7 Fair value of financial instruments
The following 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 transaction date on the principal market or the most advantageous market. Details about the measurement of fair values are shown in note 34.
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31.12.2016 |
31.12.2015 |
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in CHF thousands |
Carrying value |
Fair value |
Deviation |
Carrying value |
Fair value |
Deviation |
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Assets |
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Cash and balances with central banks |
3'450'726 |
3'450'726 |
0 |
2'559'972 |
2'559'972 |
0 |
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Due from banks |
3'114'861 |
3'116'584 |
1'723 |
4'254'074 |
4'260'282 |
6'208 |
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Loans |
11'538'876 |
12'090'778 |
551'902 |
10'991'490 |
11'623'046 |
631'556 |
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Trading portfolio assets |
3'781 |
3'781 |
0 |
2'450 |
2'450 |
0 |
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Derivative financial instruments |
82'607 |
82'607 |
0 |
62'013 |
62'013 |
0 |
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Financial investments at fair value |
1'438'618 |
1'438'618 |
0 |
1'438'608 |
1'438'608 |
0 |
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Liabilities |
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Due to banks |
622'932 |
624'153 |
–1'221 |
673'634 |
675'052 |
–1'418 |
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Due to customers |
15'860'465 |
15'939'393 |
–78'928 |
15'627'049 |
15'719'261 |
–92'212 |
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Derivative financial instruments |
161'976 |
161'976 |
0 |
151'593 |
151'593 |
0 |
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Debt issued |
1'228'035 |
1'289'599 |
–61'564 |
1'213'244 |
1'289'414 |
–76'170 |
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Deviation between fair value and carrying value |
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411'911 |
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467'964 |
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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 is 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 and financial investments at fair value through profit and loss
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.