements with various counterparties, which permit netting. These are mainly agreements in connection with securities lending and borrowing transactions, reverse-repurchase deals, and over-the-counter transactions. The LLB Group does not conduct netting with the financial assets and financial liabilities of balance sheet transactions. Accordingly, the table below shows unnetted amounts in the balance sheet, risks therefore which the bank has accepted with the individual executed transactions, and which existed on the balance sheet date. The information provided in the table below does not represent the current credit risk in connection with the transactions conducted by the LLB Group.

 

Subject to netting agreements

Potential netting amounts

 

 

 

in CHF thousands

Gross
amounts
before
netting

Netting
amounts

On the
balance
sheet
reco-
gniced amounts, net

Financial
instru-
ments

Financial
collaterals

Amounts
after potential
netting

Amounts
without
potential
netting

On the
balance
sheet
reco-
gniced amounts, net

31.12.2013

 

 

 

 

 

 

 

 

Financial assets subject to off-setting, enforcable netting agreements or similar arrangements

 

 

 

 

 

 

 

 

Reverse repurchase agreements

1'966'885

0

1'966'885

0

–1'966'885

0

0

1'966'885

Positive replacement values

86'950

0

86'950

–7'651

–25'181

54'118

0

86'950

Cash collateral receivables on derivative instruments

25'250

0

25'250

–25'250

0

0

0

25'250

Total assets

2'079'085

0

2'079'085

–32'901

–1'992'066

54'118

0

2'079'085

 

 

 

 

 

 

 

 

 

Financial liabilites subject to off-setting, enforcable netting agreements or smilar arrangements

 

 

 

 

 

 

 

 

Negative replacement values

108'929

0

108'929

–25'250

0

83'679

0

108'929

Cash collateral payables on derivative instruments

6'863

 

6'863

–6'863

0

0

0

6'863

Total liabilites

115'792

0

115'792

–32'114

0

83'679

0

115'792

 

 

 

 

 

 

 

 

 

31.12.2012

 

 

 

 

 

 

 

 

Financial assets subject to off-setting, enforcable netting agreements or similar arrangements

 

 

 

 

 

 

 

 

Reverse repurchase agreements

1'321'150

0

1'321'150

0

–1'321'150

0

0

1'321'150

Positive replacement values

73'009

0

73'009

–770

–10'502

61'737

0

73'009

Cash collateral receivables on derivative instruments

20'709

0

20'709

–20'709

0

0

0

20'709

Total assets

1'414'868

0

1'414'868

–21'479

–1'331'652

61'737

0

1'414'868

 

 

 

 

 

 

 

 

 

Financial liabilites subject to off-setting, enforcable netting agreements or smilar arrangements

 

 

 

 

 

 

 

 

Negative replacement values

124'026

0

124'026

–20'709

0

103'317

0

124'026

Cash collateral payables on derivative instruments

0

0

0

0

0

0

0

0

Total liabilites

124'026

0

124'026

–20'709

0

103'317

0

124'026

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