Sampo Group

Annual Report 2011
Investment Portfolio Risks
Credit Risks Related to Reinsurance Counterparties

Credit Risks

Credit risks in Sampo Group mainly consist of the issuer risk related to investment assets, and counterparty risk related to derivatives and reinsurance transactions. The essential difference in terms of risk is that in the case of issuer risk, the entire market value of the instrument is at risk, whereas in the case of counterparty risk, it is only the possible positive market value of the contract that is at risk. Credit risk related to reinsurers arises through reinsurance receivables and through the reinsurers’ portion of outstanding claims. Credit risk related to reinsurance mainly concerns If P&C, as the use of reinsurance in Mandatum Life is relatively limited.

In addition, credit risk arises from receivables from policyholders and other receivables related to commercial transactions. Credit risk exposure towards policyholders is very limited, because non-payment of premiums generally results in cancellation of the insurance policies. Also the credit risk exposures arising from other receivables related to commercial transactions are minor in Sampo Group.

Figure 'Illustrative figure of the components of credit risk' illustrates the components of credit risk on a general level.

Credit exposures including issuer and counterparty risks are shown in the tables ´Credit exposures by sectors, asset classes and rating, If P&C, Mandatum Life and Sampo Group, 31 December 2011`. Due to differences in the treatment of derivatives, the figures in these tables are not fully comparable with other tables in this annual report.

Credit exposures by sectors, asset classes and rating,
If P&C, 31 December 2011
EURm AAA AA+ - AA- A+ - A- BBB+ - BBB- BB+ - C        

D
Non- rated Fixed
income
total
Equi-
ties
Other Counter-
party risk
Total Change 31 Dec
2010
Asset-backed
Securities
0 0 0 0 0 0 0 0 0 0 0 0 0
Basic Industry 0 0 0 0 96 0 147 243 39 0 0 282 -87
Capital Goods 0 0 18 17 0 0 27 62 276 0 0 338 -230
Consumer Products 0 5 8 260 3 0 78 355 245 0 0 600 -61
Covered Bonds 3,243 78 279 1 0 0 0 3,600 0 0 0 3,600 33
Energy 0 7 0 30 0 0 374 410 36 0 0 447 -99
Financial Institutions 28 924 1,778 186 110 0 39 3,064 55 0 0 3,119 302
Governments 296 71 0 17 0 0 65 449 0 0 0 449 -374
Index-linked Bonds 39 10 151 67 26 0 0 293 0 0 0 293 -6
Insurance 0 0 0 0 0 0 0 0 1 0 401 1 -573
Media 0 0 0 0 0 0 23 23 0 0 0 23 -14
Public Sector, Other  473 0 0 0 0 0 0 473 0 0 0 473 160
Real Estate 0 0 0 0 0 0 23 23 0 99 0 122 31
Services 0 0 0 7 0 0 5 12 6 0 0 18 -33
Technology and
Electronics
0 0 0 3 0 0 0 3 2 0 0 5 2
Telecommunications 0 0 43 40 0 0 0 83 69 0 0 152 1
Transportation 0 1 0 0 0 0 210 211 7 0 0 218 17
Utilities 0 0 252 34 0 0 15 301 1 0 0 302 14
Others 0 27 0 0 0 0 31 58 26 0 0 83 0
Funds 0 0 0 0 97 0 11 108  386 32 0 527 -98
Total 4,078 1,121 2,530 663 332 0 1,047 9,771 1,149 132 401 11,052 -1,013
Change 31 Dec 2010 -529 283 337 -57 -75 0 -121 -163 -499 26 24 -1,013  
Credit exposures by sectors, asset classes and rating,
Mandatum Life, 31 December 2011
EURm AAA AA+ - AA- A+ - A- BBB+ - BBB- BB+ - C        

