GROUPAMA / 2020 UNIVERSAL REGISTRATION DOCUMENT

7 FINANCIAL STATEMENTS Consolidated financial statements and notes

(b) INTERACTIONS WITH REDEMPTION RISK Redemption behaviours are sensitive to changes in interest rates: an increase in rates can lead to an increase in the policyholders’ expectation of revaluation and, if this expectation cannot be met, the sanctionof early redemptions.In addition to the loss of income and an increase in payouts, the risk will be losses related to the disposal of assets at a loss (which could be the case for fixed-rate bonds) in cash of insufficient cash. The objective of Asset/Liability Management is to optimise the policyholder’s satisfaction and the insurer’s risk using strategies that take into account the various reservesavailable(includingcash) and bond management strategies coupled with hedging products. (c) INTEREST RATE RISK RELATED TO THE EXISTENCE OF GUARANTEED RATES The constraints of guaranteedminimum interest rates constitute a risk for the insurer if rates fall, as the yield on the assets may be insufficient in terms of these constraints.These risks are handledat the regulatory level through specific risks. The purpose of the hedges that are implemented is to partially hedge the portfolios against the risk of interest rate increases. This is made possible by converting fixed-rate bonds into variable-rate bonds (“payer swaps”). The strategy consists of transforming a fixed-rate bond into a variable rate, either on a security already held or new investments,and has the objectiveof limiting the capital loss recognisedbecauseof an increasein interest rates in case of partial liquidation of the bond portfolio for the payment of benefits. These strategies aim to limit the impact of potential redemptions. All over-the-countertransactionsare securedby a “collateralisation” system with the Group’s top-tier banking counterparties. (d) RATE HEDGES Risk of rate increase

Sensitivity to interest rate risk analysis 3.1.3 Pursuant to IFRS 7, an analysis of accounting sensitivity was carried out at 31 December2020 with a comparativeperiod. This analysis applies to year-end balance-sheet postings that show accounting sensitivity to interest rate risk (underwritingnon-life and life liabilities,bond investments,financial debt in the form of bonds). It is different to analyses applying to embedded-valueprospective data. The impacts on Group's equity and income are shown net of profit sharing and corporate tax. 3.1.3.1 TECHNICAL INSURANCE LIABILITIES SENSITIVITY ANALYSIS (a) Non-life insurance Regarding non-life technical liabilities, risk mapping allows the sensitivity of portfolios showing interest rate changes to be analysed, i.e. portfolios of current annuities and temporary payments (individual life and health insurance premiums and third-party liability insurance premiums). With the exception of increasing annuities and risk reserves for long-term care risk, as non-life insurance technical reserves are not discounted on the consolidatedfinancial statements, these amounts are therefore not sensitive to changes in interest rates. At 31 December2020, the amount of the discount in the actuarial reserves for non-lifeannuities,before reinsurance,was €293 million. The amount of the discount in the reserve for increasing risks on long-term care, gross of reinsurance, was approximately €48 million. The result of the sensitivityto interest rates analysesshows that the Group is not particularly sensitive with regard to non-life commitmentsas a whole. The impact of a change of +/-100 basis points, calculated net of tax, is shown in the following table:

31.12.2020

31.12.2019

Interest rate

Interest rate

+1%

-1%

+1%

-1%

(in millions of euros)

Impact on income (net of taxes)

87

(117)

84

(111)

Equity impact (excluding income)

253

Universal Registration Document 2020 - GROUPAMA ASSURANCES MUTUELLES