CNP Assurances: Publication of the SFCRs of CNP Assurances Solo and Group as of December 31, 2021

Publication of the SFCRs of CNP Assurances Solo and Group as of December 31, 2021

CNP Assurances is publishing its 2021 Individual and Group Solvency and Financial Condition Reports (SFCRs) today, in accordance with regulatory requirements.

These reports cover the financial year 2021 and were approved by the CNP Assurances Board of Directors on April 7, 2022. This announcement refers to the French versions of these documents. English versions will be posted online soon.

The SFCR is a narrative report aimed at the general public and has been required by the Solvency II Directive since 2016. It is published annually:

  • In “Group” version for CNP Assurances Groupcovering the consolidated activity of CNP Assurances SA and its subsidiaries in France and throughout the world

  • In “Solo” version for CNP Assurances SA independently, covering only the activity of CNP Assurances SA, not including its subsidiaries

Key Findings of CNP Assurances Solo and Group SFCRs as of December 31, 2021

The coverage ratio of the Group’s SCR stands at 217% in 2021 (+9 pts versus 2020), mainly driven by higher interest rates and bullish stock markets. This financial strength was due to a sound and prudent risk management policy, consistent with the company’s long-term strategy.

The other solvency indicators were as follows:

  • Own funds eligible for inclusion in the calculation of the Group’s SCR amounted to 39,100 million euros at the end of 2021, including a policyholder surplus reserve of €12.7 billion calculated according to the method recommended by the ACPR (French Prudential Supervision and Resolution Authority). The joint ventures also reported an additional €4 billion of surplus equity that is not recognized by the regulator at Group level.

  • The Group’s SCR amounts to 18,000 million euros at the end of 2021, with 59% for market risk and 29% for technical risk. The benefits of risk diversification are estimated at 23%.

  • CNP Assurances’ Solo SCR coverage ratio stood at 236% at the end of the year 2021.

1. SCR coverage ratio

The SCR (Solvency Capital Requirement) is the amount of own funds necessary to absorb material losses and provide reasonable assurance that the commitments with policyholders and beneficiaries will be met at maturity.

CNP Assurances calculates its SCR coverage ratio using the standard formula, without applying prudential equivalence or transitional measures except for the exemptionone of subordinated debt. CNP Assurances applies the Solvency II requirements to all the subsidiaries included in the prudential scope of consolidation, including the Brazilian subsidiary, to present consistent risk measures throughout the Group.

As of December 31, 2021, eligible own funds for inclusion in the SCR coverage ratio at Group level amounted to €39.1 billion, and the SCR stood at €18.0 billion.

Own funds eligible for inclusion in the Group’s SCR coverage ratio include €30.1 billion in Tier 1 capital, including €12.7 billion in the policyholder surplus reserve (which has been recognized in eligible own funds since the end of 2019).

Group SCR coverage ratio includes 100% of the SCR of the subsidiaries, including those that are not fully consolidated (Arial CNP Assurances, XS5 Administradora de consorcios SA, Wiz Soluções e Corretagem de Seguros SA). Does not include surplus own funds of subsidiaries beyond the SCR contributed (€4 billion, including minority intereststwoor 22% of the Group’s SCR as of December 31, 2021), as these are not recognized by the regulator at the Group level under ineffectiveness rules.

The CNP Assurances Solo SCR coverage ratio stands at 236% at the end of 2021, a ratio higher than that of the Group. Includes surplus equity of subsidiaries in proportion to the percentage owned by CNP Assurances SA.

2. MCR coverage rate

The MCR (minimum capital requirement) is the minimum amount of own funds that an insurer must have, without which its operating license can be withdrawn.

CNP Assurances calculates its MCR in accordance with the Solvency II Directive. The MCR is a metric based on the volume of premiums, earnings and capital at risk. At the level of each entity, the MCR must be between 25% and 45% of the SCR. The Group’s MCR is the sum of all the entity’s MCRs, without taking into account any diversification benefits between subsidiaries.

As of December 31, 2021, the Group’s own funds eligible for the MCR coverage ratio amounted to €34.7 billion, including €30.1 billion in unrestricted Tier 1 capital. The Group’s MCR stood at €9.1 billion.

The coverage index of the MCR Group stood at 382% at the end of 2021.

