Groupama // Universal Registration Document 2022

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EARNINGS AND FINANCIAL POSITION Management report of the Board of Directors

6.1.7

FINANCIAL FUTURES POLICY

6.1.7.4 Credit risk 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 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. Result 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 contributions thus appear in the individual financial statements for €3,062.7 million, which break down into €42.5 million in substituted contributions net of inward reinsurance in quota share of the reinsurer Groupama Assurances Mutuelles and €3,020.2 million in earned contributions (excluding substitution). Note that a new reinsurance treaty with Groupama Asigur ă ri entered into force on 1 November 2021 following the bankruptcy of City and the takeover of this portfolio by the Romanian subsidiary. The rate of quota share transfer to Groupama Assurances Mutuelles was 60% for this year. The remainder of the commentary on business activity focuses exclusively on net substitution transactions. 6.1.7.5 6.1.8 6.1.8.1 ANALYSIS OF THE ANNUAL FINANCIAL STATEMENTS FOR THE FISCAL YEAR

6.1.7.1 Interest rate risk 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 by 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 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. Equity risk The Group’s equity risk continued to be actively managed. In 2022, equity hedging remained very selective, as the Group favoured a logic of partial capping of its equity exposure in the event of a significant rise in the market. This hedging strategy, when implemented, makes use of derivatives housed within the mutual funds. 6.1.7.2 6.1.7.3

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Universal Registration Document 2022 - GROUPAMA ASSURANCES MUTUELLES