Notes to the Group’s Financial Statements

Select note 1–42
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.

In level 3, the measurement is based on other inputs rather than observable market data.

The figures include the financial assets classified as Assets held for sale.
EURm Level 1 Level 2 Level 3 Total
FINANCIAL ASSETS AT 31 DEC. 2016
Derivative financial instruments
Interest rate swaps - 12 - 12
Foreign exchange derivatives - 30 - 30
Equity derivatives - 3 - 3
- 45 - 45
Financial assets designated at fair value through profit or loss
Equity securities 2 - - 2
Debt securities 18 4 0 22
20 4 0 24
Financial assets related to unit-linked insurance
Equity securities 664 13 14 692
Debt securities 748 650 27 1,424
Derivative financial instruments 2,954 902 154 4,009
Mutual funds - 2 - 2
4,366 1,567 194 6,128
Financial assets available-for-sale
Equity securities 2,123 - 48 2,171
Debt securities 9,410 4,036 58 13,504
Mutual funds 1,212 60 758 2,030
12,746 4,096 863 17,705
Total financial assests measured at fair value 17,132 5,713 1,057 23,902
FINANCIAL LIABILITIES AT 31 DEC. 2016
Derivative financial instruments
Interest rate derivatives - 4 - 4
Foreign exchange derivatives - 74 - 74
Equity derivatives - 3 - 3
Total financial liabilities measured at fair value - 81 - 81
EURm Level 1 Level 2 Level 3 Total
FINANCIAL ASSETS AT 31 DEC. 2015
Derivative financial instruments
Interest rate swaps - 10 - 10
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
EURm Taso 1 Taso 2 Taso 3 Total
FINANCIAL LIABILITIES AT 31 DEC. 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
Transfers between levels 1 and 2
2016 2015
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 related to unit-linked insurance
Debt securities 3 4 324 4
Financial assets available-for-sale
Debt securities 459 502 339 257
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 different 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 10 (9) and in a decrease recognised directly in equity of EURm 8 (3). In Life insurance, 10 percentage point depreciation of all other currencies against EUR would result in an increase recognised in profit/loss of EURm 12 (23) and in a decrease recognised directly in equity of EURm 94 (79). 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 163 (68).
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. 2016.
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 0 -2 0 0
Effect recognised directly in equity 255 -239 -670 -195
Total effect 256 -241 -670 -195
The tables for the Financial Statements are also available in Excel format.