The coverage index of CNP Assurances Solo MCR stands at 463% at the end of 2021. The MCR coverage ratios of the rest of the Group’s subsidiaries are also well above 100%.

one Subordinated notes issued prior to the application of Solvency II are treated as Tier 1 capital (for perpetual subordinated notes) or Tier 2 capital (for dated notes) for a ten-year period ending January 1, 2026.

twoRepresents €2,000 million in unavailable minority interests at Group level as of December 31, 2021.

3. Impact of the volatility adjustment and temporary measures on technical provisions and interest rates

CNP Assurances uses the volatility adjustment (VA), which adjusts the risk-free discount curve used to measure technical provisions.

The Solvency II prudential framework includes transitional measures to give insurance companies time to adapt before fully applying the new requirements and spreading the impact over time. CNP Assurances Group does not use temporary measures on interest rates or technical provisions.

The impact of the temporary measures on the Group’s solvency indicators as of December 31, 2021 was as follows:

Impact of the transitory measure on technical provisions

Impact of the transitory measure on interest rates

Impact of the volatility adjustment at the end of 2021

Reminder: Impact of volatility adjustment at the end of the year 2020

Group SCR coverage ratio

N/A

N/A

+ 4 points

+ 9 points

SCR Group (M€)

N/A

N/A

-0.1 billion euros

-3 billion euros

Eligible own funds for the coverage ratio of the Group’s SCR (billions of euros)

N/A

N/A

+0.200 M€

+0.900 M€

How to get our SFCRs:

Investor Calendar

  • General Shareholders’ Meeting: Friday, April 22, 2022 at 2:30 p.m.

  • Performance indicators as of March 31, 2022: Thursday, May 12, 2022 at 7:30 a.m.

  • Provisional results as of June 30, 2022: Thursday, July 28, 2022 at 7:30 a.m.

This press release and all regulated information published by CNP Assurances Group in accordance with article L.451-1-2 of the French Monetary and Financial Code and articles 222-1 et seq. of the General Regulations of the AMF (Authoridad Française de Financial Markets) are available on the investor relations website at https://www.cnp.fr/es/el-cnp-insurance/investor group.

About CNP Guarantees

A leading player in the French personal insurance market, CNP Assurances operates in 19 countries, including 17 in Europe, particularly Italy, and in Latin America, where it is very active in Brazil, its second largest market. As a provider of insurance, coinsurance and reinsurance, CNP Assurances has more than 36 million policyholders in risk/personal protection insurance worldwide and more than 11 million in savings/pensions. According to its business model, its solutions are distributed by multiple partners and are adapted to its form of physical or digital distribution, as well as to the needs of customers in each country in terms of protection and comfort.

CNP Assurances has been listed on the Paris Stock Exchange since October 1998 and is a subsidiary of La Banque Postale. It reported a net profit of 1,552 million euros in 2021.

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Disclaimer:

This document may contain forward-looking statements that refer to projections, future events, trends or objectives that, by their very nature, involve inherent risks and uncertainties that may lead to material differences between actual results and those implied or implied by these statements. . These risks and uncertainties may refer, for example, to economic trends, movements in the financial markets, legal or regulatory decisions or changes, the frequency or severity of the insured risks, interest rates and exchange rates, changes in government policies or of the central bank, laws, procedures or actions, the impact of acquisitions or disposals, and general factors affecting the competitive environment. More information on these risks and uncertainties is included in CNP Assurances’ filings with the AMF (Authorité Française des Marchés Financiers). CNP Assurances makes no commitment to update the forward-looking statements presented in this document to take into account new information, future events or other factors.

Some prior fiscal year data may be restated to ensure consistency with current fiscal year data. The sum of the figures provided in this document may not correspond exactly to the totals shown in the tables or referred to in the text. Percentages and percentage changes are calculated using whole figures, including decimals. For this reason, this document may contain slight differences between sums and percentages due to rounding. CNP Assurances is required to report its final solvency information to the supervisory authorities at a later date and these final data may differ from the explicit or implicit estimates given in this document.

This document may contain alternative performance indicators that CNP Assurances considers useful (for example, EBIT), but which are not recognized in the IFRS adopted by the European Union. Consequently, these indicators should be considered additional information and not a substitute for the balance sheet and income statement prepared in accordance with IFRS. Since not all companies use the same definition of these metrics, they may not be comparable to metrics with the same name used by other companies.

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