Groupama // 2021 Universal Registration Document

7 FINANCIAL STATEMENTS Combined 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 sanction of 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 reserves available (including cash) and bond management strategies coupled with hedging products. (c) INTEREST RATE RISK RELATED TO THE EXISTENCE OF GUARANTEED RATES The constraints of guaranteed minimum 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 handled at 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 objective of limiting the capital loss recognised because of an increase in 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-counter transactions are secured by 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 December 2021 with a comparative period. This analysis applies to year-end balance-sheet postings that show accounting sensitivity to interest rate risk (underwriting non-life and life liabilities, bond investments, financial debt in the form of bonds). It is different to analyses applying to embedded-value prospective data. The impacts on Group's equity and income are shown net of profit sharing and corporate tax. 3.1.3.1 UNDERWRITING INSURANCE LIABILITIES SENSITIVITY ANALYSIS (a) Non-life insurance Regarding non-life underwriting 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, and third-party liability insurance premiums). With the exception of increasing annuities and risk reserves for long-term care risk, as non-life insurance underwriting reserves are not discounted on the consolidated accounts, these amounts are therefore not sensitive to changes in interest rates. At 31 December 2021, the amount of the discount in the actuarial reserves for non-life annuities, before reinsurance, was €329 million. The amount of the discount in the reserve for increasing risks on long-term care, before reinsurance, was approximately €88 million. The result of the sensitivity to interest rates analyses shows that the Group is not particularly sensitive with regard to non-life commitments as a whole. The impact of a change of +/-100 basis points, calculated net of tax, is shown in the following table:

31.12.2021

31.12.2020

Interest rate

Interest rate

+1%

-1%

+1%

-1%

(in millions of euros)

Impact on income (net of taxes)

102

(137)

100

(134)

Equity impact (excluding income)

248

Universal Registration Document 2021 - GROUPAMA ASSURANCES MUTUELLES