D _ Consolidated Financial Statements Certain financial assets are measured at fair value on a non-recurring basis when events or changes in circumstances indicate that the carrying amount may not be recoverable. If financial assets are measured at fair value on a non-recurring basis at the time of impairment, or if fair value less cost to sell is used as the measurement basis under IFRS 5, corresponding disclosures can be found in note 28. Fair value hierarchy (items not carried at fair value) € mn As of 31 December 2021 2020 1 2 3 1 2 3 Level 1 Level 2 Level 3 Total Level 1 Level 2 Level 3 Total FINANCIAL ASSETS Held-to-maturity investments 1,271 1,616 - 2,887 1,169 1,711 5 2,884 Investments in associates and joint ventures 62 800 19,287 20,149 1 584 17,121 17,706 Real estate held for investment - - 28,763 28,763 - - 25,094 25,094 Loans and advances to banks and customers 6,547 57,750 73,936 138,234 5,943 66,046 66,209 138,198 Total 7,880 60,166 121,986 190,032 7,112 68,341 108,429 183,883 FINANCIAL LIABILITIES Liabilities to banks and customers 8,340 3,612 3,529 15,481 8,674 3,335 2,760 14,768 Certificated liabilities - 11,419 192 11,611 - 10,231 178 10,409 Subordinated liabilities - 11,547 - 11,547 - 15,039 - 15,039 Total 8,340 26,578 3,721 38,638 8,674 28,605 2,938 40,216 1_Quoted prices in active markets. 2_Market observable inputs. 3_Non-market observable inputs. Held-to-maturity investments Liabilities to banks and customers For level 2 and level 3, the fair value is mainly determined based on Level 1 mainly consists of highly liquid liabilities, e.g., payables on the market approach using quoted market prices, and the income demand. The fair value for liabilities in level 2 and level 3 is mainly approach using deterministic discounted cash flow models. derived based on the income approach, using future cash flows discounted with risk-specific interest rates. Main non-market Investments in associates and joint ventures observable inputs include credit spreads. In some cases, the carrying For level 2 and level 3, fair values are mainly based on the income amount (amortized cost) is considered to be a reasonable estimate of approach, using a discounted cash flow method or net asset values the fair value. as provided by third-party vendors. Certificated liabilities and subordinated liabilities Real estate held for investment For level 2, the fair value is mainly determined based on the market Fair values are mostly determined using the market or the income approach, using quoted market prices, and based on the income approach. Valuation techniques applied for the market approach, using present value techniques. For level 3, fair values approach include market prices of identical or comparable assets in are mainly derived based on the income approach, using markets that are not active. The fair values are either calculated deterministic cash flows with credit spreads as primary non-market internally and validated by external experts or derived from expert observable inputs. In some cases, the carrying amount (amortized appraisals with internal controls in place to monitor these valuations. cost) is considered to be a reasonable estimate for the fair value. Loans and advances to banks and customers For loans and advances to banks and customers, quoted market prices As of 31 December 2021, the Allianz Group substantially retained all are rarely available. Level 1 mainly consists of highly liquid advances, the risks and rewards from the ownership of transferred assets. There e.g., short-term investments. The fair value for these assets in level 2 have not been any transfers of financial assets that were and level 3 is mainly derived based on the income approach using derecognized in full or partly in which Allianz continues to control the deterministic discounted cash flow models. transferred assets. Transfers of financial assets mainly relate to securities lending and repurchase agreement transactions. Financial assets transferred in the context of repurchase agreement and securities lending transactions are mainly available-for-sale debt and Annual Report 2021 − Allianz Group 171