GROUPAMA / 2020 UNIVERSAL REGISTRATION DOCUMENT

7 FINANCIAL STATEMENTS Consolidated financial statements and notes

Fair value hierarchy 6.9 Pursuant to IFRS 13 on valuationat fair value, financial instruments (assets and liabilities)valuedat fair value are classifiedaccordingto a three-level hierarchy. These levels depend on whethervaluation model is used and the data sourcesused to populatethe valuation models: level 1 correspondsto a price listed in an activemarket to which ❯ the entity may have access on the valuation date; level 2 correspondsto the fair value determinedon the basis of ❯ a valuation model using data directly observable on an active market or data that can be determined from prices observed; level 3 correspondsto the fair value determinedon the basis of ❯ a valuation model using data not observable on a market.

A financial instrument is considered to be listed on an active market if prices are easily and regularly available from a stock exchange, broker, trader, business sector, or price valuation service and if these prices represent real transactions properly carried out on the market under conditions onformal competition. Determination of whether a market is active is based in particular on indicators such as the significant decrease in the volume of transactions and the level of activity on the market, high dispersion of prices available over time and between the various market participants, or the fact that the prices no longer correspond to sufficiently recent transactions.

31.12.2020

31.12.2019

Level 1

Level 2

Level 3

Total

Level 1

Level 2

Level 3

Total

(in millions of euros)

Available-for-sale assets Equities and other variable-income investments

2,730

68

431 3,229 2,708

62

319 3,089

Bonds and other fixed-income investments

54,089

855 1,337 56,280 52,835

725 1,056 54,616

Other investments Total available-for-sale assets

56,819

923 1,768 59,509 55,543

787 1,375 57,705

Trading assets Equities and other variable-income investments classified as “trading” or “held for trading” Bonds and other fixed-income investments classified as “trading” or “held for trading” Cash mutual funds classified as “trading” or “held for trading”

40

416

456

50

291

341

2,316

342

383 3,041 3,045

435

313 3,793

7,374

7,374 8,447

8,447

Other investments Total trading assets

9,730

342

799 10,871 11,542

435

604 12,581

SUB-TOTAL OF FINANCIAL INVESTMENTS AT FAIR VALUE (EXCLUDING UNIT-LINKED ITEMS)

66,549 1,264 2,567 70,380 67,085 1,222 1,979 70,286

Investments in unit-linked policies

9,045 2,173

176 11,393 7,548 2,722

228 10,497

Derivative assets and liabilities

(520)

(520)

(499)

(499)

TOTAL FINANCIAL ASSETS AND LIABILITIES VALUED AT FAIR VALUE

75,594 2,917 2,743 81,254 74,633 3,445 2,207 80,285

for bonds, mainly in bonds and structuredproductsnot listed on ❯ an active market, the compensation of which is indexed to indices, baskets of equities, or rates; for derivatives,mainly fixed-ratepayer or receiver swaps against ❯ rate, inflation, or currency indexation. Private equity, infrastructure,or loan fund units are valuedbased on the latest net asset values communicated by the Manager (and subject to an audit at least annually), adjusted for known flows between the date of this valuation and the close.

As these are investmentsin unit-linkedpolicies, the risk is borne by policyholders. Derivatives posted to assets totalled €49 million, and derivatives posted to liabilities in the balance sheet totalled €568 million at 31 December 2020. The level 2 and level 3 financial investments (excluding unit-linked) comprise: for equities,mainly units of private equity funds, unlistedequities, ❯ units of unlisted loan funds, and units oinf frastructure funds;

190

Universal Registration Document 2020 - GROUPAMA ASSURANCES MUTUELLES