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Notes to the Group’s Financial Statements

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Select note 1–41
17 Determination and hierarchy of fair values
A large majority of Sampo Group's financial assets are valued at fair value. The valuation is based on either published price quatations or valuation techniques based on market observable inputs, where available. For a limited amount of assets the value needs to be determined using other techniques. The financial instruments measured at fair value have been classified into three hierarchy levels in the notes, depending on e.g. if the market for the instrument is active, or if the inputs used in the valuation technique are observable.

On level 1, the measurement of the instrument is based on quoted prices in active markets for identical assets or liabilities.

On level 2, inputs for the measurement of the instrument include also other than quoted prices observable for the asset or liability, either directly or indirectly by using valuation techniques.

On level 3, the measurement is based on other inputs rather than observable market data.
EURm Level 1 Level 2 Level 3 Total
FINANCIAL ASSETS 31.12.2015
Derivative financial instruments
Interest rate swaps - 10 - 10
Other interest rate derivatives - - - 0
Foreign exchange derivatives - 33 - 33
Equity derivatives - 10 - 10
- 53 - 53
Financial assets designated at fair value through profit or loss
Equity securities 2 - - 2
Debt securities 18 29 0 47
20 29 0 48
Financial assets related to unit-linked insurance
Equity securities 616 7 17 639
Debt securities 751 453 27 1,231
Derivative financial instruments 2,720 987 46 3,753
Mutual funds - 7 - 7
4,087 1,454 89 5,630
Financial assets available-for-sale
Equity securities 2,129 - 46 2,175
Debt securities 9,227 3,327 89 12,643
Mutual funds 1,296 39 801 2,136
12,652 3,366 936 16,954
Total financial assests measured at fair value 16,759 4,901 1,026 22,686
FINANCIAL LIABILITIES 31.12.2015
Derivative financial instruments
Interest rate derivatives - 4 - 4
Foreign exchange derivatives - 48 - 48
Equity derivatives - 10 - 10
Total financial liabilities measured at fair value - 63 - 63
EURm Level 1 Level 2 Level 3 Total
FINANCIAL ASSETS 31.12.2014
Derivative financial instruments
Interest rate swaps - 24 - 24
Foreign exchange derivatives - 46 - 46
Equity derivatives - 10 - 10
- 79 - 79
Financial assets designated at fair value through profit or loss
Equity securities 2 - - 2
Debt securities 19 27 - 47
21 27 - 48
Financial assets related to unit-linked insurance
Equity securities 449 8 16 472
Debt securities 543 645 24 1,212
Derivative financial instruments 2,464 896 57 3,417
Mutual funds - 9 - 9
3,456 1,558 96 5,110
Financial assets available-for-sale
Equity securities 1,658 - 228 1,887
Debt securities 8,086 4,037 77 12,200
Mutual funds 1,595 106 748 2,450
11,340 4,143 1,054 16,537
Total financial assests measured at fair value 14,817 5,808 1,150 21,775
FINANCIAL LIABILITIES 31.12.2014
Derivative financial instruments
Interest rate derivatives 2 21 - 23
Foreign exchange derivatives - 87 - 87
Equity derivatives - 11 - 11
Total financial liabilities measured at fair value 2 118 - 120
Transfers between levels 1 and 2
During the last quarter 2014, the Group started to utilise the BVAL Score information for level determination. Most of the classifiation changes in the table result from this.
2015 2014
Transfers from level 2 to level 1 Transfers from level 1 to level 2 Transfers from level 2 to level 1 Transfers from level 1 to level 2
Financial assets designated at fair value through profit or loss
Debt securities - - 19 -
Financial assets related to unit-linked insurance
Equity securities - - 68 -
Debt securities 324 4 368 -
Financial assets available-for-sale
Debt securities 339 257 5439 -
Sensitivity analysis of fair values
The sensitivity of financial assets and liabilites to changes in exchange rates is assessed on business area level due to differenct base currencies. In P&C insurance, 10 percentage point depreciation of all other currencies against SEK would result in an increase recognised in profit/loss of EURm 9 (30) and in a decrease recognised directly in equity of EURm 3 (13). In Life insurance, 10 percentage point depreciation of all other currencies against EUR would result in an increase recognised in profit/loss of EURm 23 (35) and in a decrease recognised directly in equity of EURm 79 (94). In Holding, 10 percentage point depreciation of all other currencies against EUR would have no impact in profit/loss, but a decrease recognised in equity of EURm 68 (71).
The sensitivity analysis of the Group's fair values of financial assets and liabilities in differenct market risk scenarios is presented below. The effects represent the instantaneous effects of a one-off change in the underlying market variable on the fair values on 31 Dec. 2015.
The sensitivity analysis includes the effects of derivative positions. All sensitivities are calculated before taxes.
The debt issued by Sampo plc is not included.
Interest rate Equity Other financial investments
1% parallel shift down 1% parallel shift up 20% fall in prices 20% fall in prices
Effect recognised in profit/loss 65 -61 - -5
Effect recognised directly in equity 222 -204 -690 -209
Total effect 287 -265 -690 -213