GROUPAMA / 2020 UNIVERSAL REGISTRATION DOCUMENT

7 FINANCIAL STATEMENTS Consolidated financial statements and notes

Group risk management 3.2.2 The Group tactically manages its hedges and exposure according to market levels with a few one-off opportunities taken in March 2020 without significantly changing the Group’s exposure. The Group also continuedits diversificationpolicy by divesting from unlisted shares. The Group manages equities as part of internal constraints under two distinct logics: a primary limit fixing the maximumpermissibleexposureto equity ❯ risk; a set of secondary limits with the objective of limiting the equity ❯ portfolio’s concentrationby sector, issuer, or major type as well as illiquid equity categories. These limits are observed by each insurance entity and at the Group level. Any exceeding of limits is handled by the appropriate Risk Committeesaccordingto whether it occurred in an entity or at Group level. risk analysis The table below shows the impacts on net income and the revaluation reserve (classified under Group's equity) of a sensitivity analysis carriedout in the event of a 10% rise or fall in stockmarket prices and indices. The impacts are shown after taking the following factors into consideration: the rate of profit sharing of the entity holdintghe securities; ❯ the current tax rate. ❯ In fiscal year 2020, the profit-sharingrate used for entities holding life insurance commitments was in a range of 62.57% to 86.04%. Sensitivity of financial investments to equity 3.2.3

Risk of variation in the price of equity instruments (shares) Type of and exposure to equity risk 3.2.1 Exposure to equity markets allows the companies to capture the yield on thesemarketsbut also exposesthem to two major types of risks: accounting reserving risk (reserve for long-term impairment, ❯ reserve for contingent payment risks, reserves for financial contingencies); the commercialrisk broughtabout by the reservingrisk insofar as ❯ policyholder compensation could be impacted by the aforementioned reserving. The proportion of equity instruments out of total financial investments (including operating properties) was 5.9% by market value, not including exposure to options. Most equity instruments are classified as “available-for-sale assets”. Equity instruments include: equities in French and foreign companies listed for trading on ❯ regulatedmarkets.Exposurecan also be producedin index form and possibly in the form of structured products whose performanceis partially indexed to an equity index. They may be held directly or within mutual funds (FCP and SICAV); equities in Frenchand foreigncompaniesthat are not listed. They ❯ may be held directly or in the form of a venture capital fund (“FCPR”). 3.2

31.12.2020

31.12.2019

Equities risk

Equities risk

+10%

-10%

+10%

-10%

(in millions of euros)

Impact on the revaluation reserve

91

(91)

76

(76)

Equities

52

(52)

42

(42)

Equity mutual funds

39

(39)

34

(34)

Bonds Fixed-income mutual funds Derivative instruments and embedded derivatives Impact on net income

14

(14)

8

(8)

Equities

4

(4)

Equity mutual funds

10

(10)

8

(8)

Bonds Fixed-income mutual funds Derivative instruments and embedded derivatives

255

Universal Registration Document 2020 - GROUPAMA ASSURANCES MUTUELLES