Groupama // 2021 Universal Registration Document

4 CORPORATE SOCIAL RESPONSIBILITY (CSR) Declaration of Extra-financial Performance

a second delegated act under Article 8 (“Article 8 delegated act” ❯ adopted in July 2021) specifies the information that actors will have to disclose in the management reports on their alignment with the taxonomy. The Commission proposes the following two indicators for insurance in the delegated act: an investment-related indicator, see below, ■ an indicator related to underwriting activities, see also below. ■

percentage of total asset exposures related to derivatives; ❯ percentage of exposures in total assets relating to firms not ❯ subject to publication of a non-financial statement under the NFRD; percentage of exposures in total assets related to ineligible ❯ activities for the year 2021. In the context of the application of the Taxonomy Regulation, the following definitions and scopes of application are used: “investments”: all assets held directly and indirectly on the ❯ balance sheet of the Groupama group’s life and non-life insurance companies. It is therefore a “transparent” view of the assets of the whole Group, excluding intra-group assets and Units of Account; under Article 7(1) of the delegated act Article 8, sovereign ❯ exposures are excluded from the calculation of the investment ratio, both from the numerator and the denominator; derivatives are excluded from the numerator but included in the ❯ denominator of the ratio; companies not subject to the NFRD are not subject to the ❯ taxonomy. Thus, exposure to these companies should not be included in the calculation of the numerator of the ratio.

Investments Indicator 4.2.4.1 Regulatory ratio (a)

For 2022, as an insurer, the Groupama group must publish the following ratio on the data at 31 December 2021 presented at market value: Investment ratio = Share of investments for financing or associated with economic activities eligible for the taxonomy / Total investments. In addition, Groupama must publish the following quantitative information: percentage of exposures in total assets to central governments, ❯ central banks and supranationals;

In summary, the asset exclusions for the investment ratio calculations are as follows:

Type of assets

Numerator exclusion

Denominator exclusion

Exposure to central governments, central and supranational banks

X

X

Derivatives

X

Exposures to companies not subject to non-financial reporting under the NFRD

X

In accordance with the information provided by the European Commission in its various Q&A, for regulatory reporting, the information published must be based on actual data provided by non-financial or financial entities. The use of estimates and proxies is not possible. However, as the first reporting obligation for all companies subject to the NFRD is on 1 January 2022 (on data at 31 December 2021), we do not have any published information on the share of turnover (and CAPEX) eligible for the taxonomy. To identify companies subject to non-financial reporting under the NFRD, we use the following approach: the Group’s investment portfolios are invested in listed ❯ companies or companies above the NFRD threshold, excluding corporate private equity and loan funds; thus, we considered that all companies whose registered office ❯ is in an EU country ( i.e. excluding Switzerland and the UK) were eligible for the NFRD, with the exception of companies owned through loan or private equity funds for which no information is available.

The regulatory investment ratio is therefore zero, as shown in the table below.

Voluntary ratio (b) However, as part of its voluntary reporting, Groupama has chosen to publish an investment ratio based on estimated data. All of the assumptions used for this calculation are described below and we use the same definition of investments and the same asset exclusions as for the regulatory ratio. The eligible economic activities are identifiable from the NACE codes listed in the two annexes to the delegated climate act. Thus, for the calculation of the voluntary ratio, we have chosen to reason by sector of activity, by retaining 100% of a company’s revenue in the sector of activity with which it is associated. We have used the guidance provided by the Commission through the EU Taxonomy Compass tool available at https://ec.europa.eu/sustainable-finance-taxonomy/.

92 Universal Registration Document 2021 - GROUPAMA ASSURANCES MUTUELLES