Groupama // 2021 Universal Registration Document

7 FINANCIAL STATEMENTS Combined financial statements and notes

Risk management 4.2 Stress tests are regularly conducted on both assets and liabilities in order to ensure that in the event of a simultaneous increase in benefits payable and interest rates, the Group is able to meet its commitments in terms of both assets to dispose of and any realisations of capital losses. At the end of 2021, the liquidity risk was greatly reduced by the size of unrealised capital gains present in the portfolio despite the increase in interest rates. maturity The profile of the annual maturities of bond portfolios is given in Note 6.8.2 to the annual financial statements. Liabilities relating to insurance policies and liabilities relating to financial contracts with discretionary profit sharing by maturity The profile of annual maturities of the liabilities related to insurance policies is the following: 4.4 Financial investment portfolio by 4.3

The sensitivity criteria applied were the following: increase or decrease of 100 basis points for interest rate risk; ❯ increase or decrease of 10% in the stock market indices for ❯ equity risk; increase or decrease of 10% in all currencies against the euro ❯ for foreign exchange risk.

4.

Liquidity risk

Nature of exposure to liquidity risk 4.1 The overall liquidity risk is analysed using the asset/liability approach, which defines the cash requirement to be held as an asset based on the liquidity requirements imposed by liabilities, using: underwriting cash flow projections in a central scenario; ❯ sensitivity scenarios on underwriting assumptions (production, ❯ claims ratio).

31.12.2021

31.12.2020

< 1 year

1 to 5 years

> 5 years

Total

< 1 year

1 to 5 years

> 5 years

Total

(in millions of euros)

Non-life underwriting reserves

7,661

4,382

6,457

18,500

7,360

4,474

6,119

17,953

Life underwriting reserves-insurance policies excluding unit-linked items Underwriting liabilities relating to financial contracts with discretionary profit sharing excluding unit-linked items Underwriting liabilities relating to financial contracts without discretionary profit sharing excluding unit-linked items

2,337

5,772 25,933

34,041

2,406

5,994 25,605

34,005

723

2,348

7,682

10,752

797

2,626

7,940

11,362

1

1

Reserve for deferred profit-sharing liability

4,686

118

4,804

5,825

177

6,002

TOTAL UNDERWRITING INSURANCE LIABILITIES AND LIABILITIES FOR FINANCIAL CONTRACTS

15,407

12,502 40,190

68,098 16,388

13,094 39,841

69,322

Financing debts by maturity 4.5 The principal features of financial debt, as well as its breakdown by maturity, are provided in Note 25 herein – Financial Debt.

Most underwriting liabilities relating to financial contracts, with and without discretionary profit sharing, may be redeemed at any time. The table above provides an economic overview of the liquidation of insurance underwriting liabilities.

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Universal Registration Document 2021 - GROUPAMA ASSURANCES MUTUELLES