GROUPAMA / 2020 UNIVERSAL REGISTRATION DOCUMENT

7 FINANCIAL STATEMENTS Consolidated financial statements and notes

Asset and liability derivative instruments Note 8 and separate embedded derivatives

31.12.2020

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

40

(568)

40

(568)

Options Foreign currency futures

9

9

Other TOTAL

49

(568)

49

(568)

31.12.2019

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

136

(636)

136

(636)

Options Foreign currency futures

1

1

Other TOTAL

138

(636)

138

(636)

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 December 2020 financial statements,they are recognisedat fair value on the balance sheet as counterpatrot 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 derivatives thanks to the collateralisationsystemput in place by the Group.

The Group makes use of various derivatives: variable-rate indexed swaps, to protect the bond portfolio ❯ against an increase in rates; fixed-rate swaps to hedge variable-rate indexed underlyings; ❯ currency or inflation-indexedswaps. The economic aim of this ❯ strategy is to invest in fixed-rate euro bonds; currency risk hedges; ❯ synthetic exposure to the credit risk of private issuers through ❯ option strategies; equity risk hedges through purchases of index call options. ❯

194

Universal Registration Document 2020 - GROUPAMA ASSURANCES MUTUELLES