Groupama // 2021 Universal Registration Document

7 FINANCIAL STATEMENTS Combined financial statements and notes

The valuation of unlisted equities is based on several methods, such as the discounted cash flow techniques or the restated net asset method. For bonds and structured products, a liquidity test is conducted on a regular basis. In the event of a presumption of illiquidity, a valuation search is performed on other platforms (Fininfo, Bloomberg, Reuters, and UBS Delta). If the data are not consistent or not available on a platform, a valuation of the counterparties is used. If these counterparty valuations are not available, a valuation based on a model using observable (level 2) or extrapolated (level 3) data is used. If two consistent valuations are available, the security is then classified as level 2. Where only one valuation is available, the security is classified as level 3. Derivatives are valued on the basis of models using observable market data. The obtained valuations are compared at each close

with the valuations of counterparties in order to assess potential differences. This difference at 31 December 2021 was negligible. The fair value hierarchy of investment property assets is included in Note 4. Note that financial investments and investment properties classified as level 3 represent 4.7% of total investments of the insurance businesses (including 1.4% for transaction assets). As of 31 December 2021, transfers from level 2 to level 1 totalled €52 million and concerned three bonds. There were no transfers from level 1 to level 2. Beyond the financial assets and liabilities described in the table, the Group recorded fair-value financial contracts without discretionary profit sharing in its underwriting liabilities. They totalled €1,070 million at 31 December 2021, compared with €168 million at 31 December 2020.

31.12.2021

Available-for-sale assets

Trading assets

Investments in unit-linked policies

Derivative assets and liabilities

Cash mutual funds

Other investments Equities Bonds

Other investments

Equities Bonds

(in millions of euros)

LEVEL 3 OPENING AMOUNT

577 1,469

499 526

176

Change in unrealised capital gains/losses recognised in: net income ❯ gains and losses recognised directly ❯ in Group's equity

(1)

69 (56)

9

16 (182)

Transfer to level 3

7

40

3

Transfer out of level 3

(81)

(14)

Reclassification to loans and receivables Change in scope of consolidation Acquisitions

85 356

493

33

137

Divestments/Redemptions

(16)

(171)

(60)

(189)

(41)

Foreign exchange adjustments

(2)

LEVEL 3 CLOSING AMOUNT

665 1,432

1,004 300

281

192

Universal Registration Document 2021 - GROUPAMA ASSURANCES MUTUELLES