8 Fair value of financial instruments
audited information

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.

Fair value of financial instruments

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in CHF thousands

31.12.2009

31.12.2008

 

Carrying
value

Fair value

Deviation

Carrying
value

Fair value

Deviation

Assets

 

 

 

 

 

 

Cash and balances
with central banks

395'827

395'827

0

333'988

333'988

0

Due from banks

8'139'863

8'168'163

28'300

9'439'130

9'492'529

53'399

Due from customers

9'324'442

9'598'689

274'247

9'168'015

9'434'139

266'124

Trading portfolio assets

3'576

3'576

0

4'805

4'805

0

Derivative financial instruments

128'925

128'925

0

212'784

212'784

0

Financial investments at fair value through profit and loss

3'998'057

3'998'057

0

3'164'024

3'164'024

0

 

 

 

 

 

 

 

Liabilities

 

 

 

 

 

 

Due to banks

493'520

494'668

–1'148

876'307

881'366

–5'059

Due to customers

14'607'536

14'583'116

24'420

14'690'835

14'697'043

–6'208

Liabilities from
insurance contracts

132'887

132'887

0

98'557

98'557

0

Financial liabilities at fair value through profit and loss

3'398'267

3'398'267

0

2'841'524

2'841'524

0

Derivative financial instruments

114'671

114'671

0

193'006

193'006

0

Debt issued

2'001'426

2'060'624

–59'198

2'380'884

2'453'816

–72'932

 

 

 

 

 

 

 

Deviation between fair value and carrying value

 

 

266'621

 

 

235'324

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 and 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.

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