Groupama // 2021 Universal Registration Document

7 FINANCIAL STATEMENTS Combined financial statements and notes

Asset and liability derivative instruments and separate embedded Note 8 derivatives

31.12.2021

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

34

(543)

34

(543)

Options Foreign currency futures

5

(1)

5

(1)

Other TOTAL

39

(544)

39

(544)

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)

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-indexed swaps. The economic aim of this ❯ strategy is to invest in fixed-rate euro bonds; currency futures used to hedge currency risk; ❯ synthetic exposure to the credit risk of private issuers through ❯ option strategies; equity risk hedges through purchases of index call options. ❯

Most of these derivatives are not recorded as hedging transactions in the sense of IAS 39. Only the currency risk hedge of one of the investments denominated in foreign currency has been the subject of fair-value hedge documentation since 1 January 2021. 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 collateralisation system put in place by the Group.

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Universal Registration Document 2021 - GROUPAMA ASSURANCES MUTUELLES