Groupama // 2021 Universal Registration Document

7 FINANCIAL STATEMENTS Combined financial statements and notes

policies, since the risk of change in the index is assumed by the policyholder rather than by the insurer. The impact of sensitivity to changes in interest rates of +/-100 basis points on the Group’s life commitments is shown net of taxes in the following table:

(b) Life insurance and financial contracts This analysis was limited to life commitments with accounts sensitive to changes in interest rates. Moreover, with the exception of the floor guarantees, no sensitivity analysis was carried out on actuarial reserves for account unit

31.12.2021

31.12.2020

Interest rate

Interest rate

+1%

-1%

+1%

-1%

(in millions of euros)

Impact on income (net of taxes)

18

(22)

21

(25)

Equity impact (excluding income)

the rate of profit sharing of the entity holding the securities; ❯ the current tax rate. ❯ In the 2021 fiscal year, the profit-sharing rate used for entities holding life insurance commitments was in a range of 60.18% to 84.59%.

3.1.3.2 FINANCIAL INVESTMENTS SENSITIVITY ANALYSIS The following table shows the impacts on net income and on the revaluation reserve (posted under Group's equity) of a sensitivity analysis carried out in the event of a rise or fall in interest rates of 100 basis points (+/-1%). The impacts are shown after taking the following factors into consideration:

31.12.2021

31.12.2020

Interest Rate Risk

Interest Rate Risk

+1%

-1%

+1%

-1%

(in millions of euros)

Impact on the revaluation reserve

(1,083)

1,241

(1,085)

1,230

Equities Equity mutual funds Bonds

(1,024)

1,178

(1,020)

1,161

Fixed-income mutual funds

(59)

63

(65)

69

Derivative instruments and embedded derivatives Impact on net income

2

(1)

1

0

Equities Equity mutual funds Bonds

(3)

3

(6)

6

Fixed-income mutual funds

(9)

10

(15)

16

Derivative instruments and embedded derivatives

14

(14)

22

(22)

We note that the change in fair value of the derivatives and embedded derivatives, which primarily correspond to hedge derivatives, passes through the income statement. 3.1.3.3 FINANCING DEBT SENSITIVITY ANALYSIS Subordinated loans posted to liabilities on the Group income statement may be posted to debt or Group's equity under IFRS. In fiscal 2014, the Group issued perpetual bonds consisting of perpetual subordinated instruments. The features of this bond issue

meet the criteria to allow it to be considered an equity instrument (see Note 22 “Group's equity”). Consequently, a sensitivity analysis is not required. The principal features of the financial debt instruments analysed are described in Note 25 ‒ Financing Debt. The Group’s subordinated debt is recognised at historical cost. In this respect, this balance sheet item is therefore not sensitive to potential changes in interest rates.

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Universal Registration Document 2021 - GROUPAMA ASSURANCES MUTUELLES