GROUPAMA / 2018 Registration document
FINANCIAL STATEMENTS CONSOLIDATED FINANCIAL STATEMENTS AND NOTES
NOTE 9
ASSET AND LIABILITY DERIVATIVE INSTRUMENTS AND SEPARATE
EMBEDDED DERIVATIVES
31.12.2018
France
International
Total
Positive fair value
Negative fair value
Positive fair value
Negative fair value
Positive fair value
Negative fair value
(in millions of euros)
Swaps
114
(598)
114
(598)
Options Foreigncurrency futures
(3)
(3)
Other
TOTAL
114
(601)
114
(601)
31.12.2017
France
International
Total
Positive fair value
Negative fair value
Positive fair value
Negative fair value
Positive fair value
Negative fair value
(in millions of euros)
Swaps
108
(652)
108
(652)
Options
5
(5)
6
(5)
Foreign currency futures
(2)
(2)
Other
TOTAL
113
(659)
113
(659)
7
The following derivative instrumentsare available to theGroup: swaps indexed to a variable rate for protection of the bond ❯ portfolio against anincrease in rates; fixed-rateswaps to hedge variable-rateindexed underlyings; ❯ currency or inflation-indexedswaps. The economic aim of this ❯ strategy is toinvest in fixed-rateeuro bonds; currency riskhedges; ❯ synthetic exposure to the credit risk of private issuers through ❯ option strategies; equity risk hedgesthroughpurchasesof index call options; ❯ hedging for risk ofwidening bond spreads. ❯
This last hedge was the subject of specific documentation for accounting hedgesat fair value underIAS 39. Other derivatives are not recorded as hedging transactions in the sense of IAS 39. As per the principles described in section 3.3 of the financial statements at 31 December 2018, they are recognised atfair value in the balancesheet through income. The counterparty credit risk was taken into account when determining the fair value of the financial instruments, as per IFRS 13, but this had no significant impact on the fair value of the derivative instruments thanks to the “collateralisation”system put in by the Group.
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REGISTRATION DOCUMENT 2018 - GROUPAMA ASSURANCES MUTUELLES
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