Groupama // 2021 Universal Registration Document

6 EARNINGS AND FINANCIAL POSITION Management report of the Board of Directors

Supervision of Intra-group 6.1.6.3 Accounting Transactions

Equity risk 6.1.7.3 The Group’s equity risk continued to be actively managed. In 2021, equity hedging remained very selective, as the Group favoured a logic of partial capping of its equity exposure as it rose. This hedging strategy, when implemented, makes use of derivatives housed within the UCITS. Credit risk 6.1.7.4 In a tactical management strategy of the credit asset class, the Groupama Asset Management can be exposed or hedge credit risk by using forward financial instruments like Credit Default Swaps. This type of operation only involves assets managed through mutual funds. Spread risk 6.1.7.5 A 10-year swap rate exposure strategy was introduced in 2017 in the form of a test. It should enable the Group to take some duration without exposure to spread risk (sovereign or credit). Such operations make use of a vehicle paying Euribor and a long-term financial instrument swapping this remuneration against 10-year swap rates. All over-the-counter transactions are secured by a “collateralisation” system with the Group’s top-tier banking counterparties. 6.1.8.1 The Groupama Assurances Mutuelles income statement includes the technical balance before expenses (premiums, claims, and reinsurance) as a replacement for the Antilles Guyane regional mutual, which is exempt from approval. There was no impact on the net transactions of the Groupama Assurances Mutuelles income statement. However, the substituted transactions led to a symmetrical increase in the gross underwriting operations of Groupama Assurances Mutuelles and the outward reinsurance and retrocessions. Earned contribution thus appear in the individual financial statements for €2,889.3 million, which break down into €41.5 million in substituted contributions net of inward reinsurance in quota share of the reinsurer Groupama Assurances Mutuelles and €2,847.8 million in earned contributions (excluding substitution). It should also be noted that the Grand Courtage portfolio, which was previously held by Gan Assurances (and ceded 100% to Groupama Assurances Mutuelles), was transferred to Groupama Rhône-Alpes Auvergne (ceded 100% to Groupama Assurances Mutuelles) for the French part and to Groupama Assurances Mutuelles for the international part (reinsurance acceptances). This transfer has no impact on the profitability of Groupama Assurances Mutuelles. ANALYSIS OF THE ANNUAL FINANCIAL STATEMENTS FOR THE FISCAL YEAR 6.1.8 Result

Transactions among subsidiaries and Groupama Assurances Mutuelles (internal loans, subsidiary restructurings, capital increases, dividend payouts, etc.) are subject to decisions validated by the Groupama Assurances Mutuelles Executive Management, and to technical and operational controls by the Group Financial Controlling Department. Controls on these operations are carried out by auditing the consolidated financial statements, i.e. by reconciling intra-group transactions, monitoring any changes in Group's equity, and reviewing the transactions recorded for consistency with legal documentation. 6.1.7.1 The purpose of the hedges that are implemented is to partially hedge the portfolios against the risk of interest rate increases. This is made possible by converting fixed-rate bonds into variable-rate bonds (“payer swaps”). The strategy consists in transforming a fixed-rate bond into a variable-rate bond, either on a security held or on new investments. They are intended to permit asset disposals in the event of an increase in interest rates by limiting realisations of capital losses, either to pay benefits or to invest at higher rate levels. Hedging programmes were gradually implemented on behalf of the life insurance companies as from 2005. In accordance with the approval of the Boards of Directors, the swap programme was supplemented in 2012 and partially extended to the Non-Life portion with a tactical management objective. All over-the-counter transactions are secured by a “collateralisation” system with the Groupama Assurances Mutuelles top-tier banking counterparties. Foreign exchange risk 6.1.7.2 The holding of international equities exposed to currency risk (dollar, yen) may be partially hedged via forward sales and managed on a discretionary basis by the Managers. The currency risk hedge on the Hungarian forint related to the holding of OTP Bank shares has been systematically hedged since 2019. The holding of bonds issued in foreign currencies (dollar, sterling, Swiss franc) is hedged via currency swaps against the euro. As with interest rate risk, all OTC transactions are secured by a system of “collateralisation” with leading bank counterparties selected by Groupama Assurances Mutuelles. FINANCIAL FUTURES POLICY 6.1.7 Interest rate risk

137 Universal Registration Document 2021 - GROUPAMA ASSURANCES MUTUELLES