GROUPAMA / 2020 UNIVERSAL REGISTRATION DOCUMENT

7 FINANCIAL STATEMENTS Consolidated financial statements and notes

the commercialrisk broughtabout by the reservingrisk insofar as ❯ policyholder compensation could be impacted by the aforementioned reserving. The proportionof property assets out of total financial investments (including operating properties) was 2.15% by market value. Properties can be held directly or within OPCI (collective property investmentschemes)or SCI (propertyholdingcompanies)or leased when eligible under IFRS 16. Property assets can be split into: investment properties, accounting for 1.42% of all financial ❯ investments; operating properties, accounting for 0.74% of all financial ❯ investments. 3.5.2 The Group manages property assets under certain internal constraints, with a limit set on the maximumpermittedexposure to property risk. These limits are set for each insurance entity and at Group level. Any exceeding of limits is handled by the appropriate Risk Committeesaccordingto whether it occurred in an entity or at Group level. Within the constraints system and concerning investment risk especially, the Property Commitment Committee decides on the property budget as a whole and on acquisition, restructuring,and development works projects beyond predefined amounts. analyses The following table shows all the sensitivity analyses for market risks for fiscal years 2020 and 2019, split between Group's equity and income, excluding profit sharing and taxes. Group risk management Summary of market risks sensitivity 3.6

Spread hedges

3.4.1

SPREAD WIDENING RISK A hedging strategy was tested during a pilot operation intended to protect the value of a bond against the risk of widening of its spread. The strategy involved fixing the bond’s spread to one year using a dedicated FFI. At the end of the hedge (one year renewable), a finalising balancing payment was paid to offset the gain on the value of the bond hedged for the variationof its spread. However, given market conditions, this hedge was not renewed in 2020. All over-the-countertransactionsare securedby a “collateralisation” system with the Group’s top-tier banking counterparties. 3.4.2 Internal procedures stipulate that any over-the-countercontract is systematically covered by guarantee contracts with the banking counterparties in question. This systematic collateralisation of the hedging transactions significantly reduces the counterparty risk related to these over-the-counter transactions. 3.5.1 Exposure to property markets allows companies to capture the yield on these markets (investment properties) and use the premises for operational purposes (operating properties) but also exposes them to two major types of risk: the investment risk generated by property restructuring ❯ operations; accounting reserving risk if the realisable value (sale price net of ❯ disposal fees or utility value) is less than the net book value; Managing counterparty risk Property risk 3.5 Type of and exposure to property risk

31.12.2020

31.12.2019

Decrease in sensitivity criteria

Increase in sensitivity criteria

Decrease i n sensitivity criteria

Increase in sensitivity criteria

Group's equity

Net income

Group's equity

Net income

Group's equity

Net income

Group's equity

Net income

(in millions of euros)

Interest rate risk

(910)

116

1,034

(149)

(745)

111

831

(145)

Underwriting liabilities

108

(142)

105

(139)

Financial investments

(910)

8

1,034

(7)

(745)

6

831

(6)

Financing liabilities Equities risk

91

14

(91)

(14)

76

8

(76)

(8)

Financial investments

91

14

(91)

(14)

76

8

(76)

(8)

Foreign exchange risk

52

1

(52)

(1)

49

(49)

Financial investments

52

1

(52)

(1)

49

(49)

257

Universal Registration Document 2020 - GROUPAMA ASSURANCES MUTUELLES