UNIVERSAL REGISTRATION DOCUMENT 2023

7 FINANCIAL STATEMENTS Combined financial statements and notes

2.5 Insurance risk sensitivity analysis The table below shows the impacts on the CSM, result, and equity of a sensitivity analysis conducted on the main underwriting risks. Impacts are presented gross of tax.

31.12.2023

CSM

Result

Equity

(in millions of euros)

Longevity rate (5% increase)

(83)

(19)

(56)

Redemptions (up 5%)

(73)

(3)

(76)

Fees (5% increase)

(249)

(41)

(249)

Profitability ratio: increase of 1 point

(33)

Profitability ratio: decrease of 1 point

31

For the Property & Casualty business, the sensitivity of the 1 ‑ point increase in the combined ratio would have a negative impact of €133 million on the pre ‑ tax result in 2023.

would modify their solvency assessment. For any given reinsurance placement, any reinsurer approached for an outward reinsurance outside Groupama must first be on the CSRG list. Approved reinsurers must have a rating compatible with the type of business reinsured, depending on whether they have a short or long accounting run ‑ off. Insurance underwriting reserves and assigned receivables are shown below, by rating, according to the three largest rating agencies (Standard & Poor’s, Fitch Ratings, and Moody’s).

2.6 Risk of reinsurer insolvency Outward reinsurance consists of transferring to the reinsurer a portion of the risks accepted by the ceding company. They are regularly reviewed to monitor and limit the credit risk on third ‑ party reinsurers. The Group Reinsurance Security Committee (CSRG) examines and approves the list of reinsurers accepted for all external outward reinsurance. This list is reviewed in its entirety at least twice a year. During the year, continual monitoring is performed to adapt the internal ratings of the reinsurers to changes that may occur to them that

31.12.2023

AAA

AA

A

BBB

< BBB Not rated

TOTAL

(in millions of euros)

Reinsurance contract assets

0

1,155

681

0

6

31

1,874

Reinsurance contract liabilities

0

1

1

0

0

0

2

31.12.2022

AAA

AA

A

BBB

< BBB Not rated

TOTAL

(in millions of euros)

Reinsurance contract assets

0

1,341

465

0

4

119

1,929

Reinsurance contract liabilities

0

1

0

0

0

0

1

3. Market risks The general system for managing risks relating to Asset/Liability Management and investment operations is specified in the Group Asset/Liability Management and investment risk policy approved by the Groupama Assurances Mutuelles Board of Directors. There are several categories of major market risks to which Groupama might be subject:

3.1 3.1.1

Interest rate risk Type of and exposure to interest rate risk

During a period of interest rate volatility, the Group’s financial margins might be affected. Specifically, a drop in interest rates would have a negative effect on the profitability of the investments. As such, during a period of low interest rates, the financial performance of the Group might be affected. Conversely, in the event of an increase in rates, the Group may have to face a rush of redemptions for these contracts, which would lead to the sale of a portion of the bond portfolio under unfavourable market conditions. The consequences of changes in interest rates would also impact SCR/MCR hedging.

interest rate risk; ❯ equity market price risk; ❯ currency risk; ❯ credit risk; ❯ risk on property assets. ❯

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Document d’Enregistrement Universel 2023 GROUPAMA ASSURANCES MUTUELLES