D
Non- rated Fixed
income
total
Equi-
ties
Other Counter-
party risk
Total Change 31 Dec
2010
Asset-backed
Securities
0 0 0 0 0 0 0 0 0 0 0 0 -18
Basic Industry 0 0 4 8 294 0 103 410 185 5 0 600 -30
Capital Goods 0 3 99 46 11 0 36 195 128 0 0 323 -24
Consumer Products 0 0 22 34 29 0 69 154 59 0 0 213 -8
Covered Bonds 90 42 0 0 0 0 0 132 0 0 0 132 -1
Energy 0  0 14 0 0 0 48 62 8 0 0 70 -12
Financial Institutions 0 552 606 173 54 0 20 1,405 15 24 13 1,457 -302
Governments 11 0 0 0 0 0 0 11 0 0 0 11 -96
Index-linked Bonds 0 0 0 0 0 0 0 0 0 0 0 0 0
Insurance 0 0 27 19 0 0 22 69 17 0 0 86 -4
Media 0 0 0 0 0 0 0 0 40 0 0 40 -19
Public Sector, Other 0 0 0 0 0 0 0 0 0 0 0 0 0
Real Estate 0 0 0 0 0 0 0 0 0 144 0 144 1
Services 0 0 0 7 42 0 9 58 38 12 0 107 25
Technology and
Electronics
0 0 0 18 0 0 17 35 51 0 0 86 -29
Telecommunications 0 0 53 79 26 0 0 157 35 0 0 193 26
Transportation 0 0 0 0 0 0 32 32 6 0 0 38 0
Utilities 0 9 158 48 0 0 0 216 84 0 0 299 -3
Other 0 0 7 0 15 0 21 43 5 0 0 48 14
Funds 0 0 0 0 166 0 66 233 782 538 0 1,553 -85
Total 101 606 992 432 637 0 444 3,212 1,453 722 13 5,400 -564
Change 31 Dec 2010 -97 -147 -248 -41 57 0 60 -415 -234 98 -13 -564  
Credit exposures by sectors, asset classes and rating,
Sampo Group, 31 December 2011
EURm AAA AA+ - AA- A+ - A- BBB+ - BBB- BB+ - C        

D
Non- rated Fixed
income
total
Equi-
ties
Other Counter-
party risk
Total Change 31 Dec
2010
Asset-backed
Securities
0 0 0 0 0 0 0 0 0 0 0 0 -18
Basic Industry 0 0 4 8 390 0 250 653 225 5 0 883 -118
Capital Goods 0 3 117 63 11 0 63 257 404 0 0 661 -254
Consumer Products 0 5 30 294 32 0 148 509 304 0 0 813 -69
Covered Bonds 3,332 120 279 1 0 0 0 3,732 0 0 0 3,732 32
Energy 0 7 14 30 0 0 422 473 44 0 0 517 -110
Financial Institutions 28 2,225 2,537 359 164 0 59 5,371 70 24 25 5,490 309
Governments 308 71 0 17 0 0 65 460 0 0 0 460 -470
Index-linked Bonds 39 10 151 67 26 0 0 293 0 0 0 293 -6
Insurance 0 0 27 19 0 0 22 69 35 0 401 104 -576
Media 0 0 0 0 0 0 23 23 40 0 0 63 -32
Public Sector, Other 473 0 0 0 0 0 0 473 0 0 0 473 160
Real Estate 0 0 0 0 0 0 23 23 0 250 0 272 32
Services 0 0 0 14 42 0 14 70 44 12 0 125 -9
Technology and
Electronics
0 0 0 21 0 0 17 38 53 0 0 91 -27
Telecommunications 0 0 96 119 26 0 0 241 105 0 0 345 28
Transportation 0 1 0 0 0 0  242 243 13 0 0 256 17
Utilities 0 9 411 82 0 0 15 517 84 0 0 601 11
Other 0 27 7 0 15 0 52 100 32 0 0 133 14
Funds 0 0 0 0 264 0 77 341 1,169 585 0 2,095 -184
Total 4,179 2,476 3,674 1,095 970  0 1,491 13,885 2,620 876 426 17,406 -1,270
Change 31 Dec 2010 -626 377 170 -98 -18 0 -67 -262 -733 123 3 -1,270  

The figure for counterparty risk for reinsurance activities has been included in the counterparty risk in 2011. The comparative figure for the year 2010 has been changed accordingly.

Investment Portfolio Risks
Credit Risks Related to Reinsurance Counterparties