Groupama // Universal Registration Document 2022

7

FINANCIAL STATEMENTS Combined financial statements and notes

Note 9 Asset and liability derivative instruments and separate embedded derivatives

31.12.2022

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

2

(614)

2

(614)

Options Foreign currency futures

4

(10)

1

5

(10)

Other TOTAL

6

(623)

1

7

(624)

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)

The Group makes use of various derivatives:

Most of these derivatives are not recorded as hedging transactions in the sense of IAS 39. However: 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 2022; ❯ hedges against reinvestment risk via forward purchases of bonds have been documented as cash flow hedges since 31 March 2022. ❯ The consideration of counterparty default risk in determining the fair value of financial instruments, in accordance with IFRS 13, does not have a significant impact on the fair value of derivatives due to the collateralisation mechanism put in place by the Group.

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; ❯ FFIs including synthetic exposure to the credit risk of private issuers through option strategies; ❯ equity risk hedging instruments through purchases of index call options; ❯ forward purchases of French sovereign bonds to hedge reinvestment risk. ❯

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Universal Registration Document 2022 - GROUPAMA ASSURANCES MUTUELLES