Groupama // 2021 Universal Registration Document

7 FINANCIAL STATEMENTS Combined financial statements and notes

Group risk management 3.2.2 The Group tactically manages its hedging and exposure according to market levels, with a partial capping of equity exposure in 2021 in the context of a sharp rise in the markets. The Group also continued its diversification policy by divesting from unlisted shares. The Group manages equities as part of internal constraints under two distinct logics: a primary limit fixing the maximum permissible exposure to equity ❯ risk; a set of secondary limits with the objective of limiting the equity ❯ portfolio’s concentration by 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 Committees according to 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 carried out in the event of a 10% rise or fall in stock market prices and indices. The impacts are shown after taking the following factors into consideration: 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%. 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 these markets but also exposes them to two major types of risks: accounting reserving risk (reserve for long-term impairment, ❯ reserve for contingent payment risks, reserves for financial contingencies); the commercial risk brought about by the reserving risk 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 8.7% 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 ❯ regulated markets. Exposure can also be produced in index form and possibly in the form of structured products whose performance is partially indexed to an equity index. They may be held directly or within mutual funds (FCP and SICAV); equities in French and foreign companies that are not listed. They ❯ may be held directly or in the form of a venture capital fund (“FCPR”); shares in French and foreign infrastructure companies. The ❯ holding can be direct or through funds. 3.2

31.12.2021

31.12.2020

Equities risk

Equities risk

+10%

-10%

+10%

-10%

(in millions of euros)

Impact on the revaluation reserve

222

(222)

184

(184)

Equities

91

(91)

77

(77)

Equity mutual funds

132

(132)

107

(107)

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

60

(60)

26

(26)

Equities

30

(30)

4

(4)

Equity mutual funds

30

(30)

22

(22)

Bonds Fixed-income mutual funds Derivative instruments and embedded derivatives

250

Universal Registration Document 2021 - GROUPAMA ASSURANCES MUTUELLES