D _ Consolidated Financial Statements equity securities for which substantially all of the risks and rewards are In the following sections, the business activities involving retained. As of 31 December 2021, the carrying amount of the assets unconsolidated structured entities are described. transferred for securities lending transactions amounted to € 10,803 mn (2020: € 11,352 mn). For repurchase agreements, the Investments in asset-backed securities (ABS) and carrying amount of the assets transferred amounted to € 1,118 mn mortgage-backed securities (MBS) issued by (2020: € 908 mn) and the carrying amount of the associated liabilities securitization vehicles amounted to € 1,122 mn (2020: € 906 mn). The Allianz Group acts as an investor in ABS- or MBS-issuing securitization vehicles that purchase pools of assets including commercial mortgage loans (CMBS), auto loans, credit card The carrying amounts of the assets pledged as collateral are displayed receivables, and others. These securitization vehicles refinance the in the following table: purchase of assets by issuing tranches of ABS or MBS whose repayment is linked to the performance of the assets held by the Assets pledged as collateral vehicles. € mn Securitization vehicles invested in by the Allianz Group have As of 31 December 2021 2020 generally been set up by third parties. Furthermore, the Allianz Group Collaterals without right to resell or repledge has neither transferred any assets to these vehicles nor has it provided Investments 12,975 12,106 any further credit enhancements to them. Other 5 5 Income derived from investments in securitization vehicles mainly Subtotal 12,980 12,111 includes interest income generated from ABS and MBS, as well as Collaterals with right to resell or repledge realized gains and losses from disposals of these securities. Investments 6,288 7,090 Within the asset management business, the Allianz Group acts as Subtotal 6,288 7,090 asset manager for some securitization vehicles. The assets under Total 19,268 19,201 management of these vehicles amounted to € 1,304 mn as of 31 December 2021 (2020: € 1,517 mn). Some of the affected vehicles have been set up by the Allianz Group, others by third parties. In this Financial assets are pledged as collateral as part of sales and context, the role of the Allianz Group is limited to asset management. repurchases, securities borrowing, and transactions with derivatives, Income derived from the management of securitization vehicles under terms that are usual and customary for such activities. comprises asset management fees. In addition, as part of these transactions, the Allianz Group has received collateral that it is permitted to sell or repledge in the Investments in investment funds absence of default. As of 31 December 2021, the Allianz Group Considering the broad variety of investment funds across different received collateral consisting of fixed income and equity securities with jurisdictions, the classification of investment funds as structured entities a fair value of € 13,601 mn (2020: € 14,187 mn), which the based on the definition in IFRS 12 is judgmental. As a general rule, the Allianz Group has the right to sell or repledge. For the years ended management of relevant activities of an investment fund is delegated 31 December 2021 and 2020, no previously received collateral was to the fund manager via asset management agreements. In contrast, sold or repledged by the Allianz Group. influence from investors on the relevant activities of investment funds is usually either precluded by legal or regulatory provisions or not 35 _ Interests in unconsolidated deemed substantial. Investment funds are generally subject to stringent regulatory structured entities requirements from financial authorities in all jurisdictions across the world. Comprehensive regulation of funds protects fund investors and also helps to limit investment risk. These mechanisms result in a legal set-up of funds that the Allianz Group has to accept as investor and which may lead to a classification as structured entities under IFRS 12. Under IFRS 12, a structured entity is defined as an entity that has been With regard to investment activities, income mainly includes designed so that voting rights or similar rights held by an investor are distributions from the funds as well as realized gains and losses from not the dominant factor in deciding who controls the entity, such as disposals. when any voting rights relate to administrative tasks only and the relevant activities are directed by means of contractual arrangements. Asset management activities The Allianz Group engages in some business activities that involve Within the asset management business, investment funds are the use of entities that meet the above-mentioned definition of established and managed to accommodate retail and institutional structured entities. Primarily, the Allianz Group is involved with such clients’ requirements to hold investments in specific asset classes, entities due to its investment activities associated with its insurance market segments, or regions. Within the insurance business, business and due to its asset management activities. Furthermore, policyholder money is partly invested in investment funds managed by structured entities are used by the Allianz Group to source out certain Allianz’s group-internal asset managers. Investment funds managed risks to investors as part of its reinsurance business. Generally, the by Allianz Group may include mutual funds, special funds, and other classification of an entity as a structured entity may require significant funds. judgement. 172 Annual Report 2021 − Allianz Group