Groupama // Universal Registration Document 2022

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FINANCIAL STATEMENTS Combined financial statements and notes

To date, this sustainable investment strategy is more focused on climate risk and is based on four pillars: sustainability factors, in particular by contributing to the fight against global warming and contributing to the financing of the three major transitions (demographic, digital, and ecological). asset management fully incorporating ESG criteria; ❯ an exclusion policy to address the highest sustainability risks and eliminate the most harmful financing; ❯ a shareholder engagement policy contributing, among other things, to the decarbonisation of our portfolios; ❯ investments to finance transitions. ❯ The monitoring of sustainability risks on assets is based on a set of indicators highlighting the trajectory of Groupama’s exposures with regard to them and in particular carbon intensity, green share, exposure to transition and/or physical risks depending on the nature of the assets.

3.5.2 Group risk management Property assets are managed by the Group within a framework of internal constraints with a limit setting the maximum permissible 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. Sustainability risk on financial assets In 2022, Groupama established a sustainable investment charter. Sustainable investing is defined as integrating environmental, social/societal and governance (ESG) factors into investment processes to help manage financial risks and finance transitions. The challenge is therefore twofold: taking into account sustainability risks, i.e. risks related to ESG factors, in particular climate factors that may affect the value of or return on financial assets; ❯ managing the negative impacts linked to investments and promoting the positive impacts of financial management on ❯ 3.6

Summary of market risks sensitivity analyses

3.7

The following table shows all the sensitivity analyses for market risks for fiscal years 2022 and 2021, split between Group’s IFRS equity and income, excluding profit sharing and taxes.

31.12.2022

31.12.2021

Increase in sensitivity criteria

Increase in sensitivity criteria

Increase in sensitivity criteria

Decrease in sensitivity criteria

Group’s IFRS equity

Group’s IFRS equity

Group’s IFRS equity

Group’s IFRS equity

Result

Result

Result

Result

(in millions of euros)

Interest rate risk

(940)

105

1,057

(132)

(1,083)

122

1,241

(160)

Underwriting liabilities

103

(130)

120

(159)

Financial investments

(940)

2

1,057

(2)

(1,083)

2

1,241

(1)

Financing debts Equities risk

208

91

(208)

(91)

222

60

(222)

(60)

Financial investments

208

91

(208)

(91)

222

60

(222)

(60)

Foreign exchange risk

70

3

(70)

(3)

80

10

(80)

(10)

Financial investments

70

3

(70)

(3)

80

10

(80)

(10)

4. 4.1

Liquidity risk Nature of exposure to liquidity risk

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. ❯

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 technical assumptions (production, claims ratio). ❯

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Universal Registration Document 2022 - GROUPAMA ASSURANCES MUTUELLES