Groupama // 2021 Universal Registration Document

7 FINANCIAL STATEMENTS Combined financial statements and notes

commercial risk brought about by the reserving risk insofar as ❯ policyholder compensation could be impacted by the aforementioned reserving. The proportion of property assets out of total financial investments (including operating properties) was 3.29% by market value. Properties can be held directly or within OPCI (collective property investment schemes) or SCI (property holding companies) or leased when eligible under IFRS 16. Property assets can be split into: investment properties, accounting for 2.33% of all financial ❯ investments; operating properties, accounting for 0.96% of all financial ❯ investments. 3.5.2 The Group manages property assets under certain internal constraints, with a limit set on the maximum permitted exposure 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 Committees according to 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 2021 and 2020, split between Group's equity and income, excluding profit sharing and taxes. Group risk management Summary of market risks sensitivity 3.6

3.4.1

Spread hedges

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 variation of its spread. However, in view of market conditions, this hedge has not been renewed since 2016 but remains an option that the Group can activate if necessary. All over-the-counter transactions are secured by a “collateralisation” system with the Group’s top-tier banking counterparties. 3.4.2 Internal procedures stipulate that any negotiated contract is systematically covered by guarantee agreements 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: investment risk brought about 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

31.12.2021

31.12.2020

Increase in sensitivity criteria

Decrease in sensitivity criteria

Increase in sensitivity criteria

Decrease in sensitivity criteria

Group's equity

Group's equity

Group's equity

Group's equity

Result

Result

Result

Result

(in millions of euros)

Interest rate risk

(1,083)

122

1,241

(160)

(1,085)

122

1,230

(159)

Underwriting liabilities

120

(159)

121

(159)

Financial investments

(1,083)

2

1,241

(1)

(1,085)

1

1,230

Financing debts Equities risk

222

60

(222)

(60)

184

26

(184)

(26)

Financial investments

222

60

(222)

(60)

184

26

(184)

(26)

Foreign exchange risk

80

10

(80)

(10)

53

2

(53)

(2)

Financial investments

80

10

(80)

(10)

53

2

(53)

(2)

252

Universal Registration Document 2021 - GROUPAMA ASSURANCES MUTUELLES