Annual Report 2012 - Swiss Life

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212 Consolidated Financial Statements 33 Fair Value of Financial Instruments Financial instruments measured at fair value In CHF million Valuation technique – Valuation technique – Quoted prices observable inputs unobservable inputs (level 1) (level 2) (level 3) Total Fair value hierarchy as at 31 December 2012 Financial assets Derivatives 324 1 312 – 1 636 Debt securities at fair value through profit or loss 157 383 154 694 Debt securities available for sale 73 498 5 168 4 78 670 Equity securities at fair value through profit or loss 3 657 176 27 3 860 Equity securities available for sale 1 263 484 759 2 506 Financial assets pledged as collateral 964 – – 964 Financial assets for the account and risk of the Swiss Life Group’s customers 20 315 2 246 68 22 629 Total financial assets 100 178 9 769 1 012 110 959 Financial liabilities Derivatives 89 750 – 839 Investment contracts – 138 – 138 Unit-linked contracts – 20 502 68 20 570 Other financial liabilities – 592 – 592 Total financial liabilities 89 21 982 68 22 139 Fair value hierarchy as at 31 December 2011 Financial assets Derivatives 228 1 090 – 1 318 Debt securities at fair value through profit or loss 1 450 269 187 1 906 Debt securities available for sale 61 517 3 364 2 64 883 Equity securities at fair value through profit or loss 2 147 139 28 2 314 Equity securities available for sale 1 139 484 758 2 381 Financial assets pledged as collateral 969 – – 969 Financial assets for the account and risk of the Swiss Life Group’s customers 18 735 919 246 19 900 Total financial assets 86 185 6 265 1 221 93 671 Financial liabilities Derivatives 60 1 126 – 1 186 Investment contracts – 237 – 237 Unit-linked contracts – 17 970 246 18 216 Other financial liabilities – 566 – 566 Total financial liabilities 60 19 899 246 20 205 The fair value of financial instruments included in level 1 is based on unadjusted quoted prices in active markets for identical assets or liabilities. The fair value of financial instruments that are not traded in an active market is determined using valuation techniques. If all significant inputs to these valuation techniques are observable (directly and indirectly) in the market, the financial instruments are included in level 2. If one or more significant inputs to these valuation techniques are not observable in the market, the financial instruments are included in level 3. Such inputs may include information that is derived through extrapolation which is not substantiated by observable market data or that reflects own assumptions about what market participants would use in pricing the asset or liability. Swiss Life – Annual Report 2012
213 Consolidated Financial Statements For more detailed descriptions of the determination of the fair values of financial instruments refer to note 3. No significant transfers were made between level 1 and level 2 of the fair value hierarchy. As at 31 December 2012, financial assets of CHF 944 million (2011: CHF 975 million) were included in level 3 of the fair value hierarchy (excluding financial assets for the account and risk of the Swiss Life Group’s customers). The exposure primarily consists of alternative investments such as hedge funds, private equity, infrastructure and real estate funds. These investments are valued based on regular reports from the issuing funds. Fair values are reviewed by a team of in-house investment professionals and may be adjusted based on their understanding. Financial assets measured at fair value based on level 3 for the year 2012 In CHF million Financial assets for the account and risk of the Swiss Life Group’s Derivatives Debt securities equity securities customers At fair value At fair value through Available through Available profit or loss for sale profit or loss for sale Balance as at 1 January – 187 2 28 758 246 Total gains/losses recognised in profit or loss – 5 1 1 39 53 Total gains/losses recognised in other comprehensive income – – 2 – 13 – Purchases – – 3 – 93 – Sales – –37 –3 –1 –142 –231 Transfers out of level 3 – – – – – – Foreign currency translation differences – –2 0 – –1 – Balance as at end of period – 154 4 27 759 68 Total gains/losses recognised in profit or loss are presented in net gains/losses on financial assets – – 1 – 39 – net gains/losses on financial instruments at fair value through profit or loss – 5 – 1 – 53 Gains/losses recognised in profit or loss for assets held at end of period are presented in net gains/losses on financial assets – – 0 – –9 – net gains/losses on financial instruments at fair value through profit or loss – 5 – 1 – 0 Swiss Life – Annual Report 2012
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Swiss Life Group annual report 2012
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4 Facts & Figures The Swiss Life
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6 Shareholder’s Letter Dear Share
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8 Summary of Group results Summary
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Amounts in CHF million 2012 2011 +/
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12 Segment Reporting Segment Report
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14 Segment Reporting New products l
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16 Segment Reporting insurance Fran
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18 Segment Reporting insurance Germ
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20 Segment Reporting insurance inte
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22 Segment Reporting Investment Man
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24 Segment Reporting AWD The AWD Gr
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26 Corporate Governance Corporate G
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28 Corporate Governance Talanx AG,
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30 Corporate Governance decreased t
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32 Corporate Governance The accepta
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34 Corporate Governance FRANK SCHNE
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36 Corporate Governance HENRY PETER
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38 Corporate Governance The Board o
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40 Corporate Governance also regula
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42 Corporate Governance Management
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44 Corporate Governance MEMBERS OF
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46 Corporate Governance Other appoi
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48 Corporate Governance Transfer of
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50 Corporate Governance The Board o
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52 Corporate Governance COMPENSATIO
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54 Corporate Governance In the same
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56 Corporate Governance The number
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58 Corporate Governance HIGHEST TOT
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60 Corporate Governance Shareholder
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62 Corporate Governance SUPERVISORY
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64 Risk Management Risk Management
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66 Market Consistent Embedded Value
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In CHF million 2012 2011 70 Market
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100 Market Consistent Embedded Valu
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102 Market Consistent Embedded Valu
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104 Consolidated Financial Statemen
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In CHF million Notes 2012 2011 106
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In CHF million Notes 31.12.2012 31.
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In CHF million 2012 2011 110 Consol
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In CHF million Notes 31.12.2012 31.
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In CHF million CHF EUR USD GBP JPY
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Page 164 and 165: In CHF million 31.12.2012 31.12.201
Page 170 and 171: In CHF million 2012 2011 In CHF mil
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Page 180 and 181: In CHF million 2012 2011 180 Consol
Page 194 and 195: In CHF million 2012 2011 194 Consol
Page 204 and 205: Number of shares 2012 2011 204 Cons
Page 208 and 209: In CHF million 2012 208 Consolidate
Page 210 and 211: In CHF million 01.04.2011 210 Conso
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Page 230 and 231: As % of total share capital 31.12.2
Page 232 and 233: In CHF million 2012 2011 232 Swiss
Page 250 and 251: 250 Share Performance and Historica
Page 252 and 253: 252 Contacts and Publishing Details
Page 254: 130 286 The future starts here. Swi
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Annual Report 2012 - Swiss Life

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