7 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.

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Fair value of financial instruments

 

31.12.2015

31.12.2014 (restated) *

in CHF thousands

Carrying Value

Fair Value

Deviation

Carrying Value

Fair Value

Deviation

*

The comparison period was adjusted on the basis of the restatement. See point 2.1 of the accounting principles.

Assets

 

 

 

 

 

 

Cash and balances with central banks

2'559'972

2'559'972

0

1'362'755

1'362'755

0

Due from banks

4'254'074

4'260'282

6'208

5'773'872

5'780'173

6'301

Due from customers

10'991'490

11'623'046

631'556

10'718'492

11'265'729

547'237

Trading portfolio assets

2'450

2'450

0

561

561

0

Derivative financial instruments

62'013

62'013

0

87'781

87'781

0

Financial investments at fair value

1'438'608

1'438'608

0

2'397'076

2'397'076

0

 

 

 

 

 

 

 

Liabilities

 

 

 

 

 

 

Due to banks

673'634

675'052

–1'418

484'599

484'985

–386

Due to customers

15'627'049

15'719'261

–92'212

15'657'835

15'698'847

–41'012

Liabilities from insurance contracts

0

0

0

75'650

75'650

0

Financial liabilities at fair value

0

0

0

1'193'397

1'193'397

0

Derivative financial instruments

151'593

151'593

0

165'809

165'809

0

Debt issued

1'213'244

1'289'414

–76'170

1'152'960

1'221'721

–68'761

 

 

 

 

 

 

 

Deviation between fair value and carrying value

 

 

467'964

 

 

438'516

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 customers

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.