Groupama // Universal Registration Document 2022

7

FINANCIAL STATEMENTS Combined financial statements and notes

7.9 Fair value hierarchy Pursuant to IFRS 13 on valuation at fair value, financial instruments (assets and liabilities) valued at fair value are classified according to a three ‑ level hierarchy. These levels depend on whether a valuation model is used and the data sources used to populate the valuation models: level 1 corresponds to a price listed in an active market to which the entity may have access on the valuation date; ❯ level 2 corresponds to the fair values determined on 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 corresponds to the fair value determined on 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 of normal competition. Determination of whether a market is active is particularly based 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.

31.12.2022

31.12.2021

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

3,529

79

813 4,421 4,414

128

665 5,207

Bonds and other fixed ‑ income investments

46,195 1,085 1,323 48,603 56,463

878 1,432 58,773

Other investments Total available ‑ for ‑ sale assets

49,724 1,164 2,136 53,024 60,877 1,006 2,097 63,980

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”

83

4 1,503 1,590

166

4 1,004 1,174

1,704

306

220 2,230 2,264

288

300 2,853

5,582

5,582 6,136

6,136

Other investments Total trading assets

7,368

310 1,723 9,401 8,566

292 1,305 10,163

SUB ‑ TOTAL FINANCIAL INVESTMENTS AT FAIR VALUE (EXCLUDING UNIT ‑ LINKED ITEMS) Investments in unit ‑ linked policies

57,092 1,474 3,859 62,425 69,443 1,298 3,402 74,143

10,966

673

334 11,973 11,814 1,161

281 13,256

Derivative assets and liabilities

(616)

(617)

(504)

(504)

TOTAL FINANCIAL ASSETS AND LIABILITIES VALUED AT FAIR VALUE

68,058 1,531 4,193 73,782 81,257 1,955 3,683 86,894

As these are investments in unit ‑ linked policies, the risk is borne by policyholders. Derivatives posted to assets totalled €7 million, and derivatives posted to liabilities in the balance sheet totalled €624 million as at 31 December 2022. The level 2 and level 3 financial investments (excluding unit ‑ linked) comprise:

for equities, mainly units of private equity funds, unlisted equities, units of unlisted loan funds, and units of infrastructure funds; ❯ for bonds, mainly in bonds and structured products not listed on an active market, the compensation of which is indexed to indices, baskets of equities, or rates; ❯

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Universal Registration Document 2022 - GROUPAMA ASSURANCES MUTUELLES