Life settlement contracts

12 Months Ended

Dec. 31, 2011

Life settlement contracts

2011	within 1 year	within 1-2 years	within 2-3 years	within 3-4 years	within 4-5 years	Thereafter	Total
Fair value method  1
Number of contracts	563	986	1,943	2,005	2,330	614	8,441
Carrying value (CHF million)	19	32	59	68	67	550	795
Face value (CHF million)	20	35	67	88	94	2,580	2,884
Investment method
Number of contracts	–	–	–	–	–	8	8
Carrying value (CHF million)	–	–	–	–	–	54	54
Face value (CHF million)	–	–	–	–	–	74	74
2010
Fair value method  1
Number of contracts	929	500	1,002	1,789	1,850	2,804	8,874
Carrying value (CHF million)	30	27	42	80	134	545	858
Face value (CHF million)	31	51	67	137	316	2,877	3,479
Investment method
Number of contracts	–	–	–	–	–	8	8
Carrying value (CHF million)	–	–	–	–	–	51	51
Face value (CHF million)	–	–	–	–	–	70	70
1    Time bands reflect life expectancy.

Realized and unrealized gains and losses on life settlement contracts accounted for under the fair value method

in	2011	2010	2009
CHF million
Realized gains/(losses)	12	44	(39)
Unrealized gains/(losses)	(30)	(105)	(8)

No life insurance premiums are anticipated to be paid for those contracts accounted for under the investment method as of December 31, 2011, for each of the next five years.

Central to the calculation of fair value for life settlement contracts is the estimate of mortality rates. Individual mortality rates are typically obtained by multiplying a base mortality curve for the general insured population provided by a professional actuarial organization together with an individual-specific multiplier. Individual-specific multipliers are determined based on data obtained from third-party life expectancy data providers, which examine insured individual’s medical conditions, family history and other factors to arrive at a life expectancy estimate.

Bank

Life settlement contracts

2011	within 1 year	within 1-2 years	within 2-3 years	within 3-4 years	within 4-5 years	Thereafter	Total
Fair value method
Number of contracts	563	986	1,943	2,005	2,330	614	8,441
Carrying value (CHF million)	19	32	59	68	67	550	795
Face value (CHF million)	20	35	67	88	94	2,580	2,884
Investment method
Number of contracts	–	–	–	–	–	8	8
Carrying value (CHF million)	–	–	–	–	–	54	54
Face value (CHF million)	–	–	–	–	–	74	74
2010
Fair value method
Number of contracts	929	500	1,002	1,789	1,850	2,804	8,874
Carrying value (CHF million)	30	27	42	80	134	545	858
Face value (CHF million)	31	51	67	137	316	2,877	3,479
Investment method
Number of contracts	–	–	–	–	–	8	8
Carrying value (CHF million)	–	–	–	–	–	51	51
Face value (CHF million)	–	–	–	–	–	70	70

Realized and unrealized gains and losses on life settlement contracts accounted for under the fair value method

in	2011	2010	2009
CHF million
Realized gains/(losses)	12	44	(39)
Unrealized gains/(losses)	(30)	(105)	(8)

> Refer to “Note 21 – Life settlement contracts” in V – Consolidated financial statements – Credit Suisse Group for further information.