UNIVERSAL REGISTRATION DOCUMENT 2023

7 FINANCIAL STATEMENTS

Report of the statutory Auditors on the combined financial statements

Valuation of liabilities related to savings and pensions insurance contracts principally measured using the variable fee valuation model (See notes 3.12.1, 19.1 and 19.2 to the combined financial statements)

Answers provided by the joint statutory auditors during the audit In order to cover the valuation risk of these liabilities relating to savings and pensions insurance contracts measured using the VFA model, we have implemented the following audit approach with our actuarial specialists: we assessed the methodology used to measure the cash flows, RA and CSM related to these contracts and their compliance with the applicable accounting standards; ❯ we assessed the information systems used to process technical data, make calculations and transfer them to the accounts; ❯ we assessed the design and tested the operating effectiveness of the controls we considered key to our audit. In particular, we focused on: ❯ controls relating to the validation of the future cash flow projection model, in particular the governance of model changes, ● documentation and controls relating to the key judgements and assumptions made by management; ● we have performed procedures to test, on a test basis, the reliability of the data on which the estimates are based; ❯ we have tested, on a test basis and in accordance with our risk assessment, the calculation models used to estimate future cash flows, the adjustment for non ‑ financial risk and the CSM, as well as any significant changes made to the calculation models; ❯ we examined the hedging units on a test basis; ❯ we have performed analytical procedures to identify and analyse any significant unusual and/or unexpected variations. ❯ Finally, we assessed the appropriateness of the information disclosed in the notes to the combined financial statements.

Key point of our audit

At 31 December 2023, the Group recognised liabilities relating to savings and pensions insurance contracts principally measured using the variable fee valuation model (VFA) for a carrying amount of 52,024 million euros, as presented in note 19.2 to the combined financial statements. As indicated in note 3.12.1 to the combined financial statements, the liabilities associated with these insurance and investment contracts with discretionary participation consist of the present value of future cash flows, the adjustment for non ‑ financial risks (RA) and the contractual services margin (CSM). The determination of these liabilities is based on significant judgements concerning the data used and assumptions relating to future periods, and results from estimation techniques. The estimate of the present value of future cash flows relating to these long ‑ term contracts, valued in particular using the VFA model, relies on significant judgements, as set out in note 3.12.1 to the combined financial statements, to define: ❯ the technical estimations based on complex models of future cash flow projections that incorporate the key components of the statutory financial statements, ● technical assumptions, in particular policyholder behaviour, management decisions and overheads, ● current financial assumptions, in particular the determination of the discount rate curve. ● The assessment of the RA is based on assumptions concerning the level of confidence retained by the Group with regard to the risk factors associated with the technical provisions, and on a value ‑ at ‑ risk type approach, which is the maximum loss within the defined confidence level. ❯ Lastly, as specified in note 3.12.1.5.3 of the notes to the combined accounts, the amortisation of the CSM, corresponding to the portion of the CSM recognised as income from insurance activities for the year, is determined on the basis of units of cover. ❯ Because of the sensitivity of the valuation of these liabilities to these key judgements and assumptions, we considered the valuation of liabilities relating to savings and pensions insurance contracts principally measured using the VFA model to be a key audit issue.

312

Universal Registration Document 2023 GROUPAMA ASSURANCES MUTUELLES