GROUPAMA / 2019 Universal Registration Document

7 FINANCIAL STATEMENTS Consolidated financial statements and notes

Asset and liability derivative instruments and separate embedded Note 9 derivatives

31.12.2019

France

International

Total

Positivefair value Negative fair value Positive fair value Negative fair value Positive fair value Negative fair value

(in millions ofeuros)

Swaps

136

(636)

136

(636)

Options Foreign currencyfutures

1

1

Other TOTAL

138

(636)

138

(636)

31.12.2018

France

International

Total

Positivefair value Negative fair value Positive fair value Negative fair value Positive fair value Negative fair value

(in millions ofeuros)

Swaps

114

(598)

114

(598)

Options Foreign currencyfutures

(3)

(3)

Other TOTAL

114

(601)

114

(601)

The Group makes useof various derivatives: swaps indexed to a variable rate for protection of the bond ● portfolioagainstan increase in rates; fixed-rateswapsto hedgevariable-rateindexedunderlyings; ● currency or inflation-indexedswaps. The economic aim of this ● strategy isto invest in fixed-rateeuro bonds; currency riskhedges; ● synthetic exposure to the credit risk of private issuers through ● option strategies; equity risk hedgesthroughpurchases of index calloptions. ●

These derivatives are not recorded as hedging transactions in the sense of IAS 39. As per the principlesdescribed in Note 3.3 to the 31 December2019 financial statements,they are recognisedat fair value on the balancesheet as counterpart to the income statement. 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 instrumentsthanks to the “collateralisation”systemput in place bythe Group.

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Universal Registration Document 2019 - GROUPAMA ASSURANCES MUTUELLES