D _ Consolidated Financial Statements For entities included in the CGUs of the Life/Health business segment, For the Digital Investments included in the Corporate and Other the MCEV is in general the excess of assets over liabilities of the MVBS business segment, the bases for determining the values assigned to according to the Solvency II requirements. Assets and liabilities the key assumptions are current market trends and earnings included in the MVBS are measured at their market value as of the projections. The discount rate is based on the capital asset pricing reporting date. Technical provisions are an essential part of the model (CAPM) and appropriate eternal growth rates. The discount liabilities included in the MVBS, and generally consist of the best rate and the eternal growth rates are calculated in line with market estimate plus a risk margin. The best estimate corresponds to the practice and are subject to company-specific factors, its development probability-weighted average of future cash flows considering the time status and the markets in which the company operates. value of money, using the relevant risk-free interest rate term structure. The calculation of the best estimate is based on assumptions made for Sensitivity analysis demographic factors (e.g., mortality, morbidity, lapse/surrender rates), Sensitivity analyses were performed with regard to discount rates and expense allowances, taxation, assumptions on market conditions for key value drivers of the business plans. market consistent projections (e.g., reference rates, volatilities) as well For the CGUs in the Property-Casualty business segment and for as investment strategy and asset allocation of the entity. The risk the CGU Asset Management, sensitivity analyses were performed with margin ensures that the value of the technical provisions is equivalent respect to the long-term sustainable combined ratios and cost-income to the amount that the entity would be expected to require in order to ratios. For all CGUs discounted earnings, value sensitivities still take on and meet the insurance and reinsurance obligations. exceeded their respective carrying amounts – however for the CGU Reference rates used for the calculation of the best estimate Insurance Asia in the business segment Property-Casualty, an increase follow EIOPA specifications for the Solvency II guidance. of 0.5 % points in the discount rate and/or the combined ratio results in The following table provides an overview of the reference rates the recoverable amount of the CGU getting close to its respective for the CGUs in the Life/Health business segment: carrying value. In the Life/Health business segment, sensitivity analyses were Reference rates for the CGUs in the Life/Health business segment performed based on MCEV sensitivity testing on the reference rate. The analyses have shown that in case of an increase in reference rates CGUs in the Life/Health Reference rate for entities by 50 basis points, the appraisal value of each CGU still exceeds its business segment with Appraisal Value based on MCEV Insurance German Euro swap curve minus 10 bps (2020: 10 bps) credit risk adjustment plus 3 carrying amount. Speaking Countries bps (2020: 7 bps) volatility adjustment In the Corporate and Other business segment, a sensitivity CHF swap curve minus 10 bps (2020: 10 bps) credit risk adjustment plus 4 analysis was performed with respect to interest rates for the Digital bps (2020: 9 bps) volatility adjustment Insurance Western & For those entities reporting in Euro: Investments. The analysis has shown that in case of an increase in the Southern Europe Euro swap curve minus 10 bps (2020: 10 bps) credit risk adjustment plus 3 interest rates by 50 basis points and under consideration of a holding bps (2020: 7 bps) volatility adjustment Insurance Central & For those entities reporting in Euro: period usual for the asset class, the recoverable amount approximates Eastern Europe Euro swap curve minus 10 bps (2020: 10 bps) credit risk adjustment plus 3 its carrying value. bps (2020: 7 bps) volatility adjustment For other entities: Local swap curve minus 10 bps (2020: 10 bps) credit risk adjustment plus volatility adjustment for the following currencies only [CZK: 21 bps (2020: 10 bps), HUF: 8 bps (2020: 2 bps), PLN: 17 bps (2020: 4 bps)] 12 _ Liabilities to banks and customers Global Insurance Lines For those entities reporting in Euro: & Anglo Markets, Euro swap curve minus 10 bps (2020: 10 bps) credit risk adjustment plus 3 Middle East and Africa bps (2020: 7 bps) volatility adjustment Liabilities to banks and customers US Life Insurance Local swap curve minus 10 bps (2020: 17 bps) credit risk adjustment plus € mn 23 bps (2020: 27 bps) volatility adjustment As of 31 December 2021 2020 Payable on demand and other deposits 1,474 1,263 Repurchase agreements and collateral received from securities lending transactions and derivatives 4,434 5,164 The new-business value calculation is based on a best estimate of one Other 9,561 8,296 year of value of new business, multiplied by a factor (multiple) to Total1 15,468 14,722 capture expected future new business. The best estimate of new 1_Consists of liabilities to banks and customers due within one year of € 13,227 mn (2020: € 12,674 mn), 1 - 5 years of business is generally derived from the achieved value of new business. € 1,133 mn (2020: € 1,359 mn), and over 5 years of € 1,108 mn (2020: € 689 mn). The new business multiple accounts for the risk and the growth associated with future new business in analogy to the discount rate and the growth rate in a discounted earnings method. For all CGUs in the Life/Health business segment other than CGU US Life Insurance, a multiple of not more than ten times the value of new business is applied. For entities included in the CGU of the Asset Management business segment, key assumptions include assets under management growth, cost-income ratio, and risk capital. The key assumptions are based on the current market environment. The discount rate for the CGU Asset Management is 10.2 % (2020: 9.5 %) and the eternal growth rate is 0.9 % (2020: 0.8 %). Annual Report 2021 − Allianz Group